0001157523-16-007257.txt : 20161104 0001157523-16-007257.hdr.sgml : 20161104 20161103212645 ACCESSION NUMBER: 0001157523-16-007257 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 132 CONFORMED PERIOD OF REPORT: 20160930 FILED AS OF DATE: 20161104 DATE AS OF CHANGE: 20161103 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ANNALY CAPITAL MANAGEMENT INC CENTRAL INDEX KEY: 0001043219 STANDARD INDUSTRIAL CLASSIFICATION: REAL ESTATE INVESTMENT TRUSTS [6798] IRS NUMBER: 223479661 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 001-13447 FILM NUMBER: 161973448 BUSINESS ADDRESS: STREET 1: 1211 AVENUE OF THE AMERICAS CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 212 696 0100 MAIL ADDRESS: STREET 1: 1211 AVENUE OF THE AMERICAS CITY: NEW YORK STATE: NY ZIP: 10036 FORMER COMPANY: FORMER CONFORMED NAME: ANNALY MORTGAGE MANAGEMENT INC DATE OF NAME CHANGE: 19970729 10-Q 1 a51452042.htm ANNALY CAPITAL MANAGEMENT, INC. 10-Q
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

[X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934

 FOR THE QUARTERLY PERIOD ENDED: SEPTEMBER 30, 2016

OR

[  ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934

FOR THE TRANSITION PERIOD FROM _______________ TO _________________
 
COMMISSION FILE NUMBER:  1-13447
ANNALY CAPITAL MANAGEMENT, INC.
(Exact Name of Registrant as Specified in its Charter)


MARYLAND
(State or other jurisdiction of
 incorporation or organization)
22-3479661
(IRS Employer Identification No.)
   
   
1211 AVENUE OF THE AMERICAS
NEW YORK, NY 10036
(Address of principal executive offices)
10036
(Zip Code)
 
 
(212) 696-0100
(Registrant’s telephone number, including area code)
 
 
Indicate by check mark whether the registrant (1) has filed all documents and reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days:
Yes ☑ No ☐
 
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes ☑ No ☐
 
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in Rule 12b-2 of the Exchange Act.

Large accelerated filer ☑            Accelerated filer ☐            Non-accelerated filer ☐            Smaller reporting company ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐     No ☑

APPLICABLE ONLY TO CORPORATE ISSUERS:

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the last practicable date:
Class  Outstanding at October 31, 2016 
Common Stock, $.01 par value  1,018,869,843 
   
   
                                                                                                  
 
 
ANNALY CAPITAL MANAGEMENT, INC.
FORM 10-Q
TABLE OF CONTENTS
   
   
 
   
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PART I – FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS
 
 
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
  
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
  
(dollars in thousands, except per share data)
  
             
   
September 30,
    
December 31,
  
   
2016
    
2015 (1)
  
   
(Unaudited)
        
ASSETS
            
             
Cash and cash equivalents (including cash pledged as collateral of $2,271,856 and $1,584,686, respectively) (2)
  
$
2,382,188
    
$
1,769,258
  
Investments, at fair value:
                
Agency mortgage-backed securities (including pledged assets of $67,902,771 and $60,678,548, respectively)
    
73,476,105
      
65,718,224
  
Agency debentures
    
-
      
152,038
  
Credit risk transfer securities (including pledged assets of $446,529 and $184,160, respectively)
    
669,295
      
456,510
  
Non-Agency mortgage-backed securities (including pledged assets of $1,293,530 and $744,783, respectively) (3)
    
1,460,261
      
906,722
  
Residential mortgage loans (including pledged assets of $179,626 and $0, respectively) (4)
    
310,148
      
-
  
Mortgage servicing rights
    
492,169
      
-
  
Commercial real estate debt investments (including pledged assets of $4,319,077 and $2,911,828, respectively) (5)
    
4,319,077
      
2,911,828
  
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $583,131 and
$578,820, respectively) (6)
    
1,070,197
      
1,348,817
  
Commercial loans held for sale, net
    
144,275
      
278,600
  
Investments in commercial real estate
    
500,027
      
535,946
  
Corporate debt (including pledged assets of $475,453 and $0, respectively)
    
716,831
      
488,508
  
Interest rate swaps, at fair value
    
113,253
      
19,642
  
Other derivatives, at fair value
    
87,921
      
22,066
  
Receivable for investments sold
    
493,839
      
121,625
  
Accrued interest and dividends receivable
    
260,583
      
231,336
  
Other assets
    
301,419
      
119,422
  
Goodwill
    
71,815
      
71,815
  
Intangible assets, net
    
39,903
      
38,536
  
Total assets
  
$
86,909,306
    
$
75,190,893
  
                 
LIABILITIES AND STOCKHOLDERS’ EQUITY
                
                 
Liabilities:
                
Repurchase agreements
  
$
61,784,121
    
$
56,230,860
  
Other secured financing
    
3,804,742
      
1,845,048
  
Securitized debt of consolidated VIEs (7)
    
3,712,821
      
2,540,711
  
Participation sold
    
12,976
      
13,286
  
Mortgages payable
    
327,632
      
334,707
  
Interest rate swaps, at fair value
    
2,919,492
      
1,677,571
  
Other derivatives, at fair value
    
73,445
      
49,963
  
Dividends payable
    
269,111
      
280,779
  
Payable for investments purchased
    
454,237
      
107,115
  
Accrued interest payable
    
173,320
      
151,843
  
Accounts payable and other liabilities
    
115,606
      
53,088
  
Total liabilities
    
73,647,503
      
63,284,971
  
                 
Stockholders’ Equity:
                
7.875% Series A Cumulative Redeemable Preferred Stock:
7,412,500 authorized, issued and outstanding
    
177,088
      
177,088
  
7.625% Series C Cumulative Redeemable Preferred Stock:
12,650,000 authorized, 12,000,000 issued and outstanding
    
290,514
      
290,514
  
7.50% Series D Cumulative Redeemable Preferred Stock:
18,400,000 authorized, issued and outstanding
    
445,457
      
445,457
  
7.625% Series E Cumulative Redeemable Preferred Stock:
11,500,000 authorized, issued and outstanding
    
287,500
      
-
  
Common stock, par value $0.01 per share, 1,945,437,500 and 1,956,937,500 authorized,
1,018,857,866 and 935,929,561 issued and outstanding, respectively
    
10,189
      
9,359
  
Additional paid-in capital
    
15,578,677
      
14,675,768
  
Accumulated other comprehensive income (loss)
    
1,119,677
      
(377,596
)
Accumulated deficit
    
(4,655,440
)
    
(3,324,616
)
Total stockholders’ equity
    
13,253,662
      
11,895,974
  
Noncontrolling interest
    
8,141
      
9,948
  
Total equity
    
13,261,803
      
11,905,922
  
Total liabilities and equity
  
$
86,909,306
    
$
75,190,893
  
 
(1)
Derived from the audited consolidated financial statements at December 31, 2015.
(2)
Includes cash of consolidated VIEs of $31.3 million and $48.5 million at September 30, 2016 and December 31, 2015, respectively.
(3)
Includes $96.0 million and $0 at September 30, 2016 and December 31, 2015, respectively, of non-Agency mortgage-backed securities pledged as collateral in a consolidated VIE and eliminated from the Company’s Consolidated Statements of Financial Condition.
(4)
Includes securitized mortgage loans of a consolidated VIE carried at fair value of $176.7 million and $0 at September 30, 2016 and December 31, 2015, respectively.
(5)
Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $4.0 billion and $2.6 billion at September 30, 2016 and December 31, 2015, respectively. 
(6)
Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $128.9 million and $262.7 million carried at amortized cost, net of an allowance for losses of $0, at September 30, 2016 and December 31, 2015, respectively. 
(7)
Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at September 30, 2016 and December 31, 2015, respectively. 
 
See notes to consolidated financial statements.
 
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)      
(dollars in thousands, except per share data)          
(Unaudited)          
                         
   
Quarter Ended September 30,
    
Nine Months Ended September 30,
  
   
2016
    
2015
    
2016
    
2015
  
Net interest income:
                        
Interest income
  
$
558,668
    
$
450,726
    
$
1,403,929
    
$
1,594,117
  
Interest expense
    
174,154
      
110,297
      
474,356
      
352,789
  
Net interest income
    
384,514
      
340,429
      
929,573
      
1,241,328
  
                                 
Realized and unrealized gains (losses):
                                
Realized gains (losses) on interest rate swaps(1)
    
(124,572
)
    
(162,304
)
    
(402,809
)
    
(465,008
)
Realized gains (losses) on termination of interest rate swaps
    
1,337
      
-
      
(58,727
)
    
(226,462
)
Unrealized gains (losses) on interest rate swaps
    
256,462
      
(822,585
)
    
(1,148,478
)
    
(587,995
)
Subtotal
    
133,227
      
(984,889
)
    
(1,610,014
)
    
(1,279,465
)
Net gains (losses) on disposal of investments
    
14,447
      
(7,943
)
    
25,307
      
58,246
  
Net gains (losses) on trading assets
    
162,981
      
108,175
      
370,050
      
(12,961
)
Net unrealized gains (losses) on investments measured at fair value through earnings
    
29,675
      
(24,501
)
    
(24,351
)
    
(40,466
)
Bargain purchase gain
    
72,576
      
-
      
72,576
      
-
  
Impairment of goodwill
    
-
      
-
      
-
      
(22,966
)
Subtotal
    
279,679
      
75,731
      
443,582
      
(18,147
)
Total realized and unrealized gains (losses)
    
412,906
      
(909,158
)
    
(1,166,432
)
    
(1,297,612
)
                                 
Other income (loss):
                                
Investment advisory income
    
-
      
3,780
      
-
      
24,848
  
Dividend income from affiliate
    
-
      
-
      
-
      
8,636
  
Other income (loss)
    
29,271
      
(13,455
)
    
13,226
      
(36,754
)
Total other income (loss)
    
29,271
      
(9,675
)
    
13,226
      
(3,270
)
                                 
General and administrative expenses:
                                
Compensation and management fee
    
38,709
      
37,450
      
111,754
      
113,093
  
Other general and administrative expenses
    
59,028
      
12,007
      
83,149
      
39,311
  
Total general and administrative expenses
    
97,737
      
49,457
      
194,903
      
152,404
  
                                 
Income (loss) before income taxes
    
728,954
      
(627,861
)
    
(418,536
)
    
(211,958
)
                                 
Income taxes
    
(1,926
)
    
(370
)
    
(2,839
)
    
(8,039
)
                                 
Net income (loss)
    
730,880
      
(627,491
)
    
(415,697
)
    
(203,919
)
                                 
Net income (loss) attributable to noncontrolling interest
    
(336
)
    
(197
)
    
(883
)
    
(436
)
                                 
Net income (loss) attributable to Annaly
    
731,216
      
(627,294
)
    
(414,814
)
    
(203,483
)
                                 
Dividends on preferred stock
    
22,803
      
17,992
      
58,787
      
53,976
  
                                 
Net income (loss) available (related) to common stockholders
  
$
708,413
    
$
(645,286
)
  
$
(473,601
)
  
$
(257,459
)
                                 
Net income (loss) per share available (related) to common stockholders:
                                
Basic
  
$
0.70
    
$
(0.68
)
  
$
(0.50
)
  
$
(0.27
)
Diluted
  
$
0.70
    
$
(0.68
)
  
$
(0.50
)
  
$
(0.27
)
                                 
Weighted average number of common shares outstanding:
                                
Basic
    
1,007,607,893
      
947,795,500
      
953,301,855
      
947,732,735
  
Diluted
    
1,007,963,406
      
947,795,500
      
953,301,855
      
947,732,735
  
                                 
Dividends declared per share of common stock
  
$
0.30
    
$
0.30
    
$
0.90
    
$
0.90
  
                                 
Net income (loss)
  
$
730,880
    
$
(627,491
)
  
$
(415,697
)
  
$
(203,919
)
Other comprehensive income (loss):
                                
Unrealized gains (losses) on available-for-sale securities
    
18,237
      
609,725
      
1,519,874
      
116,154
  
Reclassification adjustment for net (gains) losses included in net income (loss)
    
(15,606
)
    
8,095
      
(22,601
)
    
(58,182
)
Other comprehensive income (loss)
    
2,631
      
617,820
      
1,497,273
      
57,972
  
Comprehensive income (loss)
  
$
733,511
    
$
(9,671
)
  
$
1,081,576
    
$
(145,947
)
Comprehensive income (loss) attributable to noncontrolling interest
    
(336
)
    
(197
)
    
(883
)
    
(436
)
Comprehensive income (loss) attributable to Annaly
    
733,847
      
(9,474
)
    
1,082,459
      
(145,511
)
Dividends on preferred stock
    
22,803
      
17,992
      
58,787
      
53,976
  
Comprehensive income (loss) attibutable to common stockholders
  
$
711,044
    
$
(27,466
)
  
$
1,023,672
    
$
(199,487
)
 
(1)
Consists of interest expense on interest rate swaps. 


See notes to consolidated financial statements.
2
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY
 (dollars in thousands, except per share data)
(Unaudited)
           
   
7.875% Series A Cumulative Redeemable Preferred Stock
    
7.625% Series C Cumulative Redeemable Preferred Stock
    
7.50% Series D Cumulative Redeemable Preferred Stock
    
7.625% Series E Cumulative Redeemable Preferred Stock
    
Common stock par value
    
Additional paid-in capital
    
Accumulated other comprehensive income (loss)
    
Accumulated deficit
    
Total stockholders’ equity
    
Noncontrolling interest
    
Total
  
                                                                   
BALANCE, December 31, 2014
  
$
177,088
    
$
290,514
    
$
445,457
    
$
-
    
$
9,476
    
$
14,786,509
    
$
204,883
    
$
(2,585,436
)
  
$
13,328,491
    
$
5,290
    
$
13,333,781
  
Net income (loss) attributable to Annaly
    
-
      
-
      
-
              
-
      
-
      
-
      
(203,483
)
    
(203,483
)
    
-
      
(203,483
)
Net income (loss) attributable to noncontrolling interest
    
-
      
-
      
-
              
-
      
-
      
-
      
-
      
-
      
(436
)
    
(436
)
Unrealized gains (losses) on available-for-sale securities
    
-
      
-
      
-
              
-
      
-
      
116,154
      
-
      
116,154
      
-
      
116,154
  
Reclassification adjustment for net (gains) losses included in net income (loss)
    
-
      
-
      
-
              
-
      
-
      
(58,182
)
    
-
      
(58,182
)
    
-
      
(58,182
)
Stock compensation expense
    
-
      
-
      
-
              
-
      
1,089
      
-
      
-
      
1,089
      
-
      
1,089
  
Net proceeds from direct purchase and dividend reinvestment
    
-
      
-
      
-
              
2
      
1,722
      
-
      
-
      
1,724
      
-
      
1,724
  
Equity contributions from (distributions to) noncontrolling interest
    
-
      
-
      
-
              
-
      
-
      
-
      
-
      
-
      
651
      
651
  
Preferred Series A dividends, declared $1.477 per share
    
-
      
-
      
-
              
-
      
-
      
-
      
(10,944
)
    
(10,944
)
    
-
      
(10,944
)
Preferred Series C dividends, declared $1.430 per share
    
-
      
-
      
-
              
-
      
-
      
-
      
(17,157
)
    
(17,157
)
    
-
      
(17,157
)
Preferred Series D dividends, declared $1.406 per share
    
-
      
-
      
-
              
-
      
-
      
-
      
(25,875
)
    
(25,875
)
    
-
      
(25,875
)
Common dividends declared, $0.90 per share
    
-
      
-
      
-
              
-
      
-
      
-
      
(852,989
)
    
(852,989
)
    
-
      
(852,989
)
BALANCE, September 30, 2015
  
$
177,088
    
$
290,514
    
$
445,457
    
$
-
    
$
9,478
    
$
14,789,320
    
$
262,855
    
$
(3,695,884
)
  
$
12,278,828
    
$
5,505
    
$
12,284,333
  
BALANCE, December 31, 2015
  
$
177,088
    
$
290,514
    
$
445,457
    
$
-
    
$
9,359
    
$
14,675,768
    
$
(377,596
)
  
$
(3,324,616
)
  
$
11,895,974
    
$
9,948
    
$
11,905,922
  
Net income (loss) attributable to Annaly
    
-
      
-
      
-
      
-
      
-
      
-
      
-
      
(414,814
)
    
(414,814
)
    
-
      
(414,814
)
Net income (loss) attributable to noncontrolling interest
    
-
      
-
      
-
      
-
      
-
      
-
      
-
      
-
      
-
      
(883
)
    
(883
)
Unrealized gains (losses) on available-for-sale securities
    
-
      
-
      
-
      
-
      
-
      
-
      
1,519,874
      
-
      
1,519,874
      
-
      
1,519,874
  
Reclassification adjustment for net (gains) losses included in net income (loss)
    
-
      
-
      
-
      
-
      
-
      
-
      
(22,601
)
    
-
      
(22,601
)
    
-
      
(22,601
)
Stock compensation expense
    
-
      
-
      
-
      
-
      
-
      
6,949
      
-
      
-
      
6,949
      
-
      
6,949
  
Net proceeds from direct purchase and dividend reinvestment
    
-
      
-
      
-
      
-
      
2
      
1,793
      
-
      
-
      
1,795
      
-
      
1,795
  
Buyback of common stock
    
-
      
-
      
-
      
-
      
(111
)
    
(102,601
)
    
-
      
-
      
(102,712
)
    
-
      
(102,712
)
Acquisition of subsidiary
    
-
      
-
      
-
      
287,500
      
939
      
996,768
      
-
      
-
      
1,285,207
              
1,285,207
  
Equity contributions from (distributions to) noncontrolling interest
    
-
      
-
      
-
      
-
      
-
      
-
      
-
      
-
      
-
      
(924
)
    
(924
)
Preferred Series A dividends, declared $1.477 per share
    
-
      
-
      
-
      
-
      
-
      
-
      
-
      
(10,944
)
    
(10,944
)
    
-
      
(10,944
)
Preferred Series C dividends, declared $1.430 per share
    
-
      
-
      
-
      
-
      
-
      
-
      
-
      
(17,157
)
    
(17,157
)
    
-
      
(17,157
)
Preferred Series D dividends, declared $1.406 per share
    
-
      
-
      
-
      
-
      
-
      
-
      
-
      
(25,875
)
    
(25,875
)
    
-
      
(25,875
)
Preferred Series E dividends, declared $0.477 per share
    
-
      
-
      
-
      
-
      
-
      
-
      
-
      
(4,811
)
    
(4,811
)
            
(4,811
)
Common dividends declared, $0.90 per share
    
-
      
-
      
-
      
-
      
-
      
-
      
-
      
(857,223
)
    
(857,223
)
    
-
      
(857,223
)
BALANCE, September 30, 2016
  
$
177,088
    
$
290,514
    
$
445,457
    
$
287,500
    
$
10,189
    
$
15,578,677
    
$
1,119,677
    
$
(4,655,440
)
  
$
13,253,662
    
$
8,141
    
$
13,261,803
  
 
See notes to consolidated financial statements
3
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF CASH FLOWS
(dollars in thousands)
(Unaudited)
   
Nine Months Ended September 30,
  
   
2016
    
2015
  
Cash flows from operating activities:
            
Net income (loss)
  
$
(415,697
)
  
$
(203,919
)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating  activities:
                
Amortization of Residential Investment Securities premiums and discounts, net
    
834,257
      
633,937
  
Amortization of commercial real estate investment premiums and discounts, net
    
(2,393
)
    
(1,080
)
Amortization of intangibles
    
10,446
      
5,095
  
Amortization of deferred financing costs
    
1,315
      
5,192
  
Amortization of net origination fees and costs, net
    
(3,925
)
    
(3,350
)
Amortization of contingent beneficial conversion feature and equity component of Convertible Senior Notes
    
-
      
12,246
  
Depreciation expense
    
16,511
      
8,773
  
Bargain purchase gain
    
(72,576
)
    
-
  
Net gain on sale of commercial real estate
    
(821
)
    
-
  
Net gain on sale of commercial loans held for sale
    
72
      
100
  
Net (gains) losses on sales of Residential Investment Securities
    
(24,941
)
    
(70,796
)
Net (gains) losses on sale of residential mortgage loans       383        -  
Net (gain) loss on sale of investment in affiliate
    
-
      
12,450
  
Stock compensation expense
    
6,949
      
1,089
  
Impairment of goodwill
    
-
      
22,966
  
Unrealized (gains) losses on interest rate swaps
    
1,148,478
      
587,995
  
Net unrealized (gains) losses on investments measured at fair value through earnings
    
24,351
      
40,466
  
Equity in net income from unconsolidated joint ventures
    
5,344
      
414
  
Net (gains) losses on trading assets
    
(370,050
)
    
12,961
  
Originations of commercial loans held for sale, net
    
-
      
(476,400
)
Proceeds from sale of commercial loans held for sale
    
134,253
      
-
  
Payments on purchase of residential mortgage loans
    
(73,370
)
    
-
  
Proceeds from repayments from residential mortgage loans
    
107,648
      
-
  
Proceeds from repurchase agreements of RCap
    
1,661,650,000
      
1,447,650,000
  
Payments on repurchase agreements of RCap
    
(1,662,100,000
)
    
(1,452,000,000
)
Proceeds from reverse repurchase agreements of RCap
    
48,390,000
      
39,875,000
  
Payments on reverse repurchase agreements of RCap
    
(48,390,000
)
    
(39,775,000
)
Net payments on derivatives
    
23,168
      
7,288
  
Net change in:
                
Other assets
    
(72,800
)
    
(29,324
)
Accrued interest and dividends receivable
    
13,970
      
52,057
  
Receivable for investment advisory income
    
-
      
6,410
  
Accrued interest payable
    
15,729
      
(34,947
)
Accounts payable and other liabilities
    
(23,162
)
    
17,417
  
Net cash provided by (used in) operating activities
  
$
833,139
    
$
(3,642,960
)
                 
Cash flows from investing activities:
                
Payments on purchases of Residential Investment Securities
    
(13,628,516
)
    
(13,172,943
)
Proceeds from sales of Residential Investment Securities
    
8,729,912
      
22,081,011
  
Principal payments on Agency mortgage-backed securities
    
8,580,353
      
7,811,368
  
Purchase of MSRs
    
(127,489
)
    
-
  
Proceeds from sale of investment in affiliate
    
-
      
126,402
  
Payments on purchases of corporate debt
    
(324,863
)
    
(301,739
)
Principal payments on corporate debt
    
98,542
      
43,846
  
Purchases of commercial real estate debt investments
    
(76,862
)
    
(368,511
)
Sales of commercial real estate debt investments
    
-
      
41,016
  
Purchase of securitized loans at fair value
    
(1,489,268
)
    
(2,574,353
)
Origination of commercial real estate investments, net
    
(204,184
)
    
(350,477
)
Proceeds from sale of commercial real estate investments
    
12,750
      
227,450
  
Principal payments on commercial real estate debt investments
    
71,116
      
10,170
  
Principal payments on securitized loans at fair value
    
106,786
      
-
  
Principal payments on commercial real estate investments
    
486,435
      
327,936
  
Purchase of investments in real estate
    
(2,043
)
    
(29,900
)
Investment in unconsolidated joint venture
    
(3,109
)
    
(70,602
)
Distributions in excess of cumulative earnings from unconsolidated joint ventures
    
4,155
      
-
  
Payments on purchase of residential mortgage loans held for investment
    
(8,022
)
    
-
  
Proceeds from repayments from residential mortgage loans held for investment
    
11,771
      
-
  
Purchase of equity securities
    
(88,062
)
    
(27,519
)
Proceeds from sales of equity securities
    
16,112
      
13,119
  
Cash acquired in business combination
    
41,697
      
-
  
Net cash provided by (used in) investing activities
  
$
2,207,211
    
$
13,786,274
  
                 
Cash flows from financing activities:
                
Proceeds from repurchase agreements
    
128,601,867
      
156,196,644
  
Principal payments on repurchase agreements
    
(133,021,365
)
    
(166,759,206
)
Payments on maturity of convertible senior notes
    
-
      
(857,541
)
Proceeds from other secured financing
    
2,358,314
      
687,935
  
Payments on other secured financing
    
(434,458
)
    
(327,965
)
Proceeds from issuance of securitized debt
    
1,381,640
      
2,382,810
  
Principal repayments on securitized debt
    
(273,091
)
    
(84,560
)
Principal repayments on securitized loans
    
-
      
201
  
Payment of deferred financing cost
    
(3,076
)
    
(886
)
Net proceeds from direct purchases and dividend reinvestments
    
1,795
      
1,724
  
Proceeds from mortgages payable
    
-
      
20,450
  
Principal payments on participation sold
    
(230
)
    
(220
)
Principal payments on mortgages payable
    
(7,500
)
    
(262
)
Contributions from noncontrolling interests
    
-
      
1,107
  
Distributions to noncontrolling interests
    
(926
)
    
(456
)
Net payment on share repurchase
    
(102,712
)
    
-
  
Dividends paid
    
(927,678
)
    
(906,910
)
Net cash provided by (used in) financing activities
  
$
(2,427,420
)
  
$
(9,647,135
)
                 
Net (decrease) increase in cash and cash equivalents
  
$
612,930
    
$
496,179
  
                 
Cash and cash equivalents, beginning of period
    
1,769,258
      
1,741,244
  
                 
Cash and cash equivalents, end of period
  
$
2,382,188
    
$
2,237,423
  
     
 
      
 
  
Supplemental disclosure of cash flow information:
                
Interest received
  
$
2,197,880
    
$
2,241,301
  
Dividends received
  
$
1,253
    
$
12,684
  
Fees received    $   4,266     $  -  
Investment advisory income received
  
$
-
    
$
31,258
  
Interest paid (excluding interest paid on interest rate swaps)
  
$
441,121
    
$
314,568
  
Net interest paid on interest rate swaps
  
$
415,223
    
$
450,750
  
Taxes paid
  
$
858
    
$
1,926
  
   
 
 
    
 
 
  
Noncash investing activities:
                
Receivable for investments sold
  
$
493,839
    
$
127,571
  
Payable for investments purchased
  
$
454,237
    
$
744,378
  
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment
  
$
1,497,273
    
$
57,972
  
   
 
 
    
 
 
  
Noncash financing activities:
                
Dividends declared, not yet paid
  
$
269,111
    
$
284,348
  
Decrease in securitized debt    $   16,663     $   -  
 
See notes to consolidated financial statements.
4
 
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

1.
DESCRIPTION OF BUSINESS

Annaly Capital Management, Inc. (the “Company” or “Annaly”) is a Maryland corporation that commenced operations on February 18, 1997. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, Agency debentures, credit risk transfer (“CRT”) securities, other securities representing interests in or obligations backed by pools of mortgage loans, residential mortgage loans, mortgage servicing rights, commercial real estate assets and corporate debt. The Company’s principal business objectives are to generate net income for distribution to its stockholders from its investments and capital preservation. The Company is externally managed by Annaly Management Company LLC (the “Manager”).
The Company’s business operations are primarily comprised of the following:

·
Annaly, the parent company, which invests primarily in Agency mortgage-backed securities and related derivatives to hedge these investments. Its portfolio also includes residential credit investments such as CRT and non-Agency mortgage-backed securities.
·
Annaly Commercial Real Estate Group, Inc. (“ACREG,” formerly known as CreXus Investment Corp.), a wholly-owned subsidiary that was acquired during the second quarter of 2013 which specializes in acquiring, financing and managing commercial real estate loans and other commercial real estate debt, commercial mortgage-backed securities and other commercial real estate-related assets.
·
Annaly Middle Market Lending LLC (“MML,” formerly known as Charlesfort Capital Management LLC), a wholly-owned subsidiary which engages in corporate middle market lending transactions.
·
Hatteras Financial Corp. (“Hatteras”), a wholly-owned subsidiary that was acquired during the third quarter of 2016 which, through its wholly-owned subsidiaries, primarily engages in acquiring, investing in, securitizing and managing residential whole mortgage loans and investing in and managing mortgage servicing rights.
·
RCap Securities, Inc. (“RCap”), a wholly-owned subsidiary, which operates as a broker-dealer and is a member of the Financial Industry Regulatory Authority (“FINRA”).
 
The Company has elected to be taxed as a Real Estate Investment Trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”).
2.            BASIS OF PRESENTATION

The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP").

The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’s most recent annual report on Form 10-K. The consolidated financial information as of December 31, 2015 has been derived from audited consolidated financial statements not included herein.

In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year.
3.
SIGNIFICANT ACCOUNTING POLICIES
Principles of Consolidation – The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries and consolidated variable interest entities. All intercompany balances and transactions have been eliminated in consolidation.  The Company reclassified previously presented financial information so that amounts previously presented conform to the current period presentation.

The Company has evaluated all of its investments in legal entities in order to determine if they are variable interests in Variable Interest Entities ("VIEs"). A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A variable interest is an investment or other interest that will absorb portions of a VIE's expected losses or receive portions of the entity’s expected residual returns. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that (i) has the power to direct the activities that most significantly impact the VIE’s economic performance and (ii) has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE.
 
5
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1.  Financial Statements
 
To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, the Company considers all facts and circumstances, including the Company’s role in establishing the VIE and the Company’s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE.

To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, in the VIE. This assessment requires that the Company apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company.

The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion regarding the VIE to change.

Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. RCap is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company’s interest rate swaps and other derivatives totaled approximately $2.3 billion and $1.6 billion at September 30, 2016 and December 31, 2015, respectively.
Fair Value Measurements – The Company reports various financial instruments at fair value.  A complete discussion of the methodology utilized by the Company to estimate the fair value of certain financial instruments is included in these Notes to Consolidated Financial Statements.

Revenue Recognition – The revenue recognition policy by asset class is discussed below.

Agency Mortgage-Backed Securities, Agency Debentures, Non-Agency Mortgage-Backed Securities and CRT Securities – The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans and certificates guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). These Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). The Company also invests in Agency debentures issued by the Federal Home Loan Banks, Freddie Mac and Fannie Mae, as well as CRT securities. CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae, Freddie Mac and/or third parties to private investors. The Company also invests in non-Agency mortgage-backed securities, such as those issued in non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations.
Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Investment Securities.” Although the Company generally intends to hold most of its Residential Investment Securities until maturity, it may, from time to time, sell any of its Residential Investment Securities as part of the overall management of its portfolio. Residential Investment Securities classified as available-for-sale are reported at fair value with unrealized gains and losses reported in other comprehensive income (loss) unless
 
6
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
the Company has elected the fair value option, where the unrealized gains and losses on these financial instruments are recorded through earnings (e.g., interest-only securities). The fair value of Residential Investment Securities classified as available-for-sale is estimated by management and is compared to independent sources for reasonableness. Residential Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on sales of Residential Investment Securities are recorded on trade date based on the specific identification method.
The Company elected the fair value option for interest-only mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities as this election simplifies the accounting. Interest-only securities and inverse interest-only securities are collectively referred to as “interest-only securities.” These interest-only mortgage-backed securities represent the Company’s right to receive a specified proportion of the contractual interest flows of specific mortgage-backed securities. Interest-only mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities are measured at fair value with changes in fair value recorded as Net unrealized gains (losses) on investments measured at fair value through earnings in the Company’s Consolidated Statements of Comprehensive Income (Loss).  The interest-only securities are included in Agency mortgage-backed securities at fair value on the accompanying Consolidated Statements of Financial Condition.

The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the Residential Investment Securities and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities), considering estimates of future principal prepayment in the calculation of the effective yield because they are probable and the timing and amount of prepayments can be reasonably estimated.  The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the investment is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.
Premiums or discounts associated with the purchase of Agency interest-only securities and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis.
Interest income for Agency debentures is recognized by applying the interest method using contractual cash flows without estimating prepayments.
The table below summarizes the interest income recognition methodology for Residential Investment Securities:
 
 
Interest Income
Methodology
Agency
  
Fixed-rate pass-through(1)
Effective yield(3)
Adjustable-rate pass-through(1)
Effective yield(3)
Collateralized Mortgage Obligation (“CMO”)(1)
Effective yield(3)
Debentures(1)
Contractual Cash Flows
Interest-only(2)
Prospective
   
Residential Credit
  
CRT(2)
Prospective
Legacy (2)
Prospective
NPL/RPL (2)
Prospective
New issue (2)
Prospective
New issue interest-only (2)
Prospective
   
(1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss).
(2) Changes in fair value are recognized in Net unrealized gains (losses) on investments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss).
(3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.
Residential Mortgage Loans – The Company’s residential mortgage loans are primarily comprised of prime jumbo adjustable-rate whole mortgage loans acquired in connection with the Company’s acquisition of Hatteras (“Hatteras Acquisition”) and subsequent purchases. Additionally, pursuant to the Hatteras Acquisition, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo whole mortgage loans. The Company made elections to account for the investments in residential mortgage loans held in its portfolio and in the securitization trust at fair value as these elections simplify the accounting. Residential mortgage loans are recognized at fair value on the
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
7
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
accompanying Consolidated Statements of Financial Condition. Changes in the estimated fair value are presented in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).

Premiums and discounts associated with the purchase of residential mortgage loans and with those held in the securitization trust are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans.  Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss).

There was no real estate acquired in settlement of residential mortgage loans as of September 30, 2016 or December 31, 2015. The Company would be considered to have received physical possession of residential real estate property collateralizing a residential mortgage loan, so that the loan is derecognized and the real estate property would be recognized, if either (i) the Company obtains legal title to the residential real estate property upon completion of a foreclosure or (ii) the borrower conveys all interest in the residential real estate property to the Company to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement.

Mortgage Servicing Rights (“MSRs”) – MSRs represent the rights associated with servicing contracts obtained in connection with the Hatteras Acquisition or through the subsequent purchase of such rights from third parties with the intention of holding them as investments. The Company and its subsidiaries do not originate or directly service mortgage loans. Rather, the Company utilizes duly licensed subservicers to perform substantially all servicing functions for the loans underlying the MSRs. The Company elected to account for all of its investments in MSRs at fair value; as such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).

Equity Securities – The Company may invest in equity securities that are classified as available-for-sale or trading.  Equity securities classified as available-for-sale
are reported at fair value, based on market quotes, with unrealized gains and losses reported as a component of other comprehensive income (loss). Equity securities classified as trading are reported at fair value, based on market quotes, with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net gains (losses) on trading assets.  Dividends are recorded in earnings based on the declaration date.

Derivative Instruments – The Company may use a variety of derivative instruments to economically hedge some of its exposure to market risks, including interest rate and prepayment risk. These instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA contracts without intent to accept delivery (“TBA derivatives”), options on TBA contracts (“MBS options”), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments.  The Company may also invest in other types of mortgage derivatives such as interest-only securities and synthetic total return swaps, such as the Markit IOS Synthetic Total Return Swap Index.  Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging, which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes. 

Some derivative agreements contain provisions that allow for netting or setting off by counterparty; however, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition.

Interest rate swap agreements - Interest rate swaps are the primary instrument used to mitigate interest rate risk.  In particular, the Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings.  Swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”).  Uncleared swaps are fair valued using internal pricing models and compared to the counterparty market values.  Centrally cleared swaps are fair valued using the DCO’s market values.

Interest rate swaptions - Interest rate swaptions are purchased/sold to mitigate the potential impact of increases or decreases in interest rates.  Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount,
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
8
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid/received for interest rate swaptions is reported as an asset/liability in the Consolidated Statements of Financial Condition. The difference between the premium and the fair value of the swaption is reported in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received/paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid.

The fair value of interest rate swaptions is estimated using internal pricing models and compared to the counterparty market value.

TBA Dollar Rolls - TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).

MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).
Futures Contracts - Futures contracts are derivatives that track the prices of specific assets. Short sales of futures contracts help mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts that are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).
Forward purchase commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to
purchasing mortgage loans at a particular price, provided the mortgage loans close with the counterparties. Gains and losses are recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).

Repurchase Agreements – The Company finances the acquisition of a significant portion of its Agency mortgage-backed securities with repurchase agreements. The Company examines each of the specified criteria in ASC 860, Transfers and Servicing, at the inception of each transaction and has determined that each of the financings meet the specified criteria in this guidance.

Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap as operating activities in the Consolidated Statements of Cash Flows.

Goodwill and Intangible Assets – The Company’s acquisitions are accounted for using the acquisition method. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain.
The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. An impairment of the goodwill associated with the Company’s acquisition of Fixed Income Discount Advisory Company (“FIDAC”) was recorded during the year ended December 31, 2015.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
9
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
Finite life intangible assets are amortized over their expected useful lives.

Convertible Senior Notes – The Company recorded the 4% Convertible Senior Notes and 5% Convertible Senior Notes (collectively, the “Convertible Senior Notes”) at their contractual amounts, adjusted by the effects of a beneficial conversion feature and a contingent beneficial conversion feature (collectively, the “Conversion Features”). The Conversion Features’ intrinsic value is included in “Additional paid-in capital” on the Company’s Consolidated Statements of Financial Condition and reduces the recorded liability amount associated with the Convertible Senior Notes. A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common stockholders. The 4% and 5% Convertible Senior Notes matured in February 2015 and May 2015, respectively.

Stock Based Compensation – The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award.

Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. Accordingly, the Company will not be subject to federal income tax to the extent of its distributions to stockholders and as long as certain asset, income and stock ownership tests are met. The Company and certain of its direct and indirect subsidiaries, including FIDAC, RCap and certain subsidiaries of ACREG and Hatteras, have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income.
The provisions of ASC 740, Income Taxes, (“ASC 740”) clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were necessary as of September 30, 2016 and December 31, 2015.
Use of Estimates – The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.


Commercial Real Estate Investments

Commercial Real Estate Debt Investments - The Company’s commercial real estate debt investments are comprised of commercial mortgage-backed securities and loans held by consolidated collateralized financing entities. Commercial mortgage-backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss). Management evaluates commercial mortgage-backed securities for other-than-temporary impairment at least quarterly. See the “Commercial Real Estate Investments” Note for additional information regarding the consolidated collateralized financing entities.

Commercial Real Estate Loans – The Company's commercial real estate loans are comprised of fixed-rate and adjustable-rate loans. The Company designates loans as held for investment if it has the intent and ability to hold the loans until maturity or payoff. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans that are designated as held for investment and are originated or purchased by the Company are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary.
If the Company intends to sell or securitize the loans and the financing vehicle is not expected to be consolidated, they are classified as held for sale. Commercial real estate loans that are designated as held for sale are carried at the lower of amortized cost or fair value and recorded as Commercial Loans held for sale in the accompanying Consolidated Statements of Financial Condition. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of commercial real estate loans held for sale on an individual loan basis. The Company has elected the fair value option for multi-family mortgage loans held in securitization trusts that it was required to consolidate. Preferred equity interests are designated as held for investment and are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary. See “Commercial Real Estate Investments” Note for additional information.
 
10
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
Investments in Commercial Real Estate – Investments in commercial real estate are carried at historical cost less accumulated depreciation. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance that are not reimbursed by tenants are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life.

Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows:
 
Category
 
Term
Building
30 - 40 years
Site improvements
1 - 28 years

The Company follows the acquisition method of accounting for acquisitions of operating real estate held for investment, where the purchase price of operating real estate is allocated to tangible assets such as land, building, site improvements and other identified intangibles such as above/below market and in-place leases.

The Company applies the equity method of accounting for its investments in joint ventures where it is not considered to have a controlling financial interest. Under the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method.

The Company evaluates whether real estate acquired in connection with a foreclosure (“REO”) or Uniform Commercial Code (“UCC”)/deed in lieu of foreclosure (herein collectively referred to as a foreclosure) constitutes a business and whether business combination accounting is applicable. Upon foreclosure of a property, the excess of the carrying value of a loan, if any, over the estimated fair value of the property, less estimated costs to sell, is charged to provision for loan losses.

Investments in commercial real estate, including REO, that do not meet the criteria to be classified as held for sale are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once
a property is determined to be held for sale, depreciation is no longer recorded.

The Company's real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property's value is considered impaired if the Company's estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property.

Revenue Recognition – Commercial Real Estate Investments - Interest income is accrued based on the outstanding principal amount of the commercial real estate loans and preferred equity interests held for investment (collectively referred to as “CRE Debt and Preferred Equity Investments”) and their contractual terms. Premiums and discounts associated with the purchase of CRE Debt and Preferred Equity Investments are amortized or accreted into interest income over the projected lives of the CRE Debt and Preferred Equity Investments using the interest method.


Corporate Debt
Corporate Loans – The Company’s investments in corporate loans are designated as held for investment when the Company has the intent and ability to hold the investment until maturity or payoff. These investments are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method. These investments typically take the form of senior secured loans primarily in first lien and second lien loans. The Company’s senior secured loans generally have stated maturities of three to eight years. In connection with these senior secured loans the Company receives a security interest in certain of the assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to the least amount of credit risk given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. To date, the majority of the Company’s investments have been funded term loans versus debt securities.
 
11
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
Corporate Debt Securities – The Company’s investments in corporate debt securities are designated as held-to-maturity when the Company has the intent and ability to hold the investments until maturity. These investments are carried at their principal balance outstanding plus any premiums or discounts less other-than-temporary impairment. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method.
Impairment of Securities and Loans
Other-Than-Temporary Impairment – Management evaluates available-for-sale securities and held-to-maturity debt securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For available-for-sale securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss), while the balance of losses related to other factors will be recognized as a component of other comprehensive income (loss). If the fair value is less than the cost of a held-to-maturity security, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security. There was no other-than-temporary impairment recognized for the quarters ended September 30, 2016 and 2015.
Allowance for Losses – The Company evaluates the need for a loss reserve on its CRE Debt and Preferred Equity Investments and its corporate loans. A provision for losses related to CRE Debt and Preferred Equity Investments and corporate loans, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality, may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectable. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the
Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages if applicable and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date.
The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics upon either the origination or the acquisition of a new investment but generally does not update the loan-to-value metrics in the course of quarterly surveillance. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance its respective assets at the maturity of each loan. Management also reviews economic trends, both macro and those affecting the property specifically, and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations.
 
12
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
In connection with the quarterly surveillance review process, CRE Debt and Preferred Equity Investments are assigned an internal risk rating. Effective December 31, 2015, the loan risk ratings were enhanced to reflect guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The initial internal risk ratings (“Initial Ratings”) are based on loan-to-values and the NOI debt yields of the underlying collateral of the Company’s CRE Debt and Preferred Equity Investments and based upon leverage and cash flow coverages of the borrowers’ debt and operating obligations. The final internal risk ratings are influenced by other quantitative and qualitative factors that can result in an adjustment to the Initial Ratings, subject to review and approval by the respective committee. The internal risk rating categories include “Performing”, “Performing - Closely Monitored”, “Performing - Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserve management’s close attention and if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The presentation of prior period internal risk ratings have been revised to conform to the current period presentation.
Nonaccrual Status – If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued, but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt, but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment
within a reasonable period of time and there is a sustained period of repayment performance by the borrower.
The Company did not have any impaired loans, nonaccrual loans, or loans in default as all of the loans were performing as of September 30, 2016 and December 31, 2015. Accordingly, no allowance for loan losses was deemed necessary as of September 30, 2016 and December 31, 2015.

Broker Dealer Activities

Reverse Repurchase Agreements – RCap enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Margin calls are made by RCap as necessary based on the daily valuation of the underlying collateral as compared to the contract price. RCap generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. RCap’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and RCap requires counterparties to deposit additional collateral when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give RCap the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. Substantially all of RCap’s reverse repurchase activity is with affiliated entities.

Recent Accounting Pronouncements

The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption.
 
13
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
Standard
Description
Effective Date
Effect on the financial statements or other significant matters
Standards that are not yet adopted
      
ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments
This ASU updates the existing incurred loss model to a current expected credit loss model for financial assets and net investments in leases that are not accounted for at fair value through earnings.  The amendments affect loans, debt securities, trade receivables, net investments in leases, off balance sheet credit exposures and any other financial assets not excluded from the scope.  There are also changes to the accounting for available for sale debt securities.
   January 1, 2020 (early adoption permitted) 
The Company is assessing the impact to the consolidated financial statements.
Standard
Description
Effective Date
Effect on the financial statements or other significant matters
Standards that were adopted
      
ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity
This update provides a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis.
   January 1, 2016 (early adoption permitted) 
The Company early adopted this ASU in the first quarter of 2015 and applied the guidance to commercial mortgage backed securitization transactions.  See "Variable Interest Entity" footnote for further disclosure.
       
 
 
4.            ACQUISITION OF HATTERAS

As previously disclosed in the Company’s filings with the SEC, on July 12, 2016 the Company completed its acquisition of Hatteras, an externally managed mortgage REIT that invested primarily in single-family residential mortgage real estate assets, for aggregate consideration to Hatteras common shareholders of $1.5 billion, consisting of $1.0 billion in equity consideration and $521.1 million in cash consideration. The Company issued 93.9 million shares of common shares as part of the consideration for the Hatteras Acquisition, which includes replacement share-based payment awards.

In addition, as part of the Hatteras Acquisition, each share of Hatteras 7.625% Series A Cumulative Redeemable Preferred Stock, par value $0.001 per share (“Hatteras Preferred Share”), that was outstanding as of immediately prior to the completion of the Hatteras Acquisition was converted into one share of a newly-designated series of the Company’s preferred stock, par value $0.01 per share, which the Company classified and designated as 7.625% Series E Cumulative Redeemable Preferred Stock, and which has rights, preferences, privileges and voting powers substantially the same as a Hatteras Preferred Share.
Hatteras’ portfolio of adjustable rate mortgage-backed securities is believed to be complementary to the Company’s existing portfolio. The combined capital base is believed to support continued growth of the Company’s businesses and the acquisition is believed to create efficiency and growth opportunities.

The following table summarizes the aggregate consideration and preliminary fair value of the assets acquired and liabilities assumed recognized at the acquisition date, which is subject to change if new information becomes available:

 
14
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
Purchase Price Allocation (dollars in thousands)
      
       
Consideration transferred:
      
Cash
  
$
521,082
  
Common Equity
    
997,707
  
         
Preferred Shares:
        
Exchange of Hatteras preferred stock for Annaly preferred stock
    
278,252
  
Preferred stock fair value adjustment
    
9,248
  
Preferred Shares
    
287,500
  
         
Total Consideration
  
$
1,806,289
  
         
Net Assets:
        
Cash
  
$
562,780
  
Agency mortgage-backed securities, at fair value
    
10,863,070
  
Credit risk transfer securities, at fair value
    
116,770
  
Residential mortgage loans
    
360,447
  
Mortgage servicing rights
    
355,820
  
Other derivatives, at fair value
    
8,677
  
Principal receivable
    
438,005
  
Accrued interest and dividend receivable
    
83,814
  
Other assets
    
57,250
  
Total Assets Acquired
  
$
12,846,633
  
         
Repurchase agreements
  
$
10,422,757
  
Other secured financing
    
35,769
  
Securitized debt of consolidated VIEs
    
54,135
  
Other derivatives, at fair value
    
349,922
  
Dividends payable
    
670
  
Payable for investments purchased
    
2,643
  
Accrued interest payable
    
4,833
  
Accounts payable and other liabilities
    
97,039
  
Total Liabilities Assumed
    
10,967,768
  
Net Assets Acquired
  
$
1,878,865
  
         
Bargain Purchase Gain
  
$
72,576
  
For time-based restricted stock awards granted by Hatteras that fully vested as of the Hatteras Acquisition closing date, the fair value of the Company’s common stock issued in the satisfaction of these awards was included in equity consideration transferred as no post acquisition service was required. For time-based restricted stock awards granted by Hatteras that did not fully vest as of the acquisition date and require post-acquisition service, the fair value of the Company’s common stock issued as replacement awards has been allocated between the pre- and post-acquisition service period, with the amount allocated to the pre-acquisition period included in the equity consideration transferred. The amount allocated to the post-acquisition service period for the time-based restricted stock awards was $5.8 million and expensed during the third quarter of 2016 in Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss). Also, in connection with the Hatteras Acquisition, the Company entered into consulting agreements with certain former employees of Hatteras. During the third quarter of 2016, the Company recognized the full amount of the fees related to the consulting agreements totaling $19.9 million in Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss).
 
Under the acquisition method of accounting, merger-related transaction costs (such as advisory, legal, valuation, consulting and other professional fees) are not included as components of consideration transferred but are expensed in the periods in which the costs are incurred. Transaction costs of $48.9 million were incurred during the nine months ended September 30, 2016 and were included in Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss).
The fair value and unpaid principal balance of residential mortgage loans acquired in connection with the Hatteras acquisition were $360.4 million and $350.5 million, respectively.

The bargain purchase gain is the result of the mortgage REIT sector facing significant headwinds for a variety of reasons, including uncertainty regarding the outlook for interest rates and the financial markets generally.  Consequently, in recent years, the price per share of Hatteras common stock has traded at a substantial discount to Hatteras’ book value per share, which made raising equity capital to fund new investments dilutive to stockholders.  Because of these circumstances, Hatteras was unable to raise equity capital on acceptable terms and significantly increase its size and scale through capital market transactions.   The bargain purchase is recognized in Realized and unrealized gains (losses) in the Consolidated Statements of Comprehensive Income (Loss).
 
15
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
The Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2016 includes Net interest income and Net income (loss) of $35.5 million and $86.7 million, respectively, attributable to the Hatteras Acquisition. The following unaudited pro forma summary presents consolidated information of the Company, assuming the Hatteras Acquisition had occurred as of January 1, 2015 for purposes of the 2016 and 2015 pro forma disclosures presented. They include certain adjustments for the
periods presented to exclude deferred swap net losses of Hatteras from net interest expense to conform to the Company’s presentation, recalculate the management fee based upon pro forma stockholders’ equity and the Company’s management fee rate, eliminate Hatteras common stock outstanding and record the issuance of the Company’s common stock to Hatteras stockholders and reflect direct costs incurred by the Company and the bargain purchase gain as if the Hatteras Acquisition occured as of January 1, 2015. These pro forma results have been prepared for comparative purposes only and do not purport to be indicative of what operating results would have been had the Hatteras Acquisition occurred on January 1, 2015 and may not be indicative of future operating results:
 
 
 
 
 
 
 
 
 
 
 
   
For the Quarters Ended
    
For the Nine Months Ended
  
   
September 30, 2016
    
September 30, 2015
    
September 30, 2015
    
September 30, 2015
  
   
(dollars in thousands, except per share data)
  
Net interest income
  
$
395,396
    
$
397,602
    
$
1,027,202
    
$
1,434,947
  
Net income (loss)
  
$
708,191
    
$
(710,720
)
  
$
(520,830
)
  
$
(272,007
)
Basic earnings per common share
  
$
0.67
    
$
(0.70
)
  
$
(0.58
)
  
$
(0.33
)
Diluted earnings per common share
  
$
0.67
    
$
(0.70
)
  
$
(0.58
)
  
$
(0.33
)
 
 
For additional details regarding the terms and conditions of the Hatteras Acquisition and related matters, please refer to the Company’s other filings with the SEC that were made in connection with the Hatteras Acquisition,
including the Prospectus/Offer to Exchange filed with the SEC pursuant to Rule 424(b)(3) on July 8, 2016 and the Current Report on Form 8-K filed with the SEC on July 12, 2016.
 
 
 
 
16
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
5.            RESIDENTIAL INVESTMENT SECURITIES

The following tables present the Company’s Residential Investment Securities portfolio carried at fair value as of September 30, 2016 and December 31, 2015:
 
   
September 30, 2016                  
   
Principal / Notional
    
Remaining Premium
    
Remaining Discount
    
Amortized Cost
    
Unrealized Gains(1)
    
Unrealized Losses(1)
    
Estimated Fair Value
  
Agency
  
(dollars in thousands)               
Fixed-rate pass-through
  
$
55,713,247
    
$
3,174,800
    
$
(1,828
)
  
$
58,886,219
    
$
1,102,609
    
$
(46,259
)
  
$
59,942,569
  
Adjustable-rate pass-through
    
11,760,633
      
409,677
      
(4,399
)
    
12,165,911
      
77,056
      
(14,340
)
    
12,228,627
  
Interest-only
    
8,562,837
      
1,498,193
      
-
      
1,498,193
      
13,145
      
(206,429
)
    
1,304,909
  
Total Agency investments
  
$
76,036,717
    
$
5,082,670
    
$
(6,227
)
  
$
72,550,323
    
$
1,192,810
    
$
(267,028
)
  
$
73,476,105
  
                                                         
Residential Credit
                                                        
CRT
  
$
641,531
    
$
7,333
    
$
(11,742
)
  
$
637,122
    
$
32,188
    
$
(15
)
  
$
669,295
  
Legacy(2)
    
1,075,956
      
1,634
      
(169,677
)
    
907,913
      
26,767
      
(513
)
    
934,167
  
NPL/RPL
    
347,105
      
434
      
(877
)
    
346,662
      
2,037
      
(264
)
    
348,435
  
New issue
    
161,275
      
946
      
(359
)
    
161,862
      
4,484
      
(16
)
    
166,330
  
New issue interest-only
    
935,395
      
16,615
      
-
      
16,615
      
-
      
(5,286
)
    
11,329
  
Total residential credit investments
  
$
3,161,262
    
$
26,962
    
$
(182,655
)
  
$
2,070,174
    
$
65,476
    
$
(6,094
)
  
$
2,129,556
  
                                                         
Total Residential Investment Securities
  
$
79,197,979
    
$
5,109,632
    
$
(188,882
)
  
$
74,620,497
    
$
1,258,286
    
$
(273,122
)
  
$
75,605,661
  
                                                         
                                                         
   
December 31, 2015                        
   
Principal / Notional
    
Remaining Premium
    
Remaining Discount
    
Amortized Cost
    
Unrealized Gains(1)
    
Unrealized Losses(1)
    
Estimated Fair Value
  
Agency
  
(dollars in thousands)                   
Fixed-rate pass-through
  
$
57,339,705
    
$
3,270,521
    
$
(2,832
)
  
$
60,607,394
    
$
400,350
    
$
(824,862
)
  
$
60,182,882
  
Adjustable-rate pass-through
    
2,894,192
      
61,781
      
(6,427
)
    
2,949,546
      
70,849
      
(10,317
)
    
3,010,078
  
CMO
    
964,095
      
27,269
      
(477
)
    
990,887
      
9,137
      
(12,945
)
    
987,079
  
Debentures
    
158,802
      
-
      
(648
)
    
158,154
      
-
      
(6,116
)
    
152,038
  
Interest-only
    
9,499,332
      
1,634,312
      
-
      
1,634,312
      
18,699
      
(114,826
)
    
1,538,185
  
Total Agency investments
  
$
70,856,126
    
$
4,993,883
    
$
(10,384
)
  
$
66,340,293
    
$
499,035
    
$
(969,066
)
  
$
65,870,262
  
                                                         
Residential Credit
                                                        
CRT
  
$
476,084
    
$
2,225
    
$
(12,840
)
  
$
465,469
    
$
250
    
$
(9,209
)
  
$
456,510
  
Legacy(2)
    
378,527
      
773
      
(37,150
)
    
342,150
      
698
      
(1,140
)
    
341,708
  
NPL/RPL
    
354,945
      
19
      
(1,270
)
    
353,694
      
19
      
(1,172
)
    
352,541
  
New issue
    
197,695
      
566
      
-
      
198,261
      
-
      
(1,060
)
    
197,201
  
New issue interest-only
    
811,245
      
15,430
      
-
      
15,430
      
-
      
(158
)
    
15,272
  
Total residential credit securities
  
$
2,218,496
    
$
19,013
    
$
(51,260
)
  
$
1,375,004
    
$
967
    
$
(12,739
)
  
$
1,363,232
  
                                                         
Total Residential Investment Securities
  
$
73,074,622
    
$
5,012,896
    
$
(61,644
)
  
$
67,715,297
    
$
500,002
    
$
(981,805
)
  
$
67,233,494
  
 
(1) Unrealized gains and losses on Agency securities (other than interest-only securities), are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit investments and Agency interest-only investments are generally reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).
(2) Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009.
 
The following tables present the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration as of September 30, 2016 and December 31, 2015:
 
Investment Type
  
September 30, 2016
    
December 31, 2015
  
   
(dollars in thousands)    
Fannie Mae
  
$
48,151,223
    
$
42,647,075
  
Freddie Mac
    
25,246,425
      
22,960,595
  
Ginnie Mae
    
78,457
      
110,554
  
Total
  
$
73,476,105
    
$
65,718,224
  
 
 
Actual maturities of the Company’s Residential Investment Securities portfolio are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on underlying mortgages.  The
following table summarizes the Company’s available-for-sale Residential Investment Securities as of September 30, 2016 and December 31, 2015, according to their estimated weighted average life classifications:
 
17
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
   
September 30, 2016  
    
December 31, 2015
  
Weighted Average Life
  
Estimated Fair Value
    
Amortized Cost
    
Estimated Fair Value
    
Amortized Cost
  
   
(dollars in thousands)   
  
Less than one year
  
$
654,108
    
$
663,561
    
$
37,862
    
$
37,850
  
Greater than one year through five years
    
55,394,787
      
54,543,574
      
20,278,111
      
20,066,435
  
Greater than five years through ten years
    
19,480,416
      
19,337,485
      
46,473,701
      
47,174,319
  
Greater than ten years
    
76,350
      
75,877
      
443,820
      
436,693
  
Total
  
$
75,605,661
    
$
74,620,497
    
$
67,233,494
    
$
67,715,297
  
 
 
The weighted average lives of the Agency mortgage-backed securities at September 30, 2016 and December 31, 2015 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Agency mortgage-backed securities could be materially longer or shorter than projected.
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2016 and December 31, 2015.
 
 
 
 
 
 
   
September 30, 2016     
    
December 31, 2015     
  
   
Estimated Fair Value(1)
    
Gross Unrealized Losses(1)
    
Number of Securities(1)
    
Estimated Fair Value(1)
    
Gross Unrealized Losses(1)
    
Number of Securities(1)
  
   
(dollars in thousands)              
  
Less than 12 Months
  
$
8,204,957
    
$
(28,676
)
    
445
    
$
20,072,072
    
$
(164,259
)
    
463
  
12 Months or More
    
6,867,701
      
(31,923
)
    
54
      
21,705,764
      
(689,981
)
    
189
  
Total
  
$
15,072,658
    
$
(60,599
)
    
499
    
$
41,777,836
    
$
(854,240
)
    
652
  
 
(1) Excludes interest-only mortgage-backed securities.
 
The decline in value of these securities is solely due to market conditions and not the quality of the assets.  Substantially all of the Agency mortgage-backed securities are “AAA” rated or carry an implied “AAA” rating.  The investments are not considered to be other-than-temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that the Company will be required to sell the investments before recovery of the amortized cost bases, which may be maturity.  Also, the Company is
guaranteed payment of the principal amount of the securities by the respective issuing Agency.
During the quarter and nine months ended September 30, 2016, the Company disposed of $3.8 billion and $9.1 billion of Residential Investment Securities, respectively, resulting in a net realized gain of $14.7 million and $24.9 million, respectively.
During the quarter and nine months ended September 30, 2015, the Company disposed of $3.7 billion and $21.1 billion of Residential Investment Securities, respectively, resulting in a net realized gain of $4.5 million and $70.8 million, respectively.
 
 
 
 
 
 
 
 
 
 
18
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
6.            RESIDENTIAL MORTGAGE LOANS
The table below presents the fair value and the unpaid principal balance for these loans as of September 30, 2016:
 
   
(dollars in thousands)
  
Fair value
  
$
310,148
  
Unpaid principal balance
  
$
301,957
  
 
The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the quarter and nine months ended September 30, 2016 for these investments:
 
   
(dollars in thousands)
  
Net gains (losses) on disposal of investments
  
$
(383
)
Net unrealized gains (losses) on investments measured at fair value through earnings
    
(493
 ) 
Net interest income
    
1,203
  
Total included in net income (loss)
  
$
327
  
 
None of the change in the fair value of the residential mortgage loans was attributable to changes in credit risk based on current delinquencies.

The following table provides the geographic concentrations based on the unpaid principal balances as of September 30, 2016 for the residential mortgage loans, including loans held in a securitization trust:
 
Geographic Concentrations of Residential Mortgage Loans
Property Location
% of Balance
California
48.5%
Texas
11.0%
Illinois
5.5%
Florida
5.3%
All other (none individually greater than 5%)
29.7%
Total
100.0%
 
The table below provides additional data on the Company’s residential mortgage loans, including loans held in a securitization trust, at September 30, 2016:
 
   
September 30, 2016  
  
   
Portfolio Range
    
Portfolio Weighted Average
  
   
(dollars in thousands)  
  
Unpaid principal balance
  
$
164 - $1,903
    
$
716
  
Interest rate
    
2.50% - 4.13
%
    
3.45
%
Maturity
  
3/5/2044 - 7/21/2046
    
6/10/2045
  
FICO score at loan origination
    
700 - 815
      
765
  
Loan-to-value ratio at loan origination
    
23.73% - 80.27
%
    
70.56
%
 
 
19
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
7.            MORTGAGE SERVICING RIGHTS
In connection with the Hatteras Acquisition, the Company obtained an MSR portfolio and began investing in MSRs through Hatteras’ wholly-owned subsidiary during the third quarter of 2016. The Company elected to carry all investments in MSRs at fair value.

The following table presents activity related to MSRs for the quarter and nine months ended September 30, 2016:
 
   
September 30, 2016
  
   
(dollars in thousands)
  
Fair value, beginning of period
  
$
-
  
Obtained through Hatteras Acquisition
    
355,820
  
Purchases
    
131,729
  
Change in fair value due to:
        
Changes in valuation inputs or assumptions (1)
    
26,254
  
Other changes, including realization of expected cash flows
    
(21,634
)
Fair value, end of period
  
$
492,169
  
         
(1) Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.
  
 
For the three and nine months ended September 30, 2016, the Company recognized $26.2 million of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).
 
8.            COMMERCIAL REAL ESTATE INVESTMENTS
On December 11, 2015, the Company originated a $335.0 million recapitalization financing with respect to eight class A/B office properties in Orange County, California. 

As of December 31, 2015, such financing was comprised of a $280.0 million senior mortgage loan ($278.6 million, net of origination fees), and mezzanine debt with an initial principal balance of $55.0 million ($52.7 million, net of origination fees) and a future funding component of $30.0 million. The senior loan was held for sale as of December 31, 2015. In April and
August 2016, the Company sold $115.0 million ($114.3 million, net of origination fees) and $20.0 million ($19.9 million, net of origination fees) of the senior loan to unrelated third parties at carrying value, accordingly, no gain or loss was recorded in connection with these sales. The balance of the senior loan of $145.0 million ($144.3 million, net of origination fees) remains held for sale as of September 30, 2016.

The following tables present commercial real estate investments held for investment at September 30, 2016 and December 31, 2015.
 
 
 
 
 
 
 
 
 
 
 
 
20
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
CRE Debt and Preferred Equity Investments
 
   
September 30, 2016     
    
December 31, 2015     
  
   
Outstanding Principal
    
Carrying
Value(1)
    
Percentage of Loan Portfolio(2)
    
Outstanding Principal
    
Carrying
Value(1)
    
Percentage of Loan Portfolio(2)
  
   
(dollars in thousands)
                          
Senior mortgages
  
$
468,258
    
$
466,169
      
43.6
%
  
$
387,314
    
$
385,838
      
28.6
%
Senior securitized mortgages(3)
    
128,896
      
128,896
      
12.0
%
    
263,072
      
262,703
      
19.4
%
Mezzanine loans
    
468,864
      
466,170
      
43.6
%
    
582,592
      
578,503
      
43.0
%
Preferred equity
    
9,000
      
8,962
      
0.8
%
    
122,444
      
121,773
      
9.0
%
Total (4)
  
$
1,075,018
    
$
1,070,197
      
100.0
%
  
$
1,355,422
    
$
1,348,817
      
100.0
%
                                                 
(1) Carrying value includes unamortized origination fees of $4.9 million and $6.9 million as of September 30, 2016 and December 31, 2015, respectively.
  
(2) Based on outstanding principal.
  
(3) Assets of consolidated VIEs.
  
(4) Excludes Loans held for sale, net.
  
 
   
September 30, 2016           
  
   
Senior Mortgages
    
Senior Securitized Mortgages(1)
    
Mezzanine Loans
    
Preferred Equity
    
Total
  
   
(dollars in thousands)        
  
Beginning balance
  
$
385,838
    
$
262,703
    
$
578,503
    
$
121,773
    
$
1,348,817
  
Originations & advances (principal)
    
159,173
      
-
      
46,858
      
-
      
206,031
  
Principal payments
    
(78,229
)
    
(134,176
)
    
(160,585
)
    
(113,444
)
    
(486,434
)
Amortization & accretion of (premium) discounts
    
(102
)
    
-
      
(192
)
    
-
      
(294
)
Net (increase) decrease in origination fees
    
(1,566
)
    
-
      
(282
)
    
-
      
(1,848
)
Amortization of net origination fees
    
1,055
      
369
      
1,868
      
633
      
3,925
  
Net carrying value (2)
  
$
466,169
    
$
128,896
    
$
466,170
    
$
8,962
    
$
1,070,197
  
                                         
  (1) Assets of consolidated VIE.
                                
  (2) Excludes Loans held for sale, net.
                                
                                         
                                         
                                         
   
December 31, 2015              
  
   
Senior Mortgages
    
Senior Securitized Mortgages(1)
    
Mezzanine Loans
    
Preferred Equity
    
Total
  
   
(dollars in thousands)            
  
Beginning balance
  
$
383,895
    
$
398,634
    
$
522,731
    
$
212,905
    
$
1,518,165
  
Originations & advances (principal)
    
293,925
      
-
      
195,312
      
-
      
489,237
  
Principal payments
    
(243,270
)
    
(136,469
)
    
(153,693
)
    
(92,210
)
    
(625,642
)
Sales (principal)
    
(46,945
)
    
-
      
-
      
-
      
(46,945
)
Amortization & accretion of (premium) discounts
    
(142
)
    
-
      
(232
)
    
517
      
143
  
Net (increase) decrease in origination fees
    
(3,702
)
    
(279
)
    
(4,806
)
    
-
      
(8,787
)
Amortization of net origination fees
    
2,077
      
817
      
691
      
561
      
4,146
  
Transfers
    
-
      
-
      
18,500
      
-
      
18,500
  
Net carrying value (2)
  
$
385,838
    
$
262,703
    
$
578,503
    
$
121,773
    
$
1,348,817
  
                                         
  (1) Assets of consolidated VIE.
                                
  (2) Excludes Loans held for sale, net.
                                
 
21
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
Internal CRE Debt and Preferred Equity Investment Ratings

The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating categories include “Performing”, “Performing - Closely Monitored”, “Performing - Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserve management’s close attention and if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound
worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The presentation of prior period internal risk ratings have been revised to conform to the current period presentation.
The Company did not have any impaired loans, nonaccrual loans, or loans in default as all of the loans were performing as of September 30, 2016 and December 31, 2015. Accordingly, no allowance for loan losses was deemed necessary as of September 30, 2016 and December 31, 2015.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
   
September 30, 2016
  
         
Percentage of CRE Debt and Preferred Equity Portfolio
    
Internal Ratings 
  
Investment Type
  
Outstanding Principal (1)
    
Performing
    
Performing - Closely Monitored
    
Performing - Special Mention
    
Substandard
    
Doubtful
    
Loss
    
Total
  
   
(dollars in thousands)
                    
Senior mortgages
  
$
468,258
      
43.6
%
  
$
92,290
    
$
243,528
    
$
132,440
    
$
-
    
$
-
    
$
-
    
$
468,258
  
Senior securitized mortgages(2)
    
128,896
      
12.0
%
    
-
      
17,500
      
111,396
      
-
      
-
      
-
      
128,896
  
Mezzanine loans
    
468,864
      
43.6
%
    
268,190
      
164,357
      
36,317
      
-
      
-
      
-
      
468,864
  
Preferred equity
    
9,000
      
0.8
%
    
-
      
-
      
9,000
      
-
      
-
      
-
      
9,000
  
   
$
1,075,018
      
100.0
%
  
$
360,480
    
$
425,385
    
$
289,153
    
$
-
    
$
-
    
$
-
    
$
1,075,018
  
                                                                         
  (1) Excludes Loans held for sale, net.                                  
  (2) Assets of consolidated VIE.
                                    
 
                                                                        
   
December 31, 2015
  
           
Percentage of CRE Debt and Preferred Equity Portfolio
    
Internal Ratings 
  
Investment Type
  
Outstanding Principal (1)
    
Performing
    
Performing - Closely Monitored
    
Performing - Special Mention
    
Substandard
    
Doubtful
    
Loss
    
Total
  
   
(dollars in thousands)
                          
Senior mortgages
  
$
387,314
      
28.6
%
  
$
71,000
    
$
283,148
    
$
33,166
    
$
-
    
$
-
    
$
-
    
$
387,314
  
Senior securitized mortgages(2)
    
263,072
      
19.4
%
    
106,770
      
15,500
      
140,802
      
-
      
-
      
-
      
263,072
  
Mezzanine loans
    
582,592
      
43.0
%
    
342,493
      
219,969
      
20,130
      
-
      
-
      
-
      
582,592
  
Preferred equity
    
122,444
      
9.0
%
    
-
      
81,944
      
40,500
      
-
      
-
      
-
      
122,444
  
   
$
1,355,422
      
100.0
%
  
$
520,263
    
$
600,561
    
$
234,598
    
$
-
    
$
-
    
$
-
    
$
1,355,422
  
                                                                         
  (1) Excludes Loans held for sale, net.                                  
  (2) Assets of consolidated VIE.
                                    

Investments in Commercial Real Estate
 
There were no acquisitions of new real estate holdings during the quarter and nine months ended September 30, 2016.
The following table summarizes real estate held for investment acquired in 2015:
 
Date of Acquisition
Type
Location
  
Original Purchase Price
    
Remaining Lease
Term (Years) (1)
  
(dollars in thousands) 
  
 
 
 
            
July 2015
Single Tenant Retail
Ohio
  
$
11,000
      
4.1
  
August 2015
Multi Tenant Retail
Florida
  
$
18,900
      
4.8
  
October 2015
Multifamily Property
Washington, DC
  
$
75,000
      
1.0
  
October 2015
Multi Tenant Retail
California
  
$
37,750
      
3.8
  
November 2015
Multi Tenant Retail
Texas
  
$
131,950
      
4.4
  

(1) Does not include extension options.
22
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
In the second quarter of 2016, the Company finalized the purchase price allocation of the eleven multi-tenant retail properties portfolio (“Texas Portfolio”) acquired in November 2015 for a total purchase price of $132.0 million and recognized $4.2 million of additional
depreciation and amortization as a result. The following presents the aggregate final purchase price allocation of the Texas Portfolio:
 
 
 
 
 
 
  
Texas
  
 
  
(dollars in thousands)
  
Purchase Price Allocation:
      
Land
  
$
32,452
  
Buildings
    
82,552
  
Site improvements
    
5,446
  
Tenant Improvements
    
6,835
  
Real estate held for investment
    
127,285
  
 
        
Intangible assets (liabilities):
        
Leasehold intangible assets
    
14,598
  
Above market lease
    
274
  
Below market lease
    
(10,207
)
Total purchase price
  
$
131,950
  

The weighted average amortization period for intangible assets and liabilities as of September 30, 2016 is 4.7 years. Above market leases and leasehold intangible assets are included in Intangible assets, net and below
market leases are included in Accounts payable and other liabilities in the Consolidated Statements of Financial Condition.
 
 
 
 
   
September 30, 2016
    
December 31, 2015
  
   
(dollars in thousands)
  
Real estate held for investment, at amortized cost
            
Land
  
$
117,023
    
$
113,494
  
Buildings and improvements
    
355,899
      
373,603
  
Subtotal
    
472,922
      
487,097
  
Less: accumulated depreciation
    
(32,239
)
    
(16,886
)
Total real estate held for investment, at amortized cost, net
    
440,683
      
470,211
  
Equity in unconsolidated joint ventures
    
59,344
      
65,735
  
Investments in commercial real estate, net
  
$
500,027
    
$
535,946
  

Depreciation expense was $5.0 million and $15.7 million for the quarter and nine months ended September 30, 2016, respectively. Depreciation expense was $3.1 million and $8.8 million for the quarter and nine months ended September 30, 2015, respectively. Depreciation expense is included in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).
 
Rental Income

The minimum rental amounts due under leases are generally either subject to scheduled fixed increases or adjustments. The leases generally also require that the tenants reimburse us for certain operating costs. Approximate future minimum rents payments under non-cancelable operating leases in effect at September 30, 2016 for consolidated investments in real estate are as follows:
 
 
 
 
 
 
 
 
23
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
 
  
September 30, 2016
  
 
  
(dollars in thousands)
  
2016 (remaining)
  
$
8,189
  
2017
    
31,102
  
2018
    
27,504
  
2019
    
23,448
  
2020
    
18,877
  
Later years
    
56,266
  
 
  
$
165,386
  

Mortgage loans payable as of September 30, 2016 and December 31, 2015, were as follows:
 
September 30, 2016
Property
  
Mortgage Carrying Value
    
Mortgage Principal
    
Interest Rate
  
Fixed/Floating Rate
Maturity Date
Priority
(dollars in thousands)
Joint Ventures
  
$
285,899
    
$
289,125
      
4.03% - 4.61
%
Fixed
2024 and 2025
First liens
Tennessee
    
12,253
      
12,350
      
4.01
%
Fixed
9/6/2019
First liens
Virginia
    
11,014
      
11,025
      
3.58
%
Fixed
6/6/2019
First liens
Arizona
    
16,080
      
16,063
      
3.50
%
Fixed
1/1/2017
First liens
Nevada
    
2,386
      
2,383
      
L+200
 
Floating (1)
3/29/2017
First liens
 
  
$
327,632
    
$
330,946
          
 
 
    
 
                        
 
 
       
(1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).
 
                        
 
 
       
 
                        
 
 
       
December 31, 2015
Property
  
Mortgage Carrying Value
    
Mortgage Principal
    
Interest Rate
  
Fixed/Floating Rate
Maturity Date
Priority
(dollars in thousands)
Joint Ventures
  
$
292,658
    
$
296,325
    
2.30% to 4.61%
  
Fixed
2016, 2024 and 2025
First liens
Tennessee
    
12,228
      
12,350
      
4.01
%
Fixed
9/6/2019
First liens
Virginia
    
11,012
      
11,025
      
3.58
%
Fixed
6/6/2019
First liens
Arizona
    
16,365
      
16,308
      
3.50
%
Fixed
1/1/2017
First liens
Nevada
    
2,444
      
2,436
      
L+200
 
Floating (1)
3/29/2017
First liens
 
  
$
334,707
    
$
338,444
          
 
 
    
 
                        
 
 
       
(1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).

The following table details future mortgage loan principal payments as of September 30, 2016:
 
 
  
Mortgage Loan Principal Payments
  
 
  
(dollars in thousands)
  
2016 (remaining)
  
$
101
  
2017
    
18,345
  
2018
    
-
  
2019
    
23,375
  
2020
    
-
  
Later years
    
289,125
  
 
  
$
330,946
  

24
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
9.            CORPORATE DEBT

The Company invests in corporate loans and corporate debt securities through the MML subsidiary.
The industry and interest rate characteristics of the portfolio as of September 30, 2016 are as follows:
 
 
 
 
 
 
  
Industry Dispersion
  
 
  
Fixed Rate
    
Floating Rate
    
Total
  
 
  
(dollars in thousands)
  
 
                  
Airports, Flying Fields and Airport Terminal
  
$
-
    
$
47,184
    
$
47,184
  
Commercial Fishing
    
-
      
40,590
      
40,590
  
Computer Programming & Data Processing
    
-
      
63,253
      
63,253
  
Drugs
    
-
      
34,247
      
34,247
  
Home Health Care Services
    
-
      
39,339
      
39,339
  
Insurance Agents, Brokers & Services
    
4,380
      
44,344
      
48,724
  
Management & Public Relations Services
    
-
      
39,116
      
39,116
  
Medical & Dental Laboratories
    
-
      
17,324
      
17,324
  
Miscellaneous Business Services
    
84,448
      
63,677
      
148,125
  
Miscellaneous Health & Allied Services
    
-
      
38,886
      
38,886
  
Miscellaneous Nonmetallic Minerals
    
-
      
24,682
      
24,682
  
Miscellaneous Plastic Products
    
-
      
27,075
      
27,075
  
Motor Vehicles, Parts & Supplies
    
-
      
12,347
      
12,347
  
Offices & Clinics of Doctors of Medicine
    
-
      
83,582
      
83,582
  
Research, Development & Testing Services
    
-
      
17,739
      
17,739
  
Schools & Educational Services
    
-
      
21,042
      
21,042
  
Surgical, Medical & Dental Instruments
    
-
      
13,576
      
13,576
  
Total
  
$
88,828
    
$
628,003
    
$
716,831
  

The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers as of September 30, 2016.
 
   
September 30, 2016
  
   
(dollars in thousands)
  
       
First lien loans
  
$
466,099
  
Second lien loans
    
161,904
  
Second lien notes
    
84,448
  
Subordinated notes
    
4,380
  
Total
  
$
716,831
  
 
10.  VARIABLE INTEREST ENTITIES

In January 2014, the Company closed on NLY Commercial Mortgage Trust 2014-FL1 (the “NLY Commercial Mortgage Trust”), a $399.5 million securitization financing transaction which provides permanent, non-recourse financing collateralized by floating-rate first mortgage debt investments originated or co-originated by the Company and is not subject to margin calls. A total of $260.7 million of investment grade bonds were issued by NLY Commercial Mortgage Trust, representing an advance rate of 65.3% at a weighted average coupon of LIBOR plus 1.74% at closing. The Company used the proceeds to originate
commercial real estate investments. The Company retained bonds rated below investment grade and the interest-only bond issued by the Trust, which are referred to as the subordinate bonds.

The Company incurred approximately $4.3 million of costs in connection with the securitization that have been capitalized and are being amortized to interest expense. Deferred financing costs are included in Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition. As of September 30, 2016, the underlying securitized debt was fully paid off, and accordingly, the respective origination fees were fully amortized.
 
25
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
The Company is considered to be the primary beneficiary of NLY Commercial Mortgage Trust as a result of its ability to remove the special servicer without cause and through its ownership of subordinated certificates. The Company did not elect the fair value option for the loans in this VIE in order to consistently account for loans it originated that are held for investment.

In February 2015, the Company purchased the junior-most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KLSF (“FREMF 2015-KLSF”) for $102.1 million. The underlying portfolio is a pool of 11 floating rate multifamily mortgage loans with a cut-off principal balance of $1.4 billion. The Company is required to consolidate the FREMF 2015-KLSF Trust’s assets and liabilities of $1.4 billion and $1.3 billion, respectively, at September 30, 2016.

In April 2015, the Company purchased the junior-most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KF07 (“FREMF 2015-KF07”) for $89.4 million. The underlying portfolio is a pool of 40 floating rate multifamily mortgage loans with a cut-off principal balance of $1.2 billion. The Company is required to consolidate the FREMF 2015-KF07 Trust’s assets and liabilities of $1.1 billion and $1.0 billion, respectively, at September 30, 2016.

In February 2016, the Company purchased the junior-most tranche, Class C Certificate of the Freddie Mac securitization, FREM Mortgage Trust 2016-KLH1 (“FREM 2016-KLH1”) for $107.6 million, net of a $4.4 million discount to face value of $112.0 million. The underlying portfolio is a pool of 28 floating rate multifamily mortgage loans with a cut-off principal balance of $1.5 billion. The Company is required to consolidate the FREM 2016-KLH1 Trust’s assets and liabilities of $1.5 billion and $1.4 billion, respectively, at September 30, 2016. FREMF 2015-KLSF, FREMF 2015-KF07 and FREM 2016-KLH1 are collectively referred to herein as the FREMF Trusts.

The FREMF Trusts are structured as pass-through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The FREMF Trusts are VIEs and the Company is considered to be the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership of the Class C Certificates and its current designation as the directing certificate holder. The Company’s exposure to the obligations of the VIEs is generally limited to the
Company’s investment in the FREMF Trusts of $291.3 million at September 30, 2016. Assets of the FREMF Trusts may only be used to settle obligations of the FREMF Trusts. Creditors of the FREMF Trusts have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the FREMF Trusts. No gain or loss was recognized upon initial consolidation of the FREMF Trusts, but $0.2 million and $0.8 million of related costs were expensed upon consolidation and are reflected in the Consolidated Statements of Comprehensive Income (Loss). The FREMF Trusts’ assets are included in Commercial real estate debt investments and the FREMF Trusts’ liabilities are included in Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition.

Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the FREMF Trusts in order to avoid an accounting mismatch, and to more accurately represent the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company has adopted ASU 2014-13 and applied the practical expedient fair value measurement whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the FREMF Trusts is more observable, since the prices for these liabilities are available from third-party pricing services utilized for multifamily mortgage-backed securities, while the fair value of the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the FREMF Trusts is an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy.

The FREMF Trusts mortgage loans had an unpaid principal balance of $3.9 billion at September 30, 2016. As of September 30, 2016 there are no loans 90 days or more past due or on nonaccrual status. There is no gain or loss attributable to instrument-specific credit risk of the underlying loans or securitized debt securities as of September 30, 2016 based upon the Company’s process of monitoring events of default on the underlying mortgage loans.
 
26
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
The Company consolidates a residential mortgage trust that issued residential mortgaged-backed securities that are collateralized by residential mortgage whole loans that had been transferred to the trust by one of the Company’s subsidiaries. The Company owns most of the mortgaged-backed securities issued by this VIE, including the subordinate securities, and a subsidiary of the Company continues to be the servicer. As such, the Company is deemed to be the primary beneficiary of the residential mortgage trust and consolidates the entity. The Company has elected the fair value option for the financial assets and liabilities of this VIE, but has elected not to apply the practical expedient under ASU 2014-13 as prices of both the financial liabilities and financial assets of the residential mortgage trust are available from third-party pricing services. The contractual principal amount of the residential mortgage trust’s debt was $50.5 million as of September 30, 2016.

In June 2016, a consolidated subsidiary of the Company (the “Borrower”) entered into a $300.0 million credit facility with a third party financial institution. The Borrower was determined to be a VIE and the Company was determined to be the primary beneficiary due to its role as collateral manager and because it holds a variable interest in the entity that could be potentially significant to the entity. The Company has transferred corporate loans with a carrying amount of $475.5 million at September 30, 2016 that are pledged as collateral for the credit facility. The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. As of September 30, 2016, the Borrower had an intercompany
receivable of $212.2 million, which eliminates upon consolidation and an Other secured financing of $212.2 million to the third party financial institution.

The Company also owns variable interests in an entity that invests in MSRs and has structured its operations, funding and capitalization into three pools of assets and liabilities referred to as “silos.” Owners of variable interests in a given silo are entitled to all of the returns and risk of loss on the investments and operations of that silo and have no substantive recourse to the assets of any other silo. While the Company has power over all silos because it holds 100% of the voting interests in the entity, it has variable interests only in two of the silos. The Company is the primary beneficiary of those two silos because it holds 100% of their variable interests.

The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $ 1.1 billion at September 30, 2016. Assets of the VIEs may only be used to settle obligations of the VIE Trusts. Creditors of the VIE Trusts have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the VIEs. No gain or loss was recognized upon initial consolidation of the VIEs. Interest income and expense are recognized using the effective interest method.

The statement of financial condition of the Company’s VIEs that is reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2016 and December 31, 2015 are as follows:
 
 
 
  
September 30, 2016
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
    
MSR Silos
  
 
  
(dollars in thousands)
  
Assets
                        
Cash
  
$
-
    
$
185
    
$
-
    
$
31,163
  
Senior securitized commercial mortgages carried at fair value
    
3,953,150
      
-
      
-
      
-
  
Commercial real estate and debt and preferred equity, held for investment
    
-
      
128,896
      
-
      
-
  
Residential mortgages loans carried at fair value
    
-
      
-
      
176,748
      
9,631
  
Mortgage servicing rights
    
-
      
-
      
-
      
492,169
  
Accrued interest receivable
    
8,519
      
49
      
356
      
4
  
Other assets
    
-
      
9
      
3,149
      
29,586
  
Total assets
  
$
3,961,669
    
$
129,139
    
$
180,253
    
$
562,553
  
 
                                
Liabilities
                                
Securitized debt (non-recourse) at fair value
  
$
3,661,884
    
$
-
    
$
50,937
    
$
-
  
Other secured financing
    
-
      
-
      
-
      
4,186
  
Other derivatives, at fair value
    
-
      
-
      
-
      
9
  
Accrued interest payable
    
4,288
      
200
      
127
      
-
  
Other liabilities
    
-
      
-
      
44
      
25,363
  
Total liabilities
  
$
3,666,172
    
$
200
    
$
51,108
    
$
29,558
  

27
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements

 
  
December 31, 2015
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
  
 
  
(dollars in thousands)
  
Assets
            
Cash
  
$
-
    
$
49,025
  
Senior securitized commercial mortgages carried at fair value
    
2,554,023
      
-
  
Commercial real estate and debt and preferred equity, held for investment
    
-
      
262,703
  
Accrued interest receivable
    
4,994
      
431
  
Other Assets
    
-
      
169
  
Total assets
  
$
2,559,017
    
$
312,328
  
                 
Liabilities
                
Securitized debt (non-recourse) at fair value
  
$
2,366,878
    
$
-
  
Securitized debt (non-recourse) at amortized cost
    
-
      
173,833
  
Accrued interest payable
    
4,183
      
191
  
Other liabilities
    
-
      
290
  
Total liabilities
  
$
2,371,061
    
$
174,314
  
 
The statement of comprehensive income (loss) of the Company’s VIEs that is reflected in the Company’s Consolidated Statements of Comprehensive Income
(Loss) for the quarter and nine months ended September 30, 2016 are as follows:
 
 
  
For the Quarter Ended
  
 
  
September 30, 2016
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
    
MSR Silos
  
 
  
(dollars in thousands)
  
Net interest income:
                        
Interest income
  
$
25,148
    
$
1,691
    
$
932
    
$
57
  
Interest expense
    
11,375
      
105
      
404
      
22
  
Net interest income
    
13,773
      
1,586
      
528
      
35
  
 
                                
Realized gain (loss) on disposal of investments
    
-
      
-
      
(329
)
    
184
  
Unrealized gain (loss) on investments at fair value (1)
    
(3,201
)
    
-
      
(109
)
    
4,218
  
Other income (loss)
    
(6,773
)
    
-
      
(79
)
    
25,716
  
General and administration expenses
    
-
      
-
      
17
      
1,555
  
Net income (loss)
  
$
3,799
    
$
1,586
    
$
(6
)
  
$
28,598
  

 
 
  
For the Nine Months Ended
  
 
  
September 30, 2016
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
    
MSR Silos
  
 
  
(dollars in thousands)
  
Net interest income:
                        
Interest income
  
$
69,972
    
$
8,543
    
$
932
    
$
57
  
Interest expense
    
29,598
      
2,302
      
404
      
22
  
Net interest income
    
40,374
      
6,241
      
528
      
35
  
 
                                
Realized gain (loss) on disposal of investments
    
-
      
-
      
(329
)
    
184
  
Unrealized gain (loss) on investments at fair value (1)
    
3,784
      
-
      
(109
)
    
4,218
  
Other income (loss)
    
(18,861
)
    
-
      
(79
)
    
25,716
  
General and administration expenses
    
2
      
(2
 )     
17
      
1,555
  
Net income (loss)
  
$
25,295
    
$
6,243
    
$
(6
)
  
$
28,598
  

28
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to
the Company’s VIEs as of September 30, 2016 are as follows:
 
 
 
Securitized Loans at Fair Value Geographic Concentration of Credit Risk
  
                                             
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
  
Property Location
  
Principal Balance
    
% of Balance
    
Property Location
  
Principal Balance
    
% of Balance
    
Property Location
  
Principal Balance
    
% of Balance
  
(dollars in thousands)
  
Texas
  
$
724,035
      
18.4
%
  
Illinois
  
$
111,396
      
86.4
%
  
California
  
$
80,023
      
46.3
%
North Carolina
    
537,375
      
13.6
%
  
Oklahoma
    
17,500
      
13.6
%
  
Texas
    
19,114
      
11.1
%
Maryland
    
499,495
      
12.7
%
  
 
                  
Washington
    
10,734
      
6.3
%
Florida
    
456,516
      
11.6
%
  
 
                  
Illinois
    
10,799
      
6.2
%
Other (1)
    
1,723,146
      
43.7
%
  
 
                  
Florida
    
9,392
      
5.4
%
 
                  
 
                  
Other (1)
    
42,664
      
24.7
%
Total
  
$
3,940,567
      
100.0
%
  
Total
  
$
128,896
      
100.0
%
   Total   
$
172,726
      
100.0
%
                                                         
(1) No individual state greater than 5%                        

11.            FAIR VALUE MEASUREMENTS

The Company follows fair value guidance in accordance with GAAP to account for its investments. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

GAAP requires classification of financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).  If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows:

Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets.

Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.

Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value.
The Company designates its financial instruments as trading, available for sale or held to maturity depending upon the type of instrument and the Company’s intent and ability to hold such instrument to maturity. Instruments classified as available for sale and trading are reported at fair value on a recurring basis.

The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level.

Futures contracts are valued using quoted prices for identical instruments in active markets. Residential Investment Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities, third party pricing services and/or other applicable market data.  Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
29
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
Residential Investment Securities, residential mortgage loans, interest rate swap and swaption markets and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Investment Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Investment Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy.  Additionally, as discussed in the “Commercial Real Estate Investments” Note, Commercial real estate debt investments carried at fair value are classified as Level 2.

The fair value of securitized debt of consolidated VIEs is determined using the average of external vendor pricing services.
The Company classifies its investments in MSRs as Level 3 in the fair value measurements hierarchy. Fair value estimates for these investments are obtained from internal models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including prepayment rates, delinquency levels, costs to service and discount rates. Model valuations are then compared to external valuations obtained from third-party pricing providers. Management reviews the valuations received from third-party pricing providers and uses them as a point of comparison to its internally modeled values. The valuation of MSRs requires significant judgment by management and the third-party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements.

The following table presents the estimated fair values of investments measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
30
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
   
Level 1
    
Level 2
    
Level 3
    
Total
  
September 30, 2016
  
(dollars in thousands)
  
Assets:
                        
Agency mortgage-backed securities
  
$
-
      
73,476,105
    
$
-
    
$
73,476,105
  
Credit risk transfer securities
    
-
      
669,295
      
-
      
669,295
  
Non-Agency mortgage-backed securities
    
-
      
1,460,261
      
-
      
1,460,261
  
Residential mortgage loans
    
-
      
310,148
      
-
      
310,148
  
Mortgage servicing rights
    
-
      
-
      
492,169
      
492,169
  
Commercial real estate debt investments
    
-
      
4,319,077
      
-
      
4,319,077
  
Interest rate swaps
    
-
      
113,253
      
-
      
113,253
  
Other derivatives
    
26,985
      
60,936
      
-
      
87,921
  
Total assets
  
$
26,985
    
$
80,409,075
    
$
492,169
    
$
80,928,229
  
Liabilities:
                                
Securitized debt of consolidated VIEs
  
$
-
    
$
3,712,821
    
$
-
    
$
3,712,821
  
Interest rate swaps
    
-
      
2,919,492
      
-
      
2,919,492
  
Other derivatives
    
70,784
      
2,661
      
-
      
73,445
  
Total liabilities
  
$
70,784
    
$
6,634,974
    
$
-
    
$
6,705,758
  
 
                                
 
                                
   
Level 1
    
Level 2
    
Level 3
    
Total
  
December 31, 2015
  
(dollars in thousands)
  
Assets:
                                
Agency mortgage-backed securities
  
$
-
    
$
65,718,224
    
$
-
    
$
65,718,224
  
Agency debentures
    
-
      
152,038
      
-
      
152,038
  
Credit risk transfer securities
    
-
      
456,510
      
-
      
456,510
  
Non-Agency mortgage-backed securities
    
-
      
906,722
      
-
      
906,722
  
Commercial real estate debt investments
    
-
      
2,911,828
      
-
      
2,911,828
  
Interest rate swaps
    
-
      
19,642
      
-
      
19,642
  
Other derivatives
    
12,443
      
9,623
      
-
      
22,066
  
Total assets
  
$
12,443
    
$
70,174,587
    
$
-
    
$
70,187,030
  
Liabilities:
                                
Securitized debt of consolidated VIEs
  
$
-
    
$
2,366,878
    
$
-
    
$
2,366,878
  
Interest rate swaps
    
-
      
1,677,571
      
-
      
1,677,571
  
Other derivatives
    
32,778
      
17,185
      
-
      
49,963
  
Total liabilities
  
$
32,778
    
$
4,061,634
    
$
-
    
$
4,094,412
  
 
Quantitative Information about Level 3 Fair Value Measurements

The Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The following paragraph provides a general description of sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently of changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described
below, the inverse relationship would also generally apply.

For MSRs, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement. A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSRs, which in turn could result in a decline in the estimated fair value of MSRs. Refer to the Note titled “Mortgage Servicing Rights” for additional information.

The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.
 
31
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
 
September 30, 2016
  
     
Range
  
Valuation Technique 
Unobservable Input(1)
  
(Weighted Average )
  
Discounted cash flow 
Discount rate
    
10.0% -15.0% (10.4
%)
 
Prepayment rate
    
6.3% - 43.2% (20.1
%)
 
Delinquency rate
    
0.0% - 8.0% (2.0
%)
 
Cost to service
  
 
$84 - $146 ($100)
 

(1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.
 
Fair Value Information about Financial Instruments Not Carried At Fair Value

GAAP requires disclosure of fair value information about financial instruments, whether or not recognized in the financial statements, for which it is practical to estimate the value. In cases where quoted market prices are not available, fair values are based upon discounted cash flows using market yields, methodologies that incorporate market-based transactions or other valuation methodologies. Considerable judgment is necessary to interpret market data and develop estimated fair values. Accordingly, fair values are not necessarily indicative of the amount the Company would realize on disposition of the financial instruments. The use of different market assumptions or estimation methodologies could have a material effect on the estimated fair value amounts.

The carrying value of short-term instruments, including cash and cash equivalents, reverse repurchase agreements, repurchase agreements and other secured financing whose term is less than twelve months, generally approximates fair value due to the short-term nature of the instruments.

The estimated fair value of commercial real estate debt and preferred equity investments takes into consideration changes in credit spreads and interest rates from the date of origination or purchase to the reporting date. The fair value also reflects consideration of asset-specific maturity dates and other items that could have an impact on the fair value as of the reporting date.

Estimates of fair value of corporate debt require the use of judgments and inputs including, but not limited to, the
enterprise value of the borrower (i.e., an estimate of the total fair value of the borrower's debt and equity), the nature and realizable value of any collateral, the borrower’s ability to make payments when due and its earnings history.  Management also considers factors that affect the macro and local economic markets in which the borrower operates. 

The fair value of repurchase agreements with remaining maturities greater than one year or with embedded optionality are valued as structured notes, with term to maturity, LIBOR rates and the Treasury curve being primary determinants of estimated fair value.

The fair value of mortgages payable is calculated using the estimated yield of a new par loan to value the remaining terms in place. A par loan is created using the identical terms of the existing loan; however, the coupon is derived by using the original spread against the interpolated Treasury. The fair value of mortgages payable also reflects consideration of the value of the underlying collateral and changes in credit risk from the time the debt was originated.

The carrying value of the participation sold is based on the loan’s amortized cost. The fair value of the participation sold is based on the fair value of the underlying related commercial loan.

The following table summarizes the estimated fair value for financial assets and liabilities as of September 30, 2016 and December 31, 2015.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
32
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
         
September 30, 2016
    
December 31, 2015
  
   
Level in Fair Value Hierarchy
    
Carrying Value
    
Fair Value
    
Carrying Value
    
Fair Value
  
Financial assets:
        
(dollars in thousands)
  
Cash and cash equivalents
    
1
    
$
2,382,188
    
$
2,382,188
    
$
1,769,258
    
$
1,769,258
  
Agency mortgage-backed securities
    
2
      
73,476,105
      
73,476,105
      
65,718,224
      
65,718,224
  
Agency debentures
    
2
      
-
      
-
      
152,038
      
152,038
  
Credit risk transfer securities
    
2
      
669,295
      
669,295
      
456,510
      
456,510
  
Non-Agency mortgage-backed securities
    
2
      
1,460,261
      
1,460,261
      
906,722
      
906,722
  
Residential mortgage loans
    
2
      
310,148
      
310,148
      
-
      
-
  
Mortgage servicing rights
    
3
      
492,169
      
492,169
      
-
      
-
  
Commercial real estate debt investments
    
2
      
4,319,077
      
4,319,077
      
2,911,828
      
2,911,828
  
Commercial real estate debt and preferred equity, held for investment
    
3
      
1,070,197
      
1,069,089
      
1,348,817
      
1,350,968
  
Commercial loans held for sale, net
    
3
      
144,275
      
144,275
      
278,600
      
278,600
  
Corporate debt (1)
    
2
      
716,831
      
714,672
      
488,508
      
470,894
  
Interest rate swaps
    
2
      
113,253
      
113,253
      
19,642
      
19,642
  
Other derivatives
    
1,2
      
87,921
      
87,921
      
22,066
      
22,066
  
 
                                        
Financial liabilities:
                                        
Repurchase agreements
    
1,2
    
$
61,784,121
    
$
61,857,552
    
$
56,230,860
    
$
56,361,623
  
Other secured financing
    
1,2
      
3,804,742
      
3,806,477
      
1,845,048
      
1,846,095
  
Securitized debt of consolidated VIEs
    
2
      
3,712,821
      
3,712,821
      
2,540,711
      
2,541,193
  
Participation sold
    
2
      
12,976
      
12,908
      
13,286
      
13,138
  
Mortgage payable
    
3
      
327,632
      
346,718
      
334,707
      
339,849
  
Interest rate swaps
    
2
      
2,919,492
      
2,919,492
      
1,677,571
      
1,677,571
  
Other derivatives
    
1,2
      
73,445
      
73,445
      
49,963
      
49,963
  

(1) Includes a held-to-maturity debt security carried at amortized cost of $84.4 million and $74.7 million as of September 30, 2016 and December 31, 2015, respectively. The held-to-maturity debt security had a fair value of $84.6 million and $61.3 million as of September 30, 2016 and December 31, 2015, respectively.
33
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
12.      SECURED FINANCING

The Company had outstanding $61.8 billion and $56.2 billion of repurchase agreements with weighted average borrowing rates of 1.71% and 1.83%, after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of
128 days and 151 days as of September 30, 2016 and December 31, 2015, respectively.

At September 30, 2016 and December 31, 2015, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates:
 
 
 
 
 
 
 
   
September 30, 2016
  
   
Agency Mortgage-backed Securities
    
CRTs
    
Non-Agency Mortgage-backed Securities
    
Commercial Loans
    
Total Repurchase Agreements
    
Weighted Average Rate
  
   
(dollars in thousands)
  
1 day
  
$
-
    
$
-
    
$
-
    
$
-
    
$
-
      
-
 
2 to 29 days
    
25,761,193
      
250,347
      
496,798
      
-
      
26,508,338
      
0.99
%
30 to 59 days
    
4,937,568
      
71,650
      
191,132
      
-
      
5,200,350
      
0.86
%
60 to 89 days
    
6,057,659
      
-
      
115,939
      
-
      
6,173,598
      
0.85
%
90 to 119 days
    
5,309,103
      
-
      
-
      
-
      
5,309,103
      
0.79
%
Over 120 days(1)
    
18,297,615
      
-
      
-
      
295,117
      
18,592,732
      
1.39
%
Total
  
$
60,363,138
    
$
321,997
    
$
803,869
    
$
295,117
    
$
61,784,121
      
1.07
%

   
December 31, 2015
  
 
  
Agency Mortgage-backed Securities
    
CRTs
    
Non-Agency Mortgage-backed Securities
    
Commercial Loans
    
Total Repurchase Agreements
    
Weighted Average Rate
  
 
  
(dollars in thousands)
  
1 day
  
$
-
    
$
-
    
$
-
    
$
-
    
$
-
      
-
 
2 to 29 days
    
20,123,464
      
83,664
      
260,359
      
-
      
20,467,487
      
0.69
%
30 to 59 days
    
7,898,646
      
59,189
      
65,374
      
-
      
8,023,209
      
0.74
%
60 to 89 days
    
4,046,593
      
-
      
78,833
      
-
      
4,125,426
      
0.74
%
90 to 119 days
    
4,846,580
      
-
      
-
      
-
      
4,846,580
      
0.60
%
Over 120 days(1)
    
18,557,715
      
-
      
31,015
      
179,428
      
18,768,158
      
1.33
%
Total
  
$
55,472,998
    
$
142,853
    
$
435,581
    
$
179,428
    
$
56,230,860
      
0.90
%

Repurchase agreements and reverse repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements permit netting. The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net
amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of September 30, 2016 and December 31, 2015. Refer to “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.
 
 
 
 
   
September 30, 2016
    
December 31, 2015
  
   
Reverse Repurchase Agreements
    
Repurchase Agreements
    
Reverse Repurchase Agreements
    
Repurchase Agreements
  
   
(dollars in thousands)
  
Gross Amounts
  
$
500,000
    
$
62,284,121
    
$
-
    
$
56,230,860
  
Amounts Offset
    
(500,000
)
    
(500,000
)
    
-
      
-
  
Netted Amounts
  
$
-
    
$
61,784,121
    
$
-
    
$
56,230,860
  

The Company also finances a portion of its financial assets with advances from the Federal Home Loan Bank of Des Moines (“FHLB Des Moines”). Borrowings from FHLB Des Moines are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition. As of September 30, 2016, $3.6
billion matures beyond three years. As of December 31, 2015, $402.8 million matures within 90 days and $1.4 billion extends beyond three years. The weighted average rate of the advances from the FHLB Des Moines was 0.65% and 0.59% at September 30, 2016 and December 31, 2015, respectively.
 
 
 
34
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
Financial instruments pledged as collateral under secured financing arrangements and interest rate swaps had an estimated fair value and accrued interest of $71.1 billion and $214.3 million, respectively, at September  30, 2016 and $62.3 billion and $171.7 million, respectively, at December 31, 2015.

13.          DERIVATIVE INSTRUMENTS

In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, MBS options, U.S. Treasury or Eurodollar futures contracts and certain forward purchase commitments to economically hedge its exposure to
market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by the counterparty, the Company could have difficulty obtaining its cash or Residential Investment Securities pledged as collateral as well as receiving payments in accordance with the terms of the derivative contracts.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
The table below summarizes fair value information about our derivative assets and liabilities as of September 30, 2016 and December 31, 2015:
 
Derivatives Instruments
Balance Sheet Location
  
September 30, 2016
    
December 31, 2015
  
Assets:
    
(dollars in thousands)
  
Interest rate swaps
Interest rate swaps, at fair value
  
$
113,253
    
$
19,642
  
Interest rate swaptions
Other derivatives, at fair value
    
1,527
      
-
  
TBA derivatives
Other derivatives, at fair value
    
59,360
      
9,622
  
Futures contracts
Other derivatives, at fair value
    
26,986
      
12,444
  
Purchase commitments
Other derivatives, at fair value
    
48
      
-
  
      
$
201,174
    
$
41,708
  
                   
Liabilities:
                  
Interest rate swaps
Interest rate swaps, at fair value
  
$
2,919,492
    
$
1,677,571
  
Interest rate swaptions
Other derivatives, at fair value
    
2,105
      
-
  
TBA derivatives
Other derivatives, at fair value
    
547
      
17,185
  
Futures contracts
Other derivatives, at fair value
    
70,784
      
32,778
  
Purchase commitments
Other derivatives, at fair value
    
9
      
-
  
      
$
2,992,937
    
$
1,727,534
  

35
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2016 and December 31, 2015:
 
September 30, 2016
  
Maturity
  
Current Notional (1)
    
Weighted Average Pay Rate (2) (3)
    
Weighted Average Receive Rate (2)
    
Weighted Average Years to Maturity (2)
  
(dollars in thousands)
  
0 - 3 years
  
$
4,552,383
      
1.74
%
    
0.76
%
    
2.77
  
3 - 6 years
    
9,675,000
      
1.92
%
    
0.88
%
    
4.14
  
6 - 10 years
    
7,363,550
      
2.34
%
    
0.98
%
    
7.81
  
Greater than 10 years
    
3,634,400
      
3.70
%
    
0.67
%
    
18.62
  
Total / Weighted Average
  
$
25,225,333
      
2.25
%
    
0.88
%
    
6.89
  
                                 
                                 
December 31, 2015
  
Maturity
  
Current Notional (1)
    
Weighted Average Pay Rate (2) (3)
    
Weighted Average Receive Rate (2)
    
Weighted Average Years to Maturity (2)
  
(dollars in thousands)
  
0 - 3 years
  
$
3,240,436
      
1.85
%
    
0.36
%
    
1.80
  
3 - 6 years
    
11,675,000
      
1.82
%
    
0.55
%
    
4.25
  
6 - 10 years
    
11,635,250
      
2.44
%
    
0.57
%
    
7.92
  
Greater than 10 years
    
3,634,400
      
3.70
%
    
0.43
%
    
19.37
  
Total / Weighted Average
  
$
30,185,086
      
2.26
%
    
0.53
%
    
7.02
  

(1)
There were no forward starting swaps as of September 30, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015.
(2)
Excludes forward starting swaps.
(3)
There were no forward starting swaps as of September 30, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015.
The following table presents swaptions outstanding as of September 30, 2016. There were no swaptions as of December 31, 2015.
 
September 30, 2016
  
Current Underlying Notional
    
Weighted Average Underlying Pay Rate
    
Weighted Average Underlying Receive Rate
    
Weighted Average Underlying Years to Maturity
    
Weighted Average Months to Expiration
  
(dollars in thousands)  
Long
  
$
950,000
      1.08%
 
  
3M LIBOR
      
2.24
      
2.77
  
Short
  
$
(200,000
)
  
3M LIBOR
      1.54%
 
    
10.25
      
2.77
  

The following table summarizes certain characteristics of the Company’s TBA derivatives as of September 30, 2016 and December 31, 2015:
 
September 30, 2016
  
Purchase and sale contracts for derivative TBAs
  
Notional
    
Implied Cost Basis
    
Implied Market Value
    
Net Carrying Value
  
(dollars in thousands)
  
Purchase contracts
  
$
15,950,000
    
$
16,671,196
    
$
16,730,009
    
$
58,813
  
                                 
December 31, 2015
  
Purchase and sale contracts for derivative TBAs
  
Notional
    
Implied Cost Basis
    
Implied Market Value
    
Net Carrying Value
  
(dollars in thousands)
  
Purchase contracts
  
$
13,761,000
    
$
14,177,338
    
$
14,169,775
    
$
(7,563
)

36
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
The following table summarizes certain characteristics of the Company’s futures derivatives as of September 30, 2016 and December 31, 2015:
 
   
September 30, 2016
  
   
Notional - Long Positions
    
Notional - Short Positions
    
Weighted Average Years to Maturity
  
   
(dollars in thousands)
        
2-year swap equivalent Eurodollar contracts
  
$
-
    
$
(14,991,375
)
    
2.00
  
U.S. Treasury futures - 5 year
    
-
      
(1,247,200
)
    
4.42
  
Total
  
$
-
    
$
(16,238,575
)
    
2.19
  
                         
                         
                         
   
December 31, 2015
  
   
Notional - Long Positions
    
Notional - Short Positions
    
Weighted Average Years to Maturity
  
   
(dollars in thousands)
          
2-year swap equivalent Eurodollar contracts
  
$
-
    
$
(7,000,000
)
    
2.00
  
U.S. Treasury futures - 5 year
    
-
      
(1,847,200
)
    
4.42
  
U.S. Treasury futures - 10 year and greater
    
-
      
(655,600
)
    
6.92
  
Total
  
$
-
    
$
(9,502,800
)
    
2.81
  

The Company presents derivative contracts on a gross basis on the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. The following tables present information about
derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition as of September 30, 2016 and December 31, 2015, respectively.
 
 
 
 
 
September 30, 2016
        
Amounts Eligible for Offset
        
 
  
Gross Amounts
    
Financial Instruments
    
Cash Collateral
    
Net Amounts
  
Assets:
  
(dollars in thousands)
  
Interest rate swaps, at fair value
  
$
113,253
    
$
(113,253
)
  
$
-
    
$
-
  
Interest rate swaptions, at fair value
    
1,527
      
(1,527
)
    
-
      
-
  
TBA derivatives, at fair value
    
59,360
      
(406
)
    
-
      
58,954
  
Futures contracts, at fair value
    
26,986
      
(26,986
)
    
-
      
-
  
Purchase commitments
    
48
      
-
      
-
      
48
  
 
                                
Liabilities:
                                
Interest rate swaps, at fair value
  
$
2,919,492
    
$
(113,253
)
  
$
(1,657,612
)
  
$
1,148,627
  
Interest rate swaptions, at fair value
    
2,105
      
(1,527
)
    
-
      
578
  
TBA derivatives, at fair value
    
547
      
(406
)
    
-
      
141
  
Futures contracts, at fair value
    
70,784
      
(26,986
)
    
(43,798
)
    
-
  
Purchase commitments
    
9
      
-
      
-
      
9
  
 
                                
 
                                
December 31, 2015
          
Amounts Eligible for Offset
          
 
  
Gross Amounts
    
Financial Instruments
    
Cash Collateral
    
Net Amounts
  
Assets:
  
(dollars in thousands)
  
Interest rate swaps, at fair value
  
$
19,642
    
$
(18,040
)
  
$
-
    
$
1,602
  
TBA derivatives, at fair value
    
9,622
      
(7,367
)
    
-
      
2,255
  
Futures contracts, at fair value
    
12,443
      
(10,868
)
    
-
      
1,575
  
 
                                
Liabilities:
      
Interest rate swaps, at fair value
  
$
1,677,571
    
$
(18,040
)
  
$
(913,576
)
  
$
745,955
  
TBA derivatives, at fair value
    
17,185
      
(7,367
)
    
-
      
9,818
  
Futures contracts, at fair value
    
32,778
      
(10,868
)
    
(21,910
)
    
-
  

37
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows:
 
   
Location on Consolidated Statements of Comprehensive Income (Loss)
  
   
Realized Gains (Losses) on Interest Rate Swaps(1)
    
Realized Gains (Losses) on Termination of Interest Rate Swaps
    
Unrealized Gains (Losses) on Interest Rate Swaps
  
   
(dollars in thousands)
  
Quarters Ended:
                  
September 30, 2016
  
$
(124,572
)
  
$
1,337
    
$
256,462
  
September 30, 2015
  
$
(162,304
)
  
$
-
    
$
(822,585
)
Nine Months Ended:
                        
September 30, 2016
  
$
(402,809
)
  
$
(58,727
)
  
$
(1,148,478
)
September 30, 2015
  
$
(465,008
)
  
$
(226,462
)
  
$
(587,995
)

(1) Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).
 
The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
 
Quarter Ended September 30, 2016
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
Net TBA derivatives (1)
  
$
174,086
    
$
(78,677
)
  
$
95,409
  
Net interest rate swaptions
    
4,180
      
93
      
4,273
  
Futures
    
(47,035
)
    
110,218
      
63,183
  
Purchase commitments
    
-
      
116
      
116
  
                   
$
162,981
  
                         
Quarter Ended September 30, 2015
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
                         
Net TBA derivatives (1)
  
$
168,292
    
$
81,560
    
$
249,852
  
Net interest rate swaptions
    
(11,525
)
    
11,519
      
(6
)
Futures
    
(36,468
)
    
(105,199
)
    
(141,667
)
 
                  
$
108,179
  
(1) Includes options on TBA contracts. 
 
Nine Months Ended September 30, 2016
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
Net TBA derivatives (1)
    
492,450
      
66,376
    
$
558,826
  
Net interest rate swaptions
    
4,180
      
93
      
4,273
  
Futures
    
(169,716
)
    
(23,465
)
    
(193,181
)
Purchase Commitments
    
-
      
116
      
116
  
                   
$
370,034
  
                         
Nine Months Ended September 30, 2015
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
Net TBA derivatives (1)
  
$
61,846
    
$
91,773
    
$
153,619
  
Net interest rate swaptions
    
(41,016
)
    
35,634
      
(5,382
)
Futures
    
(51,205
)
    
(109,974
)
    
(161,179
)
 
                  
$
(12,942
)
(1) Includes options on TBA contracts.
Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant
counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set
 
 
 
 
38
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at  September 30, 2016 was approximately $2.7 billion, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized.

14.      CONVERTIBLE SENIOR NOTES

In 2010, the Company issued $600.0 million in aggregate principal amount of its 4% Convertible Senior Notes for net proceeds of approximately $582.0 million. In 2012, the Company repurchased $492.5 million in aggregate principal amount of its 4% Convertible Senior Notes. In February 2015, the 4% Convertible Senior Notes matured and the Company repaid the remaining 4% Convertible Senior Notes for the face amount of $107.5 million.

In May 2012, the Company issued $750.0 million in aggregate principal amount of its 5% Convertible Senior Notes due 2015 for net proceeds of approximately $727.5 million.  In May 2015, the 5% Convertible Senior Notes matured and the Company repaid the 5% Convertible Senior Notes for the face amount of $750.0 million. 

15.     COMMON STOCK AND PREFERRED STOCK

The Company’s authorized shares of capital stock, par value of $0.01 per share, consists of 1,945,437,500 shares classified as common stock, 7,412,500 shares classified as 7.875% Series A Cumulative Redeemable Preferred Stock, 4,600,000 shares classified as 6.00% Series B Cumulative Convertible Preferred Stock, 12,650,000 shares classified as 7.625% Series C Cumulative Redeemable Preferred Stock, 18,400,000 shares classified as 7.50% Series D Cumulative Redeemable Preferred Stock and 11,500,000 shares classified as 7.625% Series E Cumulative Redeemable Preferred Stock.

(A)
Common Stock

At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 1,018,857,866 and
935,929,561 shares of common stock, respectively, with a par value of $0.01 per share.

In July 2016, the Company issued 93.9 million shares of common shares as part of the consideration for the Hatteras Acquisition.

No options were exercised during the nine months ended September 30, 2016 and 2015.

During the nine months ended September 30, 2016, the Company raised $1.8 million, by issuing 172,000 shares, through the Direct Purchase and Dividend Reinvestment Program. During the nine months ended September 30, 2015, the Company raised $1.7 million, by issuing 168,000 shares, through the Direct Purchase and Dividend Reinvestment Program.

In August 2015, the Company announced that its board of directors (“Board”) had authorized the repurchase of up to $1.0 billion of its outstanding common shares through December 31, 2016 (“Repurchase Program”). During the nine months ended September 30, 2016, the Company repurchased 11,132,226 shares of its common stock under the Repurchase Program for an aggregate amount of $102.7 million. All common shares purchased were part of a publicly announced plan in open-market transactions.

In March 2012, the Company entered into six separate Distribution Agency Agreements (“Distribution Agency Agreements”) with each of Merrill Lynch; Pierce, Fenner & Smith Incorporated; Credit Suisse Securities (USA) LLC; Goldman, Sachs & Co.; J.P. Morgan Securities LLC; Morgan Stanley & Co. LLC; and RCap Securities, Inc. (together, the Agents).  Pursuant to the terms of the Distribution Agency Agreements, the Company may sell from time to time through the Agents, as its sales agents, up to 125,000,000 shares of the Company’s common stock. The Company did not make any sales under the Distribution Agency Agreements during the nine months ended September 30, 2016 and 2015.

(B) Preferred Stock

At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 7,412,500 shares of Series A Cumulative Redeemable Preferred Stock (“Series A Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series A Preferred Stock is entitled to a dividend at a rate of 7.875% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series A
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
39
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company's option commencing on April 5, 2009 (subject to the Company's right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve its qualification as a REIT). Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock.

At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 12,000,000 shares of Series C Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series C Preferred Stock is entitled to a dividend at a rate of 7.625% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series C Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on May 16, 2017 (subject to the Company’s right under limited circumstances to redeem the Series C Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock.

At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 18,400,000 shares of Series D Cumulative Redeemable Preferred Stock (“Series D Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series D Preferred Stock is entitled to a dividend at a rate of 7.50% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series D Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively
at the Company’s option commencing on September 13, 2017 (subject to the Company’s right under limited circumstances to redeem the Series D Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series D Preferred Stock.

At September 30, 2016, the Company had issued and outstanding 11,500,000 shares of Series E Cumulative Redeemable Preferred Stock (“Series E Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series E Preferred Stock is entitled to a dividend at a rate of 7.625% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series E Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on August 27, 2017 (subject to the Company’s right under limited circumstances to redeem the Series E Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). The Series E Preferred Stock was issued in July 2016 as part of the Hatteras Acquisition, refer to the “Acquisition of Hatteras” Note for additional information. Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series E Preferred Stock.

The 7.875% Series A Preferred Stock, 7.625% Series C Preferred Stock, 7.50% Series D Preferred Stock and 7.625% Series E Preferred Stock rank senior to the common stock of the Company.

(C) Distributions to Stockholders

The following table provides a summary of the Company’s dividend distribution activity for the periods presented:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
40
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
 
  
For the Nine Months Ended:
  
 
  
September 30, 2016
    
September 30, 2015
  
 
  
(dollars in thousands, except per share data)
  
Distributions declared to common stockholders
  
$
857,223
    
$
852,989
  
Distributions declared per common share
  
$
0.90
    
$
0.90
  
Distributions paid to common stockholders after period end
  
$
269,111
    
$
284,348
  
Distributions paid per common share after period end
  
$
0.26
    
$
0.30
  
Date of distributions paid to common stockholders after period end
  
October 31, 2016
    
October 30, 2015
  
Dividends declared to Series A Preferred stockholders
  
$
10,944
    
$
10,944
  
Dividends declared per Series A Preferred share
  
$
1.477
    
$
1.477
  
Dividends declared to Series C Preferred stockholders
  
$
17,157
    
$
17,157
  
Dividends declared per Series C Preferred share
  
$
1.430
    
$
1.430
  
Dividends declared to Series D Preferred stockholders
  
$
25,875
    
$
25,875
  
Dividends declared per Series D Preferred share
  
$
1.406
    
$
1.406
  
Dividends declared to Series E Preferred stockholders
  
$
4,811
    
$
-
  
Dividends declared per Series E Preferred share
  
$
0.477
    
$
-
  

16.            INTEREST INCOME AND INTEREST EXPENSE
The table below presents the components of the Company’s interest income and interest expense for the quarters and nine months ended September 30, 2016 and 2015.
 
 
 
 
 
  
For the Quarters Ended September 30,
    
For the Nine Months Ended September 30,
  
 
  
2016
    
2015
    
2016
    
2015
  
Interest income:
  
(dollars in thousands)
  
Residential Investment Securities
  
$
493,226
    
$
399,702
    
$
1,203,793
    
$
1,448,434
  
Residential mortgage loans
    
1,608
      
-
      
1,608
      
-
  
Commercial investment portfolio(1)
    
61,240
      
50,204
      
191,005
      
142,969
  
Reverse repurchase agreements
    
2,594
      
820
      
7,523
      
2,714
  
Total interest income
    
558,668
      
450,726
      
1,403,929
      
1,594,117
  
Interest expense:
                                
Repurchase agreements
    
154,083
      
103,823
      
423,150
      
307,796
  
Convertible Senior Notes
    
-
      
-
      
-
      
29,740
  
Securitized debt of consolidated VIEs
    
12,046
      
6,111
      
32,305
      
14,468
  
Participation sold
    
157
      
161
      
472
      
479
  
Other
    
7,868
      
202
      
18,429
      
306
  
Total interest expense
    
174,154
      
110,297
      
474,356
      
352,789
  
Net interest income
  
$
384,514
    
$
340,429
    
$
929,573
    
$
1,241,328
  
 
                                
(1) Includes commercial real estate debt, preferred equity and corporate debt.
                                

17.            GOODWILL
At September 30, 2016 and December 31, 2015, goodwill totaled $71.8 million.

18.            NET INCOME (LOSS) PER COMMON SHARE
The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the quarters and nine months ended September 30, 2016 and 2015.
 
 
 
 
 
 
41
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
   
For the Quarters Ended
    
For the Nine Months Ended
  
   
September 30, 2016
    
September 30, 2015
    
September 30, 2016
    
September 30, 2015
  
   
(dollars in thousands, except per share data)
  
Net income (loss)
  
$
730,880
    
$
(627,491
)
  
$
(415,697
)
  
$
(203,919
)
Less: Net income (loss) attributable to noncontrolling interest
    
(336
)
    
(197
)
    
(883
)
    
(436
)
Net income (loss) attributable to Annaly
    
731,216
      
(627,294
)
    
(414,814
)
    
(203,483
)
Less: Preferred stock dividends
    
22,803
      
17,992
      
58,787
      
53,976
  
Net income (loss) available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary
    
708,413
      
(645,286
)
    
(473,601
)
    
(257,459
)
Add:  Interest on Convertible Senior Notes, if dilutive
    
-
      
-
      
-
      
-
  
Net income (loss) available to common stockholders, as adjusted
  
$
708,413
    
$
(645,286
)
  
$
(473,601
)
  
$
(257,459
)
Weighted average shares of common stock outstanding-basic
    
1,007,607,893
      
947,795,500
      
953,301,855
      
947,732,735
  
Add:  Effect of stock awards and Convertible Senior Notes, if dilutive
    
355,513
      
-
      
-
      
-
  
Weighted average shares of common  stock outstanding-diluted
    
1,007,963,406
      
947,795,500
      
953,301,855
      
947,732,735
  
Net income (loss) per share available (related) to common share:
                                
   Basic
  
$
0.70
    
$
(0.68
)
  
$
(0.50
)
  
$
(0.27
)
   Diluted
  
$
0.70
    
$
(0.68
)
  
$
(0.50
)
  
$
(0.27
)

Options to purchase 1.1 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the quarter and nine months ended September 30, 2016.
 
Options to purchase 1.7 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the quarter and nine months ended September 30, 2015.

19.       LONG-TERM STOCK INCENTIVE PLAN

The Company adopted the 2010 Equity Incentive Plan (the “Plan”), which authorizes the Compensation Committee of the Board to grant options, stock appreciation rights, dividend equivalent rights, or other share-based awards, including restricted shares up to an aggregate of 25,000,000 shares, subject to adjustments as provided in the 2010 Equity Incentive Plan.   The
Company had previously adopted a long term stock incentive plan for executive officers, key employees and non-employee directors (the “Prior Plan”).  The Prior Plan authorized the Compensation Committee of the Board to grant awards, including non-qualified options as well as incentive stock options as defined under Section 422 of the Code.  The Prior Plan authorized the granting of options or other awards for an aggregate of the greater of 500,000 shares or 9.5% of the diluted outstanding shares of the Company’s common stock, up to a ceiling of 8,932,921 shares.  No further awards will be made under the Prior Plan, although existing awards remain effective.

Stock options were issued at the market price on the date of grant, subject to an immediate or four year vesting in four equal installments with a contractual term of 5 or 10 years. 
 
The following table sets forth activity related to the Company’s stock options awarded under the Plan:
 
   
For the Nine Months Ended
  
   
September 30, 2016
    
September 30, 2015
  
   
Number of Shares
    
Weighted Average Exercise Price
    
Number of Shares
    
Weighted Average Exercise Price
  
Options outstanding at the beginning of period
    
1,168,775
    
$
15.34
      
2,259,335
    
$
15.35
  
Granted
    
-
      
-
      
-
      
-
  
Exercised
    
-
      
-
      
-
      
-
  
Forfeited
    
(6,400
)
    
14.69
      
(266,399
)
    
15.24
  
Expired
    
(36,750
)
    
12.90
      
(294,750
)
    
17.07
  
Options outstanding at the end of period
    
1,125,625
    
$
15.43
      
1,698,186
    
$
15.07
  
Options exercisable at the end of period
    
1,125,625
    
$
15.43
      
1,698,186
    
$
15.07
  

The weighted average remaining contractual term was approximately 1.7 years and 2.8 years for stock options outstanding and exercisable as of September 30, 2016 and 2015, respectively. 

As of September 30, 2016 and 2015, there was no unrecognized compensation cost related to nonvested share-based compensation awards.
20.      INCOME TAXES

For the quarter ended September 30, 2016 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to federal income tax to the extent that it distributes its taxable income to its stockholders.  To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its
 
42
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income.

The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes.

During the quarter and nine months ended September 30, 2016, the Company recorded $1.9 million and $2.8 million, respectively, of income tax benefit for losses attributable to its TRSs.  During the quarter and nine months ended September 30, 2015, the Company recorded a net income tax benefit of $0.4 million and $8.0 million, respectively, for losses attributable to its TRSs.
The Company’s federal, state and local tax returns from 2013 and forward remain open for examination.

21.            LEASE COMMITMENTS AND CONTINGENCIES
Commitments

The Company had a non-cancelable lease for office space which commenced in May 2002 and expired in December 2014. In September 2014, the Company entered into a non-cancelable lease for office space which commenced in July 2014 and expires in September 2025. FIDAC had a lease for office space which commenced in October 2010 and expired in February 2016, which was not renewed.  The lease expense for each of the quarters ended September 30, 2016 and 2015 was $0.8 million. The Company’s aggregate future minimum lease payments totaled $33.8 million.  The following table details the future lease payments.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Years Ending December 31,
  
Lease Commitments
  
   
(dollars in thousands)
  
2016 (remaining)
  
$
924
  
2017
    
3,697
  
2018
    
3,641
  
2019
    
3,565
  
2020
    
3,652
  
Later years
    
18,343
  
   
$
33,822
  

Contingencies
 
From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. There were no material contingencies as of September 30, 2016 and December 31, 2015.

22. RISK MANAGEMENT
The primary risks to the Company are liquidity, investment/market risk and credit risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on Interest Earning Assets and the interest expense incurred in connection with the Interest Bearing Liabilities and hedges, by affecting the spread between the Interest Earning Assets and Interest Bearing Liabilities. Changes in the level of interest rates can also affect the value of the Interest Earning Assets and the Company’s
ability to realize gains from the sale of these assets. A decline in the value of the Interest Earning Assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels.
 
The Company may seek to mitigate the potential financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges.

Weakness in the mortgage market, the shape of the yield curve and changes in the expectations for the path and volatility of future interest rates may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s book value. Furthermore, if the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario analyses and utilizing a range of hedging strategies.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
43
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
 
The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, excluding CRT securities issued by Freddie Mac and Fannie Mae, are guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities are backed by the full faith and credit of the U.S. government. Principal and interest on Agency debentures are guaranteed by the Agency issuing the debenture. The majority of the Company’s Residential Investment Securities have an actual or implied “AAA” rating.

The Company faces credit risk on the portions of its portfolio which are not guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments, investments in commercial real estate, commercial mortgage-backed securities, CRT securities, other non-Agency mortgage-backed securities, whole loans, and corporate debt. MSR values may also be adversely impacted if overall costs to service the underlying mortgage loans increase due to borrower performance. The Company is exposed to risk of loss if an issuer, borrower, tenant or counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, maintaining qualifying collateral and periodically assessing the creditworthiness of issuers, borrowers, tenants and counterparties.

23.  RCAP REGULATORY REQUIREMENTS

RCap is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees.

As a self-clearing, registered broker dealer, RCap is required to maintain minimum net capital by FINRA. As of September 30, 2016 RCap had a minimum net capital requirement of $0.3 million. RCap consistently operates with capital in excess of its regulatory capital requirements. RCap’s regulatory net capital as defined by SEC Rule 15c3-1, as of September 30, 2016 was $391.2 million with excess net capital of $390.9 million.
24.  RELATED PARTY TRANSACTIONS
Investment in Affiliate and Advisory Fees

In August 2015, FIDAC entered into an agreement with Chimera Investment Corporation (“Chimera”) to internalize the management of Chimera. As part of the agreement, the companies agreed to terminate the management agreement between FIDAC and Chimera effective August 5, 2015.

In connection with the transaction, Annaly and Chimera entered into a share repurchase agreement pursuant to which Chimera purchased the Company’s approximate 9.0 million shares of Chimera at an aggregate price of $126.4 million. The share repurchase agreement closed in August 2015.

For the quarter and nine months ended September 30, 2016, the Company did not record any advisory fees. For the quarter and nine months ended September 30, 2015, the Company recorded advisory fees from Chimera totaling $3.8 million and $24.8 million, respectively. In August 2014, the management agreement between FIDAC and Chimera was amended and restated to amend certain of the terms and conditions of the prior agreement. Among other amendments to the terms of the prior agreement, effective August 8, 2014, the management fee was increased from 0.75% to 1.20% of Chimera’s gross stockholders’ equity (as defined in the amended and restated management agreement).

Management Agreement

The Company and the Manager have entered into a management agreement pursuant to which the Company’s management is conducted by the Manager through the authority delegated to it in the Management Agreement and pursuant to the policies established by the Board (the “Externalization”). The management agreement was effective as of July 1, 2013 and applicable for the entire 2013 calendar year and was subsequently amended on November 5, 2014 and April 11, 2016 (the management agreement, as amended and restated, is referred to as “Management Agreement”).

Pursuant to the terms of the Management Agreement, the Company pays the Manager a monthly management fee in an amount equal to 1/12th of 1.05% of stockholders’ equity, as defined in the Management Agreement, for its management services. For the quarters ended September 30, 2016 and 2015, the compensation and management fee was $38.7 million and $37.5 million, respectively. For the nine months ended September 30, 2016 and 2015, the compensation and management fee was $111.8 million and $113.1 million, respectively. At September 30, 2016 and December 31, 2015, the Company had amounts payable to the Manager of $12.7 million and $12.1 million, respectively.

 
44
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 1. Financial Statements
The Management Agreement provides for a term ending December 31, 2016 with automatic two-year renewals unless at least two-thirds of the Company’s independent directors or the holders of a majority of the Company’s outstanding shares of common stock elect to terminate the agreement in their sole discretion for any or no reason. At any time during the term or any renewal term the Company may deliver to the Manager written notice of the Company’s intention to terminate the Management Agreement. The Company must designate a date not less than one year from the date of the notice on which the Management Agreement will terminate. The Management Agreement also provides that the Manager may terminate the Management Agreement by providing to the Company prior written notice of its intention to terminate the Management Agreement no less than one year prior to the date designated by the Manager on which the Manager would cease to provide services or such earlier date as determined by the Company in its sole discretion.
Following the Externalization, the Company continues to retain employees at certain of the Company’s subsidiaries for regulatory or corporate efficiency reasons. All compensation expenses associated with such retained employees reduce the amount paid to the Manager.

The Management Agreement may be amended or modified by agreement between the Company and the Manager. There is no termination fee for a termination of the Management Agreement by either the Company or the Manager.

 
 
 
 
 
 
 
 
 
 
 
 
45
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2.  Management’s Discussion and Analysis
 
ITEM 2.            MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
 
 
 
Special Note Regarding Forward-Looking Statements

Certain statements contained in this quarterly report, and certain statements contained in our future filings with the Securities and Exchange Commission (the SEC or the Commission), in our press releases or in our other public or stockholder communications contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as "may," "will," "believe," "expect," "anticipate," "continue," or similar terms or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities and other securities for purchase; the availability of financing and, if available, the terms of any financings; changes in the market value of our assets; changes in business conditions and the general economy; our ability to grow our commercial business; our ability to grow our residential mortgage credit business; credit risks related to our investments in credit risk transfer securities, residential mortgage-backed securities and related residential mortgage credit assets, commercial real estate assets and corporate debt; risks related to investments in mortgage servicing rights
and ownership of a servicer; any potential business disruption following the acquisition of Hatteras Financial Corp.; our ability to consummate any contemplated investment opportunities; changes in government regulations affecting our business; our ability to maintain our qualification as a REIT; and our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see "Risk Factors" in our most recent Annual Report on Form 10-K and Item 1A “Risk Factors” in this quarterly report on Form 10-Q. We do not undertake, and specifically disclaim any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law.

This Management’s Discussion and Analysis of Financial Condition and Results of Operations should be read in conjunction with our most recent annual report on Form 10-K. All references to “Annaly,” “we,” “us” or “our” mean Annaly Capital Management, Inc. and all entities owned by us, except where it is made clear that the term means only the parent company.  Refer to the section titled “Glossary of Terms” located at the end of this Item 2 for definitions of commonly used terms in this quarterly report on Form 10-Q.
 
46
 
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2.  Management’s Discussion and Analysis

INDEX TO ITEM 2.  MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
  
Page
Overview
48
Acquisition of Hatteras
48
Business Environment
48
Economic Environment
49
Financial Regulatory Reform
50
Results of Operations
50
Net Income (Loss) Summary
50
Non-GAAP Financial Measures
52
Core Earnings, Core Earnings Per Common Share and Annualized Core Return on Average Equity
52
Core Interest Income, Economic Interest Expense, and Economic Core Net Interest Income
53
Experienced and Projected Long-term CPR
54
Core Interest Income and Core Average Yield on Interest Earning Assets
55
Economic Interest Expense and Average Cost of Interest Bearing Liabilities
55
Economic Core Net Interest Income
56
Realized and Unrealized Gains (Losses)
56
Other Income (Loss)
57
General and Administrative Expenses
58
Unrealized Gains and Losses
58
Return on Average Equity
59
Financial Condition
59
Residential Investment Securities
60
Contractual Obligations
62
Off-Balance Sheet Arrangements
62
Capital Management
62
Stockholders’ Equity
64
Common and Preferred Stock
64
Leverage and Capital
65
Risk Management
65
Risk Appetite
65
Governance
66
Description of Risks
66
Liquidity Risk Management
66
Funding
67
Excess Liquidity
68
Maturity Profile
69
Stress Testing
70
Liquidity Management Policies
71
Investment/Market Risk Management
71
Credit Risk Management
72
Counterparty Risk Management
73
Operational Risk Management
73
Compliance, Regulatory and Legal Risk Management
73
Critical Accounting Policies and Estimates
74
Valuation of Financial Instruments
74
Residential Investment Securities
74
Commercial Real Estate Investments
74
Interest Rate Swaps
75
Revenue Recognition
75
Consolidation of Variable Interest Entities
75
Use of Estimates
75
Glossary of Terms
76
 
47
 
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
Overview
 
Annaly is a leading real estate finance company whose principal business objectives are to generate net income for distribution to its shareholders from its investments and capital preservation. Annaly is a Maryland corporation that has elected to be taxed as a real estate investment trust (“REIT”). Annaly is externally managed by Annaly Management Company LLC (or Manager). Our common stock is listed on the New York Stock Exchange under the symbol “NLY.” Since our founding in 1997, we have strived to generate net
income for distribution to our stockholders through the prudent selection and management of our investments.

We own a portfolio of primarily real estate related investments. We use our capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on our assets and the cost of our borrowings and hedging activities.

We are primarily organized around the following operations:
 
Annaly, the parent company
Invests primarily in various types of Agency mortgage-backed securities and related derivatives to hedge these investments.  Its portfolio also includes residential credit investments such as CRTs and non-Agency mortgage-backed securities.
Annaly Commercial Real Estate Group, Inc. (or ACREG)
Wholly-owned subsidiary that specializes in originating or acquiring, financing and managing commercial loans and other commercial real estate debt, commercial mortgage-backed securities and other commercial real estate-related assets.
Annaly Middle Market Lending LLC
(or MML)
Wholly-owned subsidiary that engages in corporate middle market lending transactions.
Hatteras Financial Corp. (or Hatteras)
Wholly-owned subsidiary that primarily engages in acquiring, owning and managing residential whole mortgage loans and MSRs.
RCap Securities, Inc. (or RCap) 
Wholly-owned subsidiary that operates as a broker-dealer, and is a member of the Financial Industry Regulatory Authority (or FINRA).
 
 
For a full discussion of our business, refer to the section titled “Business Overview” in our most recent Annual Report on Form 10-K.

Acquisition of Hatteras
 
As previously disclosed in our filings with the SEC, the acquisition of Hatteras, an externally managed mortgage REIT that invested primarily in single-family residential mortgage real estate assets, closed on July 12, 2016 for an aggregate consideration to Hatteras common shareholders of approximately $1.5 billion. Annaly issued 93.9 million common shares as part of the consideration for the Hatteras Acquisition.

Refer to the note titled “Acquisition of Hatteras” located in Item 1. Financial Statements for additional details.

Business Environment
 
Financial market developments during the third quarter of 2016 were generally supportive of our residential and
commercial investment securities portfolios. Security performance was helped by low volatility across markets and a modest rise in interest rates from multi-decade lows, continued monetary policy support, and strong demand for mortgage assets by both banks and foreigners. The share of equity capital related to our credit businesses remained roughly unchanged, although the portfolio assets grew modestly in an effort to further enhance portfolio diversification. Meanwhile, the agency MBS portfolio grew after the integration of the Hatteras adjustable-rate MBS portfolio.

In addition to sound performance of our assets, the dynamics related to 2a-7 money market reform, which saw a shift of nearly $1 trillion of assets from prime- to government-only money market funds, lowered secured funding rates relative to unsecured ones. As a result, our funding costs have fallen relative to payments received on our swap hedges, a net benefit to our business. Beyond the passing of the money market reform implementation date, we expect the spread between repo and LIBOR rates to contract somewhat, but remain elevated relative to historical levels.
 
48
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
Economic Environment

Throughout the third quarter of 2016, investors continued to face a weak growth and middling inflation environment in which asset prices remained supported by unprecedented central bank accommodation. Headline risks abroad abated somewhat during the third quarter of 2016, as U.S. growth appeared to improve from a weak first half and downside risk from abroad diminished. Early readings of third quarter of 2016 economic growth, as measured by real gross domestic product (or GDP) according to the Bureau of Economic Analysis, suggest that the U.S. economy expanded at a weak seasonally-adjusted annualized rate of 2.9%, compared to 1.4% in second quarter of 2016.

Amidst the modest increase in growth pace, unemployment rose slightly during third quarter of 2016, though remained around the Fed’s long-run target. The pace of hiring rebounded, as the economy added 196,000 jobs per month during the third quarter of 2016 according to the Bureau of Labor Statistics (or BLS), above the monthly average of 146,000 in the second quarter of 2016. Meanwhile, the unemployment rate reversed the drop in the second quarter of 2016 to rise to 5.0% from 4.9%, largely due to a slowing in the pace of retirements. Measures of wage growth remained stable through the third quarter of 2016, with average hourly earnings growth at 2.6% year-over-year, according to the BLS, while median workers saw a larger increase at 3.6% year-over-year, according to the Atlanta Fed.

Realized inflation remained below the Federal Reserve’s (or Fed’s) 2% target as measured by their official target, the headline Personal Consumer Expenditure Chain Price Index (or PCE), which rose 1.2% year-over-year in September compared to 0.9% in June. This measure continues to be weighed down by
energy prices, but the impact of the large decline in oil prices in 2014/15 should fade in coming months. The more stable core PCE measure, which excludes food and energy prices, rose 1.7% year-over-year in 2016 compared to the 2015, an increase from 1.6% in June 2016. Market-based measures of inflation expectations rose over the third quarter of 2016, with the expected 10-year inflation rate increasing to 1.61% on September 30, 2016, from 1.44% at June 30, 2016.

During the third quarter of 2016, the Federal Open Market Committee (FOMC) maintained the federal funds rate target at a range of ¼ to ½ percent, while simultaneously reinvesting the runoff of its portfolio of U.S. Treasury and agency mortgage-backed securities. At their meeting on September 21, 2016, the Fed faced both diminished downside risks from abroad but also a series of reports which indicated little economic momentum, including an unchanged unemployment rate. They opted to once again delay raising interest rates, though not without contest: three FOMC voters dissented, wanting to hike, revealing a contentious meeting. The Minutes for the meeting, released October 12, 2016 revealed general agreement that another hike would be needed in the near-term should progress continue, raising the market's pricing for a hike by the end of the year to over 50%.

Interest rates rose by as much as 18 basis points led by the front end of the yield curve over the course of the third quarter of 2016, with relatively low volatility as global risks subsided but with little prospect of a growth pickup. The mortgage basis, or the spread between the 30-year Agency mortgage-backed security coupon and 10-year U.S. Treasury, narrowed 7 bps in the third quarter of 2016 to a level similar to one year ago as mortgages performed strongly in the low volatility environment.

The following table below presents interest rates at each date presented:
 
   
September 30, 2016
    
December 31, 2015
    
September 30, 2015
  
30-Year mortgage current coupon
  
2.36%
 
  
3.00%
 
  
2.80%
 
Mortgage basis
  
77 bps
    
73 bps
    
76 bps
  
10-Year U.S. Treasury rate
  
1.59%
 
  
2.27%
 
  
2.04%
 
                   
LIBOR:
                  
1-Month
  
0.53%
 
  
0.43%
 
  
0.19%
 
6-Month
  
1.24%
 
  
0.84%
 
  
0.53%
 
 
 
49
 
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
Financial Regulatory Reform
 

Uncertainty remains surrounding financial regulatory reform and its impact on the markets and the broader economy. In particular, the U.S. government is attempting to change its involvement through the Agencies in the mortgage market. There have been numerous legislative initiatives introduced regarding the Agencies, and it is unclear which approach, if any, may become law. In addition, regulators remain focused on the wholesale funding markets, bank capital levels and shadow banking. It is difficult to predict the ultimate legislative and other regulatory outcomes of these efforts. We continue to monitor these legislative and regulatory developments to evaluate their potential impact on our business.

On January 12, 2016, the Federal Housing Finance Administration (or FHFA) issued final rules relating to captive insurance company membership in the Federal Home Loan Bank (or FHLB) System, which provide that these entities will no longer be eligible for membership in the FHLB System.  As part of their membership in the FHLB System, captive insurance companies typically pledge assets as collateral for advances by the FHLB.  The rules provide for extensions of the advances outstanding prior to February
19, 2016 until their scheduled maturity for existing members as well as continued membership in the FHLB System for either one or five years depending on when an existing member was admitted as a member of the FHLB System.  Our captive insurance subsidiary Truman Insurance Company LLC (or Truman) was admitted as a member of the FHLB System prior to September 2014 and, therefore, is eligible under the rules to remain as a member of the FHLB of Des Moines (or FHLB Des Moines) through February 2021.

Results of Operations
The results of our operations are affected by various factors, many of which are beyond our control. Some of these risks and uncertainties are described herein (see “Special Note Regarding Forward-Looking Statements”) and in Part I, Item 1A. “Risk Factors” of our most recent annual report on Form 10-K and subsequent quarterly reports on Form 10-Q.

Net Income (Loss) Summary

The following table presents summarized financial information related to our results of operations as of and for the quarters and nine months ended September 30, 2016 and 2015.
 
 
50
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
For the Quarter Ended September 30,
  
For the Nine Months Ended September 30,
  
 
2016
  
2015
  
2016
  
2015
  
 
(dollars in thousands, except per share data)
  
Interest income
  
$
558,668
    
$
450,726
    
$
1,403,929
    
$
1,594,117
  
Interest expense
    
174,154
      
110,297
      
474,356
      
352,789
  
Net interest income
    
384,514
      
340,429
      
929,573
      
1,241,328
  
Realized and unrealized gains (losses)
    
412,906
      
(909,158
)
    
(1,166,432
)
    
(1,297,612
)
Other income (loss)
    
29,271
      
(9,675
)
    
13,226
      
(3,270
)
General and administrative expenses
    
97,737
      
49,457
      
194,903
      
152,404
  
Income (loss) before income taxes
    
728,954
      
(627,861
)
    
(418,536
)
    
(211,958
)
Income taxes
    
(1,926
)
    
(370
)
    
(2,839
)
    
(8,039
)
Net income (loss)
    
730,880
      
(627,491
)
    
(415,697
)
    
(203,919
)
Net income (loss) attributable to noncontrolling interest
    
(336
)
    
(197
)
    
(883
)
    
(436
)
Net income (loss) attributable to Annaly
    
731,216
      
(627,294
)
    
(414,814
)
    
(203,483
)
Dividends on preferred stock
    
22,803
      
17,992
      
58,787
      
53,976
  
Net income (loss) available (related) to common stockholders
  
$
708,413
    
$
(645,286
)
  
$
(473,601
)
  
$
(257,459
)
Net income (loss) per share available (related) to common stockholders:
                                
Basic
  
$
0.70
    
$
(0.68
)
  
$
(0.50
)
  
$
(0.27
)
Diluted
  
$
0.70
    
$
(0.68
)
  
$
(0.50
)
  
$
(0.27
)
Weighted average number of common shares outstanding:
                                
Basic
    
1,007,607,893
      
947,795,500
      
953,301,855
      
947,732,735
  
Diluted
    
1,007,963,406
      
947,795,500
      
953,301,855
      
947,732,735
  
                                 
Other information:
                                
Asset portfolio at period-end
  
$
83,158,385
    
$
72,441,744
    
$
83,158,385
    
$
72,441,744
  
Average total assets
  
$
82,312,889
    
$
75,442,184
    
$
79,315,159
    
$
79,478,853
  
Average equity
  
$
12,411,839
    
$
12,439,569
    
$
12,096,902
    
$
12,834,377
  
Leverage at period-end (1)
5.3:1
  
4.8:1
  
5.3:1
  
4.8:1
  
Economic leverage at period-end (2)
6.1:1
  
5.8:1
  
6.1:1
  
5.8:1
  
Capital ratio (3)
    
13.3
%
    
14.0
%
    
13.3
%
    
14.0
%
Annualized return on average total assets
    
3.55
%
    
(3.33
%)
    
(0.70
%)
    
(0.34
%)
Annualized return (loss) on average equity
    
23.55
%
    
(20.18
%)
    
(4.58
%)
    
(2.12
%)
Annualized core return on average equity (4)(5)
    
10.09
%
    
9.67
%
    
9.73
%
    
10.12
%
Net interest margin (6)
    
1.40
%
    
1.27
%
    
1.12
%
    
1.54
%
Core net interest margin (4)(5)
    
1.42
%
    
1.65
%
    
1.50
%
    
1.68
%
Average yield on interest earning assets
    
2.70
%
    
2.48
%
    
2.44
%
    
2.77
%
Core average yield on interest earning assets (4)(5)
    
2.72
%
    
2.94
%
    
2.88
%
    
2.93
%
Average cost of interest bearing liabilities
    
1.57
%
    
1.65
%
    
1.66
%
    
1.63
%
Net interest spread
    
1.13
%
    
0.83
%
    
0.78
%
    
1.14
%
Core net interest spread (4)(5)
    
1.15
%
    
1.29
%
    
1.22
%
    
1.30
%
Constant prepayment rate
    
15.9
%
    
11.5
%
    
12.5
%
    
10.9
%
Long-term constant prepayment rate (7)
    
14.4
%
    
9.2
%
    
14.4
%
    
9.2
%
Common stock book value per share
  
$
11.83
    
$
11.99
    
$
11.83
    
$
11.99
  
Core interest income (4)(5)
  
$
562,559
    
$
533,862
    
$
1,661,811
    
$
1,685,554
  
Economic interest expense (4)
  
$
277,254
    
$
248,041
    
$
808,880
    
$
787,638
  
Economic core net interest income (4)(5)
  
$
285,305
    
$
285,821
    
$
852,931
    
$
897,916
  
Core earnings (4)(5)
  
$
312,893
    
$
300,737
    
$
886,826
    
$
974,175
  
Core earnings per common share (4)(5)
  
$
0.29
    
$
0.30
    
$
0.87
    
$
0.97
  
 
 
(1)
Includes repurchase agreements, other secured financing, Convertible Senior Notes and non-recourse securitized debt, loan participation and mortgages payable.
 
(2)
Computed as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of investments divided by total equity.
 
(3)
Represents the ratio of stockholders’ equity to total assets (inclusive of total market value of TBA derivatives and exclusive of consolidated VIEs associated with B-Piece commercial mortgage-backed securities).
 
(4)
See “Non-GAAP Financial Measures” for a reconciliation of our non-GAAP measures to their corresponding GAAP amounts.
 
(5)
Excludes the premium amortization adjustment due to quarter-over-quarter changes in long-term CPR estimates.
 
(6)
Represents the sum of annualized economic core net interest income, inclusive of interest expense on interest rate swaps used to hedge costs of funds, plus TBA dollar roll income less interest expense on interest rate swaps used to hedge dollar roll transactions divided by the sum of average Interest Earning Assets plus average outstanding TBA contract balances.
 
(7)
The change in CPR measures over prior periods largely reflect the change in portfolio mix due to the acquisition of Hatteras.
 
 
This Management Discussion and Analysis section contains analysis and discussion of non-GAAP measurements.  See “Non-GAAP Financial Measures” for further information.

GAAP
Net income (loss) was $730.9 million, which includes ($0.3) million attributable to a noncontrolling interest, or $0.70 per average basic common share, for the quarter ended September 30, 2016 compared to ($627.5) million, which includes ($0.2) million attributable to a
noncontrolling interest, or ($0.68) per average basic common share, for the same period in 2015. We attribute the majority of the change in net income (loss) to the change in unrealized gains (losses) on interest rate swaps and higher interest income and $72.6 million from a bargain purchase gain. Unrealized gains (losses) on interest rate swaps were $256.5 million for the quarter ended September 30, 2016 compared to ($822.6) million for the same period in 2015, reflecting higher forward interest rates for the quarter ended September 30, 2016 compared to lower forward interest rates for
 
51
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
the same period in 2015. Interest income increased $107.9 million to $558.7 million for the quarter ended September 30, 2016 compared to the same period in 2015, primarily due to higher coupon income resulting from increased Interest Earning Assets, primarily Agency mortgage-backed securities, acquired in connection with the Hatteras Acquisition.

Net income (loss) was ($415.7) million, which includes ($0.9) million attributable to a noncontrolling interest, or ($0.50) per average basic common share, for the nine months ended September 30, 2016 compared to ($203.9) million, which includes ($0.4) million attributable to a noncontrolling interest, or ($0.27) per average basic common share, for the same period in 2015. We attribute the majority of the change in net income (loss) to the change in unrealized gains (losses) on interest rate swaps and lower interest income. Unrealized gains (losses) on interest rate swaps were ($1.1) billion for the nine months ended September 30, 2016 compared to ($588.0) million for the same period in 2015, reflecting an unfavorable change in the fair value of interest rate swaps due to lower forward interest rates for the nine months ended September 30, 2016 compared to the same period in 2015. Interest income decreased $190.2 million to $1.4 billion for the nine months ended September 30, 2016 compared to the same period in 2015, primarily due to higher amortization expense reflecting higher projected long-term CPR on Residential Investment Securities, partially offset by higher interest income from the commercial investment portfolio.

Non-GAAP
Core earnings were $312.9 million, or $0.29 per average common share, for the quarter ended September 30, 2016 compared to $300.7 million, or $0.30 per average common share, for the same period in 2015. Core earnings increased during the quarter ended September 30, 2016 compared to the same period in 2015 primarily due to an increase in core interest income earned on higher Residential Investment Securities balances and a larger commercial investment portfolio, partially offset by higher interest expense due to an increase in average Interest Bearing Liabilities.

Core earnings were $886.8 million, or $0.87 per average common share, for the nine months ended September 30, 2016 compared to $974.2 million, or $0.97 per average common share, for the same period in 2015. Core earnings declined during the nine months ended September 30, 2016 compared to the same period in 2015 primarily due to higher amortization expense on Residential Investment Securities and higher interest expense due to an increase in average Interest Bearing
Liabilities, partially offset by increased interest income on a larger commercial investment portfolio.

Non-GAAP Financial Measures

This Management Discussion and Analysis section contains analysis and discussion of non-GAAP financial measures. Our presentation of non-GAAP financial measures has important limitations. Other market participants may calculate non-GAAP financial measures differently than we calculate them, making comparative analysis difficult.

Although we believe the presentation of non-GAAP financial measures provides insight into our financial position and performance excluding the effects of certain transactions, non-GAAP financial measures may have limited usefulness as an analytical tool.  Therefore, the non-GAAP financial measures should not be viewed in isolation and are not a substitute for financial measures computed in accordance with GAAP. The non-GAAP measurements include the following:

·
core earnings;
·
core earnings per common share;
·
annualized core return on average equity;
·
core interest income;
·
economic interest expense;
·
economic core net interest income;
·
core average yield on interest earning assets;
·
core net interest margin; and
·
core net interest spread.

Management relies on non-GAAP financial measures to evaluate the performance of the business. These non-GAAP measures provide additional detail to enhance investor understanding of period-over-period operating performance and business trends, as well as for assessing our performance versus that of industry peers.

Additional information pertaining to our use of these non-GAAP financial measures, including discussion of how each such measure is useful to investors, and reconciliations to their most directly comparable GAAP results are provided below.

Core Earnings, Core Earnings Per Common Share and Annualized Core Return on Average Equity

One of our principal business objectives is to generate net income by earning a net interest spread
 
52
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
on our investment portfolio, which is a function of the interest income from our investment portfolio less financing, hedging and operating costs. Core earnings, which is comprised of interest income plus TBA dollar roll income, less financing and hedging costs and general and administrative expenses, is used by management to measure its progress in achieving this objective. Accordingly, core earnings excludes gains and losses on disposals of investments and termination of interest rate swaps, unrealized gains and losses on interest rate swaps and investments measured at fair value through earnings, net gains and losses on trading assets, impairment losses, net income (loss) attributable to noncontrolling interest, the premium amortization adjustment (“PAA”), MSR amortization and certain non-recurring gains and losses.

We believe these measures provide management and investors with additional details regarding our underlying operating results
and investment portfolio trends by (i) making adjustments to account for the disparate reporting of changes in fair value where certain instruments are reflected in GAAP net income (loss) while others are reflected in other comprehensive income (loss), and (ii) by excluding certain unrealized, non-cash or episodic components of GAAP net income (loss) in order to provide additional transparency into the operating performance of our portfolio. Annualized core return on average equity, which is calculated by dividing core earnings over average stockholders’ equity, provides investors with additional detail on the core earnings generated by our invested equity capital.

The following table presents a reconciliation of GAAP financial results to non-GAAP core earnings for the periods presented.
 
   
For the Quarters Ended
September 30,
    
For the Nine Months Ended
September 30,
  
   
2016
    
2015
    
2016
    
2015
  
   
(dollars in thousands, except per share data)
  
GAAP net income (loss)
  
$
730,880
    
$
(627,491
)
  
$
(415,697
)
  
$
(203,919
)
Less:
                                
Realized (gains) losses on termination of interest rate swaps
    
(1,337
)
    
-
      
58,727
      
226,462
  
Unrealized (gains) losses on interest rate swaps
    
(256,462
)
    
822,585
      
1,148,478
      
587,995
  
Net (gains) losses on disposal of investments
    
(14,447
)
    
7,943
      
(25,307
)
    
(58,246
)
Net (gains) losses on trading assets
    
(162,981
)
    
(108,175
)
    
(370,050
)
    
12,961
  
Net unrealized (gains) losses on investments measured at fair value through earnings
    
(29,675
)
    
24,501
      
24,351
      
40,466
  
Bargain purchase gain
    
(72,576
)
    
-
      
(72,576
)
    
-
  
Impairment of goodwill
    
-
      
-
      
-
      
22,966
  
Corporate acquisition related expenses (1)
    
46,724
      
-
      
48,887
      
-
  
Net (income) loss attributable to noncontrolling interest
    
336
      
197
      
883
      
436
  
Premium amortization adjustment cost (benefit)
    
3,891
      
83,136
      
257,882
      
91,437
  
Plus:
                                
TBA dollar roll income (loss) (2)
    
90,174
      
98,041
      
252,882
      
253,617
  
MSR amortization (3)
    
(21,634
)
    
-
      
(21,634
)
    
-
  
Core earnings
  
$
312,893
    
$
300,737
    
$
886,826
    
$
974,175
  
                                 
GAAP net income (loss) per average common share
  
$
0.70
    
$
(0.68
)
  
$
(0.50
)
  
$
(0.27
)
Core earnings per common share
  
$
0.29
    
$
0.30
    
$
0.87
    
$
0.97
  
 
 
(1)
Represents transaction costs incurred in connection with the Hatteras Acquisition.
 
(2)
Represents a component of Net gains (losses) on trading assets in  the Consolidated Statements of Comprehensive Income (Loss).
 
(3)
Represents the portion of changes in fair value that is attributable to the realization of estimated cash flows on our MSR portfolio and is reported as a component of Net unrealized (gains) losses on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).
 
 
Core Interest Income, Economic Interest Expense and Economic Core Net Interest Income

Core interest income represents interest income excluding the effect of the, and serves as the basis for deriving core average yield on interest bearing assets, core net interest spread and core net interest margin, which are discussed below. We believe this measure provides management and investors with additional detail to enhance their understanding of
our operating results and trends by excluding the component of premium amortization expense representing the cumulative effect of quarter-over-quarter changes in estimated long-term prepayment speeds related to Agency mortgage-backed securities (other than interest-only securities), which can obscure underlying trends in the performance of the portfolio.
 
53
 
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
Economic interest expense is comprised of interest expense, as computed in accordance with GAAP, plus interest expense on interest rate swaps used to hedge the cost of funds, which is a component of Realized gains (losses) on interest rate swaps in the Consolidated Statements of Comprehensive Income (Loss). We use interest rate swaps to manage our exposure to changing interest rates on repurchase agreements by economically hedging cash flows associated with these borrowings. Accordingly, adding
the contractual interest payments on interest rate swaps to interest expense, as computed in accordance with GAAP, reflects the total contractual interest expense and thus, provides investors with additional information about the cost of our financing strategy.

Similarly, economic core net interest income, as computed below, provides investors with additional information to enhance their understanding of the net economics of our primary business operations.
 
The following table illustrates the impact of the PAA on premium amortization expense for the periods presented:
 
   
For the Quarters Ended
    
For the Nine Months Ended
  
   
September 30, 2016
    
September 30, 2015
    
September 30, 2016
    
September 30, 2015
  
    (dollars in thousands)   
Premium amortization expense
    
213,241
      
255,123
      
834,387
      
633,937
  
Less: PAA Cost (Benefit)
    
3,891
      
83,136
      
257,882
      
91,437
  
Premium amortization expense exclusive of PAA
    
209,350
      
171,987
      
576,505
      
542,500
  
 
   
For the Quarters Ended
    
For the Nine Months Ended
  
   
September 30, 2016
    
September 30, 2015
    
September 30, 2016
    
September 30, 2015
  
    (per common share)   
Premium amortization expense
    
0.21
      
0.27
      
0.88
      
0.67
  
Less: PAA Cost (Benefit) (1)
    
-
      
0.09
      
0.27
      
0.10
  
Premium amortization expense exclusive of PAA
    
0.21
      
0.18
      
0.61
      
0.57
  
 
 
(1)
PAA Cost (Benefit) for the quarter ended September 30, 2016 rounds to less than $0.01 per common share.
 
 
The following tables provide GAAP measures of interest income, interest expense and net interest income and details with respect to reconciling the
aforementioned line items on a non-GAAP basis for each respective period:
 
Core Interest Income
 
   
Total Interest
Income
    
PAA Cost
(Benefit)
    
Core Interest
Income
  
Quarters Ended:
  
(dollars in thousands)
  
September 30, 2016
  
$
558,668
    
$
3,891
    
$
562,559
  
September 30, 2015
  
$
450,726
    
$
83,136
    
$
533,862
  
Nine Months Ended:
                        
September 30, 2016
  
$
1,403,929
    
$
257,882
    
$
1,661,811
  
September 30, 2015
  
$
1,594,117
    
$
91,437
    
$
1,685,554
  
 
Economic Interest Expense and Economic Core Net Interest Income
 
   
GAAP
Interest
Expense
    
Add: Interest Expense
on Interest Rate Swaps
Used to Hedge Cost of
Funds (1)
    
Economic
Interest
Expense
    
GAAP Net
Interest
Income
    
Less: Interest Expense
on Interest Rate Swaps
Used to Hedge Cost of
Funds (1)
    
Economic
Net Interest
Income
    
Add: PAA
Cost
(Benefit)
    
Economic Core
Net Interest
Income
  
For the Quarters Ended:
  
(dollars in thousands)
    
(dollars in thousands)
  
September 30, 2016
  
$
174,154
    
$
103,100
    
$
277,254
    
$
384,514
    
$
103,100
    
$
281,414
    
$
3,891
    
$
285,305
  
September 30, 2015
  
$
110,297
    
$
137,744
    
$
248,041
    
$
340,429
    
$
137,744
    
$
202,685
    
$
83,136
    
$
285,821
  
                                                                 
Nine Months Ended:
                                                                
September 30, 2016
  
$
474,356
    
$
334,525
    
$
808,881
    
$
929,573
    
$
334,525
    
$
595,048
    
$
257,882
    
$
852,930
  
September 30, 2015
  
$
352,789
    
$
434,849
    
$
787,638
    
$
1,241,328
    
$
434,849
    
$
806,479
    
$
91,437
    
$
897,916
  
 
 
(1)
A component of realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).
 
Experienced and Projected Long-term CPR
Prepayment speeds, as reflected by the Constant Prepayment Rate, or CPR, and interest rates vary according to the type of investment, conditions in
financial markets, competition and other factors, none of which can be predicted with any certainty. In general, as


prepayment speeds and expectations of prepayment speeds on our Agency mortgage-backed securities portfolio increase, related premium amortization
 
54
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
increases, thereby reducing the yield on such assets. The following table presents the weighted average experienced CPR and weighted average projected long-term CPR on our Agency mortgage-backed securities portfolio as of or for the periods presented.

Quarters Ended
Experienced
CPR(1)
Projected Long
term CPR(2)
September 30, 2016
15.9%
14.4%
September 30, 2015
11.5%
9.2%
     
Nine Months Ended
Experienced
CPR(1)
Projected Long-
term CPR(2)
September 30, 2016
12.5%
14.4%
September 30, 2015
10.9%
9.2%
     
(1) For the quarters and nine months ended September 30, 2016 and 2015, respectively.
(2) As of September 30, 2016 and 2015, respectively.
 
The change in CPR measures for the current periods compared with the prior periods also reflect the change in portfolio mix due to the acquisition of Hatteras.

Core Interest Income and Core Average Yield on Interest Earning Assets

We had average Interest Earning Assets of $82.7 billion and $72.6 billion, and the core average yield on Interest Earning Assets was 2.72% and 2.94% for the quarters ended September 30, 2016 and 2015, respectively.
We had average Interest Earning Assets of $76.8 billion and $76.6 billion, and the core average yield on Interest Earning Assets was 2.88% and 2.93% for the nine months ended September 30, 2016 and 2015, respectively.

Core interest income was $562.6 million for the quarter ended September 30, 2016, an increase of $28.7 million compared to $533.9 million for the same period in 2015, primarily due to higher coupon income resulting from increased Interest Earning Assets, primarily Agency mortgage-backed securities acquired in connection with the Hatteras Acquisition. Core interest income decreased by $23.7 million for the nine months ended September 30, 2016 compared the same period in 2015.

Economic Interest Expense and the Average Cost of Interest Bearing Liabilities

Typically, our largest expense is the cost of Interest Bearing Liabilities and interest expense on interest rate swaps, which is recorded in realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). The table below shows our average Interest Bearing Liabilities and average cost of Interest Bearing Liabilities as compared to average one-month and average six-month LIBOR for the periods presented.
 
Cost of Funds on Average Interest Bearing Liabilities
 
   
Average
Interest Bearing
Liabilities
    
Interest
Bearing
Liabilities at
Period End
    
Economic
Interest
Expense(1)
    
Average
Cost of
Interest
Bearing
Liabilities
    
Average
One-
Month
LIBOR
    
Average
Six-
Month
LIBOR
    
Average One-Month
LIBOR Relative to
Average Six-Month
LIBOR
    
Average Cost of
Interest Bearing
Liabilities Relative
to Average One-
Month LIBOR
    
Average Cost of
Interest Bearing
Liabilities Relative
to Average Six-
Month LIBOR
  
For the Quarters Ended:
  
(dollars in thousands)
  
September 30, 2016
  
$
70,809,712
    
$
69,314,660
    
$
277,254
      
1.57
%
    
0.51
%
    
1.15
%
    
(0.64
%)
    
1.06
%
    
0.42
%
September 30, 2015
  
$
59,984,298
    
$
59,376,121
    
$
248,041
      
1.65
%
    
0.20
%
    
0.51
%
    
(0.31
%)
    
1.45
%
    
1.14
%
                                                                         
For the Nine Months Ended:
                                                                        
September 30, 2016
  
$
65,079,627
    
$
69,314,660
    
$
808,881
      
1.66
%
    
0.46
%
    
0.99
%
    
(0.53
%)
    
1.20
%
    
0.67
%
September 30, 2015
  
$
64,542,221
    
$
59,376,121
    
$
787,638
      
1.63
%
    
0.18
%
    
0.44
%
    
(0.26
%)
    
1.45
%
    
1.19
%
                                                                         
(1) Economic interest expense includes interest expense on interest rate swaps.
  
 
Economic interest expense increased by $29.2 million to $277.3 million for the quarter ended September 30, 2016 compared to the same period in 2015. Economic interest expense for the nine months ended September 30, 2016 increased by $21.2 million to $808.9 million compared to the same period in 2015. The change in each period was primarily due to higher funding costs on Interest Bearing Liabilities partially offset by lower interest expense on interest rate swaps used to hedge cost of funds.

We do not manage our portfolio to have a pre-designated
amount of borrowings at quarter or year end.  Our borrowings at period end are a snapshot of our borrowings as of a date, and this number should be expected to differ from average borrowings over the period for a number of reasons.  The mortgage-backed securities we own pay principal and interest towards the end of each month and the mortgage-backed securities we purchase are typically settled during the beginning of the month.  As a result, depending on the amount of mortgage-backed securities we have committed to purchase, we may retain the principal and interest we receive in the prior month, or we may use it to pay down
 
55
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
our borrowings. Moreover, we generally use interest rate swaps, swaptions and other derivative instruments to hedge our portfolio, and as we pledge or receive collateral under these agreements, our borrowings on any given day may be increased or decreased.  Our average borrowings during a quarter will differ from period end borrowings as we implement our portfolio management strategies and risk management strategies over changing market conditions by increasing or decreasing leverage.  Additionally, these numbers will differ during periods when we conduct capital raises, as in certain instances we may purchase additional assets and increase leverage with the expectation of a successful capital raise.  Since our average borrowings and period end borrowings can be expected to differ, we believe our average borrowings during a period provide a more accurate representation of our exposure to the risks associated with leverage.

As of September 30, 2016 and December 31, 2015, 94% and 95%, respectively, of our debt represents repurchase
agreements and other secured financing arrangements collateralized by a pledge of our Residential Investment Securities, residential mortgage loans, commercial real estate investments and corporate loans. All of our Residential Investment Securities are currently accepted as collateral for these borrowings. However, we limit our borrowings, and thus our potential asset growth, in order to maintain unused borrowing capacity and thus increase the liquidity and strength of our balance sheet.

Economic Core Net Interest Income

The table below shows our average Interest Earning Assets, core interest income, core average yield on Interest Earning Assets, average Interest Bearing Liabilities, economic interest expense, average cost of Interest Bearing Liabilities, economic core net interest income, core net interest spread and core net interest margin for the periods presented.
 
Economic Core Net Interest Income
 
   
Average
Interest
Earning
Assets(1)
    
Core
Interest
Income(2)
    
Core Average
Yield on Interest
Earning Assets (2)
    
Average
Interest
Bearing
Liabilities
    
Economic
Interest
Expense(3)
    
Average Cost
of Interest
Bearing
Liabilities
    
Economic
Core Net
Interest
Income(2) (3)
    
Core Net
Interest
Spread(2)
    
Core Net
Interest
Margin (4)
  
For the Quarters Ended:
  
(dollars in thousands)
  
September 30, 2016
  
$
82,695,270
    
$
562,559
      
2.72
%
  
$
70,809,712
    
$
277,254
      
1.57
%
  
$
285,305
      
1.15
%
    
1.42
%
September 30, 2015
  
$
72,633,314
    
$
533,862
      
2.94
%
  
$
59,984,298
    
$
248,041
      
1.65
%
  
$
285,821
      
1.29
%
    
1.65
%
                                                                         
For the Nine Months Ended:
                                                                        
September 30, 2016
  
$
76,818,322
    
$
1,661,811
      
2.88
%
  
$
65,079,627
    
$
808,881
      
1.66
%
  
$
852,930
      
1.22
%
    
1.50
%
September 30, 2015
  
$
76,595,623
    
$
1,685,554
      
2.93
%
  
$
64,542,221
    
$
787,638
      
1.63
%
  
$
897,916
      
1.30
%
    
1.68
%
 
 
(1)
Does not reflect unrealized gains/(losses).
 
(2)
Adjusted by the PAA.
 
(3)
Economic interest expense and economic core net interest income is net of interest expense on interest rate swaps used to hedge cost of funds.
 
(4)
Represents the sum of annualized economic core net interest income, inclusive of interest expense on interest rate swaps used to hedge costs of funds, plus TBA dollar roll income less interest expense on interest rate swaps used to hedge dollar roll transactions divided by the sum of average Interest Earning Assets plus average outstanding TBA contract balances.
 
 
Realized and Unrealized Gains (Losses)
Realized and unrealized gains (losses) is comprised of net gains (losses) on interest rate swaps, net gains (losses) on disposal of investments, net gains (losses) on
trading assets and net unrealized gains (losses) on investments measured at fair value through earnings. These components of realized and unrealized gains (losses) for the quarters and nine months ended September 30, 2016 and 2015 were as follows:
 
   
For the Quarters Ended,
    
For the Nine Months Ended,
  
   
September 30, 2016
    
September 30, 2015
    
September 30, 2016
    
September 30, 2015
  
   
(dollars in thousands)
  
Net gains (losses) on interest rate swaps (1)
  
$
133,227
    
$
(984,889
)
  
$
(1,610,014
)
  
$
(1,279,465
)
Net gains (losses) on disposal of investments
    
14,447
      
(7,943
)
    
25,307
      
58,246
  
Net gains (losses) on trading assets
    
162,981
      
108,175
      
370,050
      
(12,961
)
Net unrealized gains (losses) on investments measured
at fair value through earnings
    
29,675
      
(24,501
)
    
(24,351
)
    
(40,466
)
Bargain purchase gain
    
72,576
      
-
      
72,576
      
-
  
Impairment of goodwill
    
-
      
-
      
-
      
(22,966
)
Total
  
$
412,906
    
$
(909,158
)
  
$
(1,166,432
)
  
$
(1,297,612
)
 
 
(1)
Includes realized gains (losses) on interest rate swaps, realized gains (losses) on termination of interest rate swaps and unrealized gains (losses) on interest rate swaps.
56
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
For the Quarters Ended September 30, 2016 and 2015

Net gains (losses) on interest rate swaps for the quarter ended September 30, 2016 was $133.2 million compared to ($984.9) million for the same period in 2015. Unrealized gains (losses) on interest rate swaps for the quarter ended September 30, 2016 was $256.5 million compared to ($822.6) million for the same period in 2015, reflecting higher forward interest rates for the quarter ended September 30, 2016 compared to lower forward interest rates for the same period in 2015.

Net gains (losses) on disposal of investments was $14.4 million for the quarter ended September 30, 2016 compared with ($7.9) million for the same period in 2015. During the quarter ended September 30, 2016, we disposed of Residential Investment Securities with a carrying value of $3.8 billion for an aggregate net gain of $14.7 million. For the same period in 2015, we disposed of Residential Investment Securities with a carrying value of $3.7 billion for an aggregate net gain of $4.5 million.
Net gains (losses) on trading assets increased $54.8 million to $163.0 million for the quarter ended September 30, 2016 compared to the same period in 2015. Net gains (losses) on futures contracts was $63.2 million for the quarter ended September 30, 2016 compared with ($141.7) million for the same period in 2015. Net gains on TBA derivatives decreased $154.4 million to $95.4 million for the quarter ended September 30, 2016 compared with $249.9 million for the same period in 2015.
Net unrealized gains (losses) on investments measured at fair value through earnings was $29.7 million for the quarter ended September 30, 2016 compared to ($24.5) million for the same period in 2015. The change was primarily attributable to favorable valuations on interest-only mortgage-backed securities, MSRs, and certain commercial mortgage-backed securities for the quarter ended September 30, 2016 compared to the same period in 2015.

For the Nine Months Ended September 30, 2016 and 2015

Net losses on interest rate swaps increased by $330.5 million for the nine months ended September 30, 2016 compared to the same period in 2015, primarily attributable to an increase in unrealized losses on interest rate swaps of $560.5 million for the nine months ended September 30, 2016 compared to the same period
in 2015, partially offset by a $167.7 million decrease in realized losses on termination of interest swaps for the nine months ended September 30, 2016 compared to the same period in 2015.

Net gains (losses) on disposal of investments was $25.3 million for the nine months ended September 30, 2016 compared with $58.2 million for the same period in 2015. During the nine months ended September 30, 2016, we disposed of Residential Investment Securities with a carrying value of $9.1 billion for an aggregate net gain of $24.9 million. For the same period in 2015, we disposed of Investment Securities with a carrying value of $21.1 billion for an aggregate net gain of $70.8 million.
Net gains (losses) on trading assets were $370.1 million for the nine months ended September 30, 2016 compared to ($13.0) million for the same period in 2015. Net gains on TBA derivatives increased $405.2 million to $558.8 million for the nine months ended September 30, 2016 compared with $153.6 million for the same period in 2015. In addition, net losses on futures contracts increased $32.0 million to ($193.2) million for the nine months ended September 30, 2016 compared with the same period in 2015.
Net unrealized gains (losses) on investments at fair value through earnings was ($24.4) million for the nine months ended September 30, 2016 compared to ($40.5) million for the same period in 2015. The change was primarily attributable to favorable valuations on residential credit investments, partially offset by higher losses on interest-only mortgage-backed securities.

Other Income (Loss)

We report in “Other income (loss)” items that are non-recurring in nature or whose amounts, either individually or in the aggregate, would not, in the opinion of management, be meaningful to readers of the financial statements. The composition of this line item consists of non-recurring revenues and expenses and certain revenues and costs associated with our investments in commercial real estate, including rental income and recoveries, net servicing income on MSRs, operating and transaction costs as well as depreciation and amortization expense. Given the non-routine nature of certain components of this line item, balances may fluctuate from period to period.
 
57
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
General and Administrative Expenses

General and administrative (or G&A) expenses consists of compensation expense, the management fee and other expenses.
The table below shows our total G&A expenses as compared to average total assets and average equity for the periods presented.
 
G&A Expenses and Operating Expense Ratios
 
   
Total G&A
Expenses (1)
    
Total G&A
Expenses/Average Assets
    
Total G&A
Expenses/Average Equity
  
For the Quarters Ended:
  
(dollars in thousands)
  
September 30, 2016
  
$
97,737
      
0.47%
 
    
3.15%
 
September 30, 2015
  
$
49,457
      
0.26%
 
    
1.59%
 
                         
For the Nine Months Ended:
                        
September 30, 2016
  
$
194,903
      
0.33%
 
    
2.15%
 
September 30, 2015
  
$
152,404
      
0.26%
 
    
1.58%
 
 
 
(1)
Includes $46.7 million and $48.9 million in Hatteras Acquisition related expenses for the quarter and nine months ended 2016, respectively.
 
 
G&A expenses increased $48.3 million to $97.7 million for the quarter ended September 30, 2016 compared to the same period in 2015. G&A expenses increased $42.5 million to $194.9 million for the nine months ended September 30, 2016 compared to the same period in 2015. The change in each period was primarily due to transaction costs recognized in connection with the Hatteras Acquisition of $46.7 million and $48.9 million for the quarter and nine months ended September 30, 2016, respectively.
Unrealized Gains and Losses
With our available-for-sale accounting treatment on our Agency mortgage-backed securities, which represent
the largest portion of assets on our balance sheet, unrealized fluctuations in market values of assets do not impact our GAAP or taxable income but rather are reflected on our balance sheet by changing the carrying value of the asset and stockholders’ equity under Accumulated Other Comprehensive Income (Loss). As a result of this fair value accounting treatment, our book value and book value per share are likely to fluctuate far more than if we used amortized cost accounting. As a result, comparisons with companies that use amortized cost accounting for some or all of their balance sheet may not be meaningful.

The table below shows cumulative unrealized gains and losses on our available-for-sale investments reflected in the Consolidated Statements of Financial Condition.
 
   
September 30, 2016
    
December 31, 2015
  
   
(dollars in thousands)
  
Unrealized gain
  
$
1,180,275
    
$
480,336
  
Unrealized loss
    
(60,598
)
    
(857,932
)
Net unrealized gain (loss)
  
$
1,119,677
    
$
(377,596
)
 
Unrealized changes in the estimated fair value of available-for-sale investments may have a direct effect on our potential earnings and dividends: positive changes will increase our equity base and allow us to increase our borrowing capacity while negative changes tend to reduce borrowing capacity under our investment policy.  A very large negative change in the net fair value of our available-for-sale residential investment securities might impair our liquidity position, requiring us to sell assets with the likely result of realized losses upon sale.
The fair value of these securities being less than amortized cost as of September 30, 2016 is solely due to market conditions and not the quality of the assets.  Substantially all of the Agency mortgage-backed securities and debentures are “AAA” rated or carry an implied “AAA” rating. The investments are not considered to be other-than-temporarily impaired because we currently have the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that we will be required to sell the investments before recovery of the amortized cost bases,
 
58
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
which may be maturity. Also, we are guaranteed payment of the principal amount of the securities by the respective issuing Agency.

Return on Average Equity

Our annualized return (loss) on average equity was 23.55% and (20.18%) for the quarters ended September
30, 2016 and 2015, respectively. Our annualized return (loss) on average equity was (4.58%) and (2.12%) for the nine months ended September 30, 2016 and 2015, respectively.

The table below shows the components of our annualized return on average equity for the periods presented.
 
Components of Annualized Return on Average Equity
 
   
Economic
Net Interest
Income/
Average
Equity(1)
    
Realized and
Unrealized Gains
and Losses/Average
Equity(2)
    
Other Income
(Loss)/Average
Equity(3)
    
G&A
Expenses/
Average
Equity
    
Income
Taxes/
Average
Equity
    
Return on
Average
Equity
  
For the Quarters Ended:
                                    
September 30, 2016
    
9.07
%
    
16.63
%
    
0.94
%
    
(3.15
%)
    
0.06
%
    
23.55
%
September 30, 2015
    
6.52
%
    
(24.81
%)
    
(0.31
%)
    
(1.59
%)
    
0.01
%
    
(20.18
%)
For the Nine Months Ended:
                                                
September 30, 2016
    
6.56
%
    
(9.17
%)
    
0.15
%
    
(2.15
%)
    
0.03
%
    
(4.58
%)
September 30, 2015
    
8.37
%
    
(8.96
%)
    
(0.03
%)
    
(1.58
%)
    
0.08
%
    
(2.12
%)
 
 
(1)
Economic net interest income includes interest expense on interest rate swaps used to hedge cost of funds.
 
(2)
Realized and unrealized gains and losses excludes interest expense on interest rate swaps used to hedge cost of funds.
 
(3)
Other income (loss) includes investment advisory income, dividend income from affiliate, and other income (loss).
 
 
Financial Condition

Total assets were $86.9 billion and $75.2 billion as of September 30, 2016 and December 31, 2015, respectively. The change was due to a $7.8 billion increase in Agency mortgage-backed securities primarily in connection with the Hatteras Acquisition, a $1.4 billion increase in commercial real estate debt
investments, which includes assets held in consolidated VIEs, a $0.6 billion increase in cash and cash equivalents, a $1.1 billion increase in residential credit assets, and $0.5 billion increase in MSRs.

Our portfolio composition, net equity allocation and debt-to-net equity ratio by asset class was as follows as of September 30, 2016:
 
 
   
Residential
    
Commercial
        
   
Agency
MBS(1)
    
TBAs
    
CRTs
    
Non-Agency
MBS(2)
    
CRE Debt & Preferred
Equity
Investments
    
Loans Held
for Sale
    
Investments
in CRE
    
Corporate
Debt
    
Total(3)
  
   
(dollars in thousands)
  
Assets:
                                                      
Fair Value/Carrying Value
  
$
73,968,274
    
$
16,730,009
    
$
669,295
    
$
1,770,409
    
$
5,389,274
    
$
144,275
    
$
500,027
    
$
716,831
    
$
83,158,385
  
                                                                         
Debt:
                                                                        
Repurchase agreements
    
60,363,138
      
15,950,000
      
321,997
      
803,869
      
295,117
      
-
      
-
      
-
      
61,784,121
  
Other secured financing
    
2,982,418
      
-
      
-
      
246,665
      
363,429
      
-
      
-
      
212,230
      
3,804,742
  
Securitized debt
    
-
      
-
      
-
      
50,937
      
3,661,884
      
-
      
-
      
-
      
3,712,821
  
Participation sold
    
-
      
-
      
-
      
-
      
12,976
      
-
      
-
      
-
      
12,976
  
Mortgages payable
    
-
      
-
      
-
      
-
      
-
      
-
      
327,632
      
-
      
327,632
  
Net Equity Allocated
  
$
10,622,718
    
$
780,009
    
$
347,298
    
$
668,938
    
$
1,055,868
    
$
144,275
    
$
172,395
    
$
504,601
    
$
13,516,093
  
                                                                         
Net Equity Allocated (%)
    
78
%
    
6
%
    
3
%
    
5
%
    
8
%
    
1
%
    
1
%
    
4
%
    
100%
(4)
Debt/Net Equity Ratio
  
6.0:1
    
20.4:1
    
0.9:1
    
1.6:1
    
4.1:1
    
0.0:1
    
1.9:1
    
0.4:1
    
5.3:1
 (5) 
 
 
(1)
Includes MSRs.
 
(2)
Includes residential mortgage loans.
 
(3)
Excludes the TBA asset, debt and equity balances.
 
(4)
Net Equity Allocated, as disclosed in the above table, excludes non-portfolio related activity and may differ from stockholders’ equity per the Consolidated Statements of Financial Condition.
 
(5)
Represents the debt/net equity ratio as determined using amounts on the Consolidated Statements of Financial Condition.
 
59
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
Residential Investment Securities

Substantially all of our Agency mortgage-backed securities at September 30, 2016 and December 31, 2015 were backed by single-family mortgage loans. Substantially all of the mortgage assets underlying these mortgage-backed securities were secured with a first lien position on the underlying single-family properties. Our mortgage-backed securities were largely Freddie Mac, Fannie Mae or Ginnie Mae pass-through certificates or CMOs, which carry an actual or implied “AAA” rating. We carry all of our Agency mortgage-backed securities at fair value on the Consolidated Statements of Financial Condition.   

We accrete discount balances as an increase to interest income over the expected life of the related Interest Earning Assets and we amortize premium balances as a reduction to interest income over the expected life of the related Interest Earning Assets. At September 30, 2016 and December 31, 2015 we had on our Consolidated Statements of Financial Condition a total of $188.9 million and $61.6 million, respectively, of unamortized discount (which is the difference between the remaining principal value and current amortized cost of our Residential Investment Securities acquired at a price below principal value) and a total of $5.1 billion and $5.0 billion, respectively, of unamortized premium (which is the difference between the remaining principal value and the current amortized cost of our Residential Investment Securities acquired at a price above principal value).
We received mortgage principal repayments from Residential Investment Securities of $4.0 billion and $2.5 billion for the quarters ended September 30, 2016 and 2015, respectively. The weighted average experienced prepayment speed for the quarters ended September 30, 2016 and 2015 was 15.9% and 11.5%, respectively.  The weighted average projected long-term prepayment speed on our Agency mortgage-backed securities portfolio for the quarters ended September 30, 2016 and 2015 was 14.4% and 9.2%, respectively. Given our current portfolio composition, if mortgage principal prepayment rates were to increase over the life of our mortgage-backed securities, all other factors being equal, our net interest income would decrease during the life of these mortgage-backed securities as we would be required to amortize our net premium balance into income over a shorter time period.  Similarly, if mortgage principal prepayment rates were to decrease over the life of our mortgage-backed securities, all other factors being equal, our net interest income would increase during the life of these mortgage-backed securities as we would amortize our net premium balance over a longer time period.

The table below summarizes certain characteristics of our Residential Investment Securities (other than interest-only mortgage-backed securities) and interest-only mortgage-backed securities as of the dates presented.
 
60
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
   
September 30, 2016
    
December 31, 2015
  
   
(dollars in thousands)
  
Residential Investment Securities: (1)
            
Principal Amount
  
$
69,699,747
    
$
62,764,045
  
Net Premium
    
3,405,942
      
3,301,510
  
Amortized Cost
    
73,105,689
      
66,065,555
  
Amortized Cost/Principal Amount
    
104.89
%
    
105.26
%
Carrying Value
    
74,289,423
      
65,680,037
  
Carrying Value / Principal Amount
    
106.58
%
    
104.65
%
Weighted Average Coupon Rate
    
3.56
%
    
3.68
%
Weighted Average Yield
    
2.55
%
    
2.82
%
                 
Adjustable-Rate Residential Investment Securities:(1)
          
Principal Amount
  
$
13,186,232
    
$
3,623,673
  
Weighted Average Coupon Rate
    
2.77
%
    
3.06
%
Weighted Average Yield
    
2.01
%
    
2.90
%
Weighted Average Term to Next Adjustment
  
33 Months
    
57 Months
  
Weighted Average Lifetime Cap(2)
    
7.49
%
    
9.15
%
Principal Amount at Period End as % of Total Residential Investment Securities
    
18.92
%
    
5.77
%
                 
Fixed-Rate Residential Investment Securities: (1)
                
Principal Amount
  
$
56,513,515
    
$
59,140,372
  
Weighted Average Coupon Rate
    
3.74
%
    
3.72
%
Weighted Average Yield
    
2.67
%
    
2.82
%
Principal Amount at Period End as % of Total Residential Investment Securities
    
81.08
%
    
94.23
%
                 
Interest-Only Residential Investment Securities:
                
Notional Amount
  
$
9,498,232
    
$
10,310,577
  
Net Premium
    
1,514,808
      
1,649,742
  
Amortized Cost
    
1,514,808
      
1,649,742
  
Amortized Cost/Notional Amount
    
15.95
%
    
16.00
%
Carrying Value
    
1,316,238
      
1,553,457
  
Carrying Value/Notional Amount
    
13.86
%
    
15.07
%
Weighted Average Coupon Rate
    
3.87
%
    
3.97
%
Weighted Average Yield
    
4.74
%
    
8.89
%
 
 
(1)
Excludes interest-only mortgage-backed securities.
 
(2)
Excludes non-Agency mortgage-backed securities and CRT securities as this attribute is not applicable to these asset classes.
 
61
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
The tables below summarize certain characteristics of our residential credit portfolio as of September 30, 2016.
 
By Sector Product
  
Product
  
Market Value
    
Coupon
    
Credit
Enhancement
    
60+
Delinquencies
    
3M VPR(1)
  
(dollars in thousands)
  
Alt-A
  
$
160,233
      
4.41
%
    
7.21
%
    
15.07
%
    
5.90
%
Prime
    
230,140
      
4.52
%
    
1.55
%
    
10.45
%
    
2.50
%
Subprime
    
549,754
      
1.91
%
    
23.21
%
    
19.96
%
    
1.85
%
Prime Jumbo (>=2010 Vintage)
    
160,370
      
3.50
%
    
15.59
%
    
-
      
24.41
%
Prime Jumbo (>=2010 Vintage) Interest Only
    
11,329
      
0.39
%
    
-
      
-
      
17.46
%
Re-Performing Loan Securitizations
    
80,212
      
3.86
%
    
45.17
%
    
14.37
%
    
3.34
%
Agency Credit Risk Transfer
    
616,761
      
4.61
%
    
1.02
%
    
0.14
%
    
18.89
%
Private Label Credit Risk Transfer
    
52,534
      
6.06
%
    
7.77
%
    
1.42
%
    
4.00
%
Non-Performing Loan Securitizations
    
268,223
      
4.15
%
    
51.52
%
    
67.23
%
    
1.35
%
Total/Weighted Average
  
$
2,129,556
      
2.70
%
    
11.85
%
    
11.87
%
    
11.07
%
 
 
(1)
Represents the 3 month voluntary prepayment rate (or VPR).
 
Market Value By Sector and Payment Structure
  
Product
  
Senior
    
Subordinate
    
Total
  
(dollars in thousands)
  
Alt-A
  
$
83,319
    
$
76,914
    
$
160,233
  
Prime
    
37,779
      
192,361
      
230,140
  
Subprime
    
189,236
      
360,518
      
549,754
  
Prime Jumbo (>=2010 Vintage)
    
149,870
      
10,500
      
160,370
  
Prime Jumbo (>=2010 Vintage) Interest Only
    
11,329
      
-
      
11,329
  
Re-Performing Loan Securitizations
    
80,212
      
-
      
80,212
  
Agency Credit Risk Transfer
    
-
      
616,761
      
616,761
  
Private Label Credit Risk Transfer
    
-
      
52,534
      
52,534
  
Non-Performing Loan Securitizations
    
264,735
      
3,488
      
268,223
  
Total/Weighted Average
  
$
816,480
    
$
1,313,076
    
$
2,129,556
  
 
Market Value By Sector and Bond Coupon
  
Product
  
ARM
    
Fixed
    
Floater
    
Interest Only
    
Total
  
(dollars in thousands)
  
Alt-A
  
$
18,628
    
$
99,947
    
$
41,658
    
$
-
    
$
160,233
  
Prime
    
107,269
      
122,871
      
-
      
-
      
230,140
  
Subprime
    
-
      
60,675
      
489,079
      
-
      
549,754
  
Prime Jumbo (>=2010 Vintage)
    
-
      
149,870
      
10,500
      
-
      
160,370
  
Prime Jumbo (>=2010 Vintage) Interest Only
    
-
      
-
      
-
      
11,329
      
11,329
  
Re-Performing Loan Securitizations
    
-
      
80,212
      
-
      
-
      
80,212
  
Agency Credit Risk Transfer
    
-
      
-
      
616,761
      
-
      
616,761
  
Private Label Credit Risk Transfer
    
-
      
-
      
52,534
      
-
      
52,534
  
Non-Performing Loan Securitizations
    
-
      
268,223
      
-
      
-
      
268,223
  
Total
  
$
125,897
    
$
781,798
    
$
1,210,532
    
$
11,329
    
$
2,129,556
  
 
 
Contractual Obligations

The following table summarizes the effect on our liquidity and cash flows from contractual obligations as of September 30, 2016.  The table does not include the
effect of net interest rate payments on our interest rate swap agreements.  The net swap payments will fluctuate based on monthly changes in the receive rate.  As of September 30, 2016, the interest rate swaps had a net fair value of ($2.8) billion.
 
62
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
   
Within One
Year
    
One to Three
Years
    
Three to
Five Years
    
More than
Five Years
    
Total
  
   
(dollars in thousands)
  
Repurchase agreements
  
$
55,041,768
    
$
6,742,353
    
$
-
    
$
-
    
$
61,784,121
  
Interest expense on repurchase agreements(1)
    
229,100
      
53,408
      
-
      
-
      
282,508
  
Other secured financing
    
2,646
      
1,540
      
3,800,556
      
-
      
3,804,742
  
Interest expense on other secured financing(1)
    
30,661
      
61,323
      
41,627
      
-
      
133,611
  
Securitized debt of consolidated VIEs (principal)
    
-
      
-
      
-
      
3,695,502
      
3,695,502
  
Mortgages payable (principal)
    
18,446
      
23,375
      
-
      
289,125
      
330,946
  
Participation sold (principal)
    
12,908
      
-
      
-
      
-
      
12,908
  
Long-term operating lease obligations
    
3,389
      
7,250
      
7,415
      
15,768
      
33,822
  
Total
  
$
55,338,918
    
$
6,889,249
    
$
3,849,598
    
$
4,000,395
    
$
70,078,160
  
 
 
(1)
Interest expense on repurchase agreements and other secured financing calculated based on rates at September 30, 2016.
 
 
In the coming periods, we expect to continue to finance our Residential Investment Securities in a manner that is largely consistent with our current operations. We may use FHLB Des Moines advances, securitization structures, mortgages payable or other term financing structures to finance certain of our assets. During the nine months ended September 30, 2016, we received $8.6 billion from principal repayments and $8.7 billion in cash from disposal of Residential Investment Securities, respectively. During the nine months ended September 30, 2015, we received $7.8 billion from principal repayments and $22.1 billion in cash from disposal of Residential Investment Securities.

Off-Balance Sheet Arrangements

We do not have any relationships with unconsolidated entities or financial partnerships which would have been established for the sole purpose of facilitating off-balance sheet arrangements, or other contractually narrow or limited purposes.

We have limited future funding commitments related to certain unconsolidated joint ventures.  In addition, we have  provided customary non-recourse carve-out and environmental guarantees (or underlying indemnities with respect thereto) with respect to mortgage loans held by subsidiaries of these unconsolidated joint ventures.  We believe that the likelihood of making any payments under these guarantees is remote, and have not accrued a related liability as of September 30, 2016.

Capital Management

Maintaining a strong balance sheet that can support the business even in times of economic stress and market volatility is of critical importance to our business strategy. A strong and robust capital position is essential to executing our investment strategy. Our capital strategy is predicated on a strong capital position, which enables us to execute our investment strategy regardless of the market environment.
Our Internal Capital Adequacy Assessment Program (or ICAAP) supports capital and business performance measurement, and is integrated within the overall risk governance framework.  The ICAAP framework is designed to align capital measurement with our risk appetite.

Our objective is to maintain an active ICAAP that reflects sound governance, requires active assessment and reporting of internal capital adequacy, incorporates stress testing based on internal and external factors and identifies potential capital actions to ensure our capital and available financial resources remain in excess of internal capital requirements.

Our capital policy defines the parameters and principles supporting a comprehensive capital management practice, including processes that effectively identify, measure and monitor risks impacting capital adequacy. Our capital assessment process considers the precision in risk measures as well as the volatility of exposures and the relative activities producing risk. Parameters used in modeling economic capital must align with our risk appetite.

Economic capital is our internal quantification of the risks inherent in our business and considers the amount of capital we need as a buffer to protect against risks.  Economic capital is considered the capital needed to remain solvent over a one-year period under extreme scenarios.

The major risks impacting capital applicable to us are liquidity, investment/market, credit, counterparty, operational. For further discussion of the risks we are subject to, please see Part I, Item 1A. “Risk Factors” in our most recent Annual Report on Form 10-K and Item 1A. “Risk Factors” in quarterly reports on Form
 10-Q.

Capital requirements are based on maintaining levels above approved limits, ensuring that the quality of our
 
63
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
capital appropriately reflects our asset mix, market and funding structure. As such we use a complement of capital metrics and related threshold levels to measure and analyze our capital from a magnitude and composition perspective. Our policy is to maintain an appropriate amount of available financial resources over the aggregate economic capital requirements.

Available Financial Resources (or AFR) is the actual capital held to protect against the unexpected losses measured in our capital management process and may include:


§
Common and preferred equity
§
Other forms of equity-like capital
§
Surplus credit reserves over expected losses
§
Other loss absorption instruments
In the event we fall short of our internal capital requirement limits, we will consider appropriate actions which may include asset sales, changes in asset mix, reductions in asset purchases or originations, issuance of capital or other capital enhancing or risk reduction strategies.

Stockholders’ Equity

The following table provides a summary of total stockholders’ equity as of September 30, 2016 and December 31, 2015:
 
   
September 30, 2016
    
December 31, 2015
  
Stockholders’ Equity:
  
(dollars in thousands)
  
7.875% Series A Cumulative Redeemable Preferred Stock
  
$
177,088
    
$
177,088
  
7.625% Series C Cumulative Redeemable Preferred Stock
    
290,514
      
290,514
  
7.50% Series D Cumulative Redeemable Preferred Stock
    
445,457
      
445,457
  
7.625% Series E Cumulative Redeemable Preferred Stock
    
287,500
      
-
  
Common stock
    
10,189
      
9,359
  
Additional paid-in capital
    
15,578,677
      
14,675,768
  
Accumulated other comprehensive income (loss)
    
1,119,677
      
(377,596
)
Accumulated deficit
    
(4,655,440
)
    
(3,324,616
)
Total stockholders’ equity
  
$
13,253,662
    
$
11,895,974
  
 
Common and Preferred Stock
The following table provides a summary of option and direct purchase activity for the periods presented:
   
Options
Exercised
    
Aggregate
Exercise Price
    
Shares Issued
Through Direct
Purchase
    
Amount Raised from Direct
Purchase and Dividend
Reinvestment Program
  
For the Nine Months Ended:
  
(dollars in thousands)
  
September 30, 2016
    
-
    
$
-
      
172,000
    
$
1,795
  
September 30, 2015
    
-
    
$
-
      
168,000
    
$
1,724
  
 
In August 2015, our Board authorized the repurchase of up to $1.0 billion of our outstanding common shares through December 31, 2016. During the nine months ended September 30, 2016, we repurchased 11,132,226 shares of our common stock under this repurchase program for an aggregate amount of $102.7 million.

In March 2012, we entered into six separate Distribution Agency Agreements (or Distribution Agency Agreements) with each of Merrill Lynch; Pierce, Fenner & Smith Incorporated; Credit Suisse Securities (USA)
LLC; Goldman, Sachs & Co.; J.P. Morgan Securities LLC; Morgan Stanley & Co. LLC; and RCap (together, the Agents).  Pursuant to the terms of the Distribution Agency Agreements, we may sell from time to time through the Agents, as our sales agents, up to 125,000,000 shares of our common stock. We did not make any sales under the Distribution Agency Agreements during the nine months ended September 30, 2016 or 2015.
 
64
 
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
Leverage and Capital

We believe that it is prudent to maintain conservative debt-to-equity and economic leverage ratios as there continues to be volatility in the mortgage and credit markets. Our capital policy governs our capital and leverage position including setting limits. Based on the guidelines, we will maintain an economic leverage ratio of less than 10:1. Our actual economic leverage ratio varies from time to time based upon various factors, including our management’s opinion of the level of risk of our assets and liabilities, our liquidity position, our level of unused borrowing capacity, the availability of credit, over-collateralization levels required by lenders when we pledge assets to secure borrowings and our assessment of domestic and international market conditions.

Our debt-to-equity ratio at September 30, 2016 and December 31, 2015 was 5.3:1 and 5.1:1, respectively.  Our economic leverage ratio, which is computed as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of investments divided by total equity, at September 30, 2016 and December 31, 2015 was 6.1:1 and 6.0:1, respectively. Our capital ratio, which represents our ratio of stockholders’ equity to total assets (inclusive of total market value of TBA derivatives and exclusive of consolidated VIEs associated with B-Piece commercial mortgage-backed securities), was 13.3% and 13.7% at September 30, 2016 and December 31, 2015, respectively.
Risk Management

We are subject to a variety of risks in the ordinary conduct of our business. The effective management of these risks is of critical importance to the overall success of Annaly. The objective of our risk management framework is to measure, monitor and manage these risks. Our risk management framework is intended to facilitate a holistic, enterprise wide view of risk. We have built a strong and collaborative risk culture throughout Annaly focused on awareness which ensures the key risks are understood and managed appropriately. Each employee of our Manager is accountable for monitoring and managing risk within their area of responsibility.

Risk Appetite

We maintain a firm-wide risk appetite statement which defines the types and levels of risk we are willing to take in order to achieve our business objectives, and reflects our risk management philosophy.  Fundamentally, we will only engage in risk activities based on our core expertise that enhance value for our stockholders. Our activities focus on capital preservation and income generation through proactive portfolio management, supported by a conservative liquidity and leverage posture.

The risk appetite statement includes the following key parameters to guide our risk management activities:
 
Portfolio Composition
We will maintain a portfolio comprised of target assets approved by our Board and in accordance with our capital allocation policy.
Leverage
We will operate at an economic leverage ratio no greater than 10:1.
Liquidity Risk
 
We will seek to maintain an unencumbered asset portfolio sufficient to meet our liquidity needs under adverse market conditions.
Interest Rate Risk
We will seek to manage interest rate risk to protect the portfolio from adverse rate movements utilizing derivative instruments targeting both income and capital preservation.
Credit Risk
We will seek to manage credit risk by making investments which conform within our specific investment policy parameters and optimize risk-adjusted returns.
Capital Preservation
We will seek to protect our capital base through disciplined risk management practices.
Compliance
We will comply with regulatory requirements needed to maintain our REIT status and our exemption from registration under the Investment Company Act.
 
 
Governance

Risk management begins with our Board, through the review and oversight of the risk management framework, and executive management, through the ongoing formulation of risk management practices and related execution in managing risk. The Board exercises
its oversight of risk management primarily through the Board Risk Committee (or BRC) and Board Audit Committee (or BAC).  The BRC is responsible for oversight of our risk governance structure, risk management and risk assessment guidelines and policies, our risk appetite and our capital, liquidity and funding practices. The BAC is responsible for oversight
 
65
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
of the quality and integrity of our accounting, internal controls and financial reporting practices, including independent auditor selection, evaluation and review, and oversight of the internal audit function.

Risk assessment and risk management are the responsibility of our management.  A series of management committees have oversight or decision-making responsibilities for risk management activities. Membership of these committees is reviewed regularly to ensure the appropriate personnel are engaged in the risk management process. Four primary management committees have been established to provide a comprehensive framework for risk management. The management committees responsible for our risk management include the Enterprise Risk Committee, Asset and Liability Committee, Investment Committee and the Financial Reporting and Disclosure Committee. Each of these committees reports to our management
Operating Committee which is responsible for oversight and management of our operations including oversight and approval authority over all aspects of our enterprise risk management.

Audit Services is an independent function with reporting lines to the BAC. Audit Services is responsible for performing our internal audit activities, which includes independently assessing and validating key controls within the risk management framework.

Description of Risks

We are subject to a variety of risks due to the business we operate. Risk categories are an important component of a robust enterprise wide risk management framework. We have identified the following primary categories that we utilize to identify, assess, measure and monitor risk.
 
Risk
Description
Liquidity Risk
Risk to earnings, capital or business arising from our inability to meet our obligations when they come due without incurring unacceptable losses because of inability to liquidate assets or obtain adequate funding.
Investment/Market
Risk
Risk to earnings, capital or business resulting in the decline in value of our assets or an increase in the costs of financing caused by changes in market variables, such as interest rates, which affect the values of investment securities and other investment instruments.
Counterparty Risk
Risk to earnings, capital or business resulting from counterparty's failure to meet the terms of any contract or otherwise failure to perform as agreed. This risk is present in funding and hedging activities.
Credit Risk
Risk to earnings, capital or business resulting from an obligor’s failure to meet the terms of any contract or otherwise failure to perform as agreed. This risk is present in lending, and investing activities.
Operational Risk
Risk to earnings, capital, reputation or business arising from inadequate or failed internal processes or systems, human factors or external events. Model risk is included in operational risk.
Compliance,
Regulatory and Legal
Risk
Risk to earnings, capital, reputation of business arising from violations of, or nonconformance with internal and external applicable rules and regulations, losses resulting from lawsuits or adverse judgments, or from changes in the regulatory environment that may impact our business model.
 
 
Liquidity Risk Management

Our liquidity risk management strategy is designed to ensure the availability of sufficient resources to support
our business and meet our financial obligations under both normal and adverse market and business environments.  Our liquidity risk management practices consist of the following primary elements:
 
Funding
Availability of diverse and stable sources of funds.
Excess Liquidity
Excess liquidity primarily in the form of unencumbered assets.
Maturity Profile
Diversity and tenor of liabilities and modest use of leverage.
Stress Testing
Scenario modeling to measure the resiliency of our liquidity position.
Liquidity Management Policies
Comprehensive policies including monitoring, risk limits and an escalation protocol.
 
66
 
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
Funding

Our primary financing sources are repurchase agreements provided through counterparty arrangements and directly through RCap, other secured financing including FHLB funding, securitized debt, mortgages, credit facilities, note sales and various forms of equity.  We maintain excess liquidity through high quality assets.

We conservatively manage our repurchase agreement funding position through a variety of methods including diversity, breadth and depth of counterparties and maintaining a staggered and longer-term maturity profile.

Additionally, our wholly-owned subsidiary, RCap, provides direct access to third party funding as a FINRA member broker-dealer. RCap raises funds through the General Collateral Finance Repo service offered by the Fixed Income Clearing Corporation (FICC), with FICC acting as the central counterparty.

To reduce our liquidity risk we maintain a laddered approach to our repurchase agreements and a conservative weighted average days to maturity. As of September 30, 2016, the weighted average days to maturity was 128 days.

Our repurchase agreements generally provide that in the event of a margin call we must provide additional securities or cash on the same business day that a margin call is made.  Should prepayment speeds on the mortgages underlying our Agency and Residential mortgage-backed securities and/or market interest rates or other factors move suddenly and cause declines in the market value of assets posted as collateral, resulting margin calls may cause an adverse change in our liquidity position.
We maintain access to FHLB funding through our captive insurance subsidiary Truman. We finance eligible Agency, residential and commercial investments through the FHLB and maintain a required margin balance. While a recent FHFA ruling requires captive insurance companies to terminate their FHLB membership, given the length of its membership, Truman has been granted a five-year sunset provision whereby its membership will expire in February 2021.

We utilize diverse funding sources to finance our commercial investments. Aside from FHLB funding, we maintain credit facilities, securitization funding and, in the case of investments in commercial real estate, mortgage financing and note sales.

At September 30, 2016, we had total financial instruments and cash pledged as collateral for secured financing arrangements and interest rate swaps of $73.1 billion. The weighted average haircut was approximately 5% on repurchase agreements. The quality and character of the Residential investment securities that we pledge as collateral under the repurchase agreements, other secured financing and interest rate swaps did not materially change at September 30, 2016 compared to December 31, 2015, and our counterparties did not materially alter any requirements, including required haircuts, related to the collateral we pledge under repurchase agreements and interest rate swaps during the quarter ended September 30, 2016.

The table below presents our quarterly average and quarter-end repurchase agreement and reverse repurchase agreement balances outstanding for the periods presented:
 
67
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
   
Repurchase Agreements
    
Reverse Repurchase Agreements
  
   
Average Daily
Amount Outstanding
    
Ending Amount
Outstanding
    
Average Daily
Amount Outstanding
    
Ending Amount
Outstanding
  
Quarter Ended:
  
(dollars in thousands)
  
September 30, 2016
    
63,231,246
      
61,784,121
      
1,494,022
      
-
  
June 30, 2016
    
54,647,175
      
53,868,385
      
1,159,341
      
-
  
March 31, 2016
    
55,753,041
      
54,448,141
      
1,294,505
      
-
  
December 31, 2015
    
57,483,870
      
56,230,860
      
214,674
      
-
  
September 30, 2015
    
57,102,712
      
56,449,364
      
931,522
      
-
  
June 30, 2015
    
60,643,597
      
57,459,552
      
1,779,121
      
-
  
March 31, 2015
    
68,572,119
      
60,477,378
      
100,000
      
100,000
  
December 31, 2014
    
72,117,895
      
71,361,926
      
10,870
      
100,000
  
September 30, 2014
    
71,312,473
      
69,610,722
      
-
      
-
  
 
At September 30, 2016, the repurchase agreements and other secured financing outstanding had weighted average remaining maturities of 211 days and the following remaining maturities and weighted average rates:
 
   
September 30, 2016
  
   
Principal Balance
    
Weighted
Average Rate
    
% of Total
  
   
(dollars in thousands)
  
1 day
  
$
-
      
0.00
%
    
0.0
%
2 to 29 days
    
26,508,338
      
0.99
%
    
40.4
%
30 to 59 days
    
5,202,996
      
0.85
%
    
7.9
%
60 to 89 days
    
6,173,598
      
0.85
%
    
9.4
%
90 to 119 days
    
5,309,103
      
0.79
%
    
8.1
%
Over 120 days(1)
    
22,394,828
      
1.29
%
    
34.2
%
Total
  
$
65,588,863
      
1.05
%
    
100.0
%
                         
(1) Approximately 16% of the total repurchase agreements and other secured financing had a remaining maturity over 1 year.
 
The table below presents our outstanding debt balances and associated weighted average rates and days to maturity as of September 30, 2016:
 
         
Weighted Average Rate
        
   
Principal Balance
    
As of Period End
    
For the Quarter
    
Weighted Average
Days to Maturity (3)
  
   
(dollars in thousands)
                    
Repurchase agreements
  
$
61,784,121
      
1.07
%
    
0.97
%
    
128
  
Other secured financing (1)
    
3,804,742
      
0.80
%
    
0.83
%
    
1,560
  
Securitized debt of consolidated VIEs (2)
    
3,695,502
      
1.14
%
    
1.29
%
    
2,434
  
Participation sold (2)
    
12,908
      
5.58
%
    
4.81
%
    
213
  
Mortgages payable (2)
    
330,946
      
4.20
%
    
4.42
%
    
2,881
  
Total indebtedness
  
$
69,628,219
                          
 
 
(1)
Includes advances from the Federal Home Loan Bank of Des Moines of $3.6 billion and financing under credit facilities.
 
(2)
Non-recourse to Annaly.
 
(3)
Determined based on estimated weighted-average lives of the underlying debt instruments.
 
Excess Liquidity

Our primary source of liquidity is the availability of unencumbered assets which may be provided as collateral to support additional funding needs. We target minimum thresholds of available, unencumbered assets to maintain excess liquidity. The following table illustrates our asset portfolio available to support
potential collateral obligations and funding needs. Assets are considered encumbered if pledged as collateral against an existing liability, and therefore no longer available to support additional funding. An asset is considered unencumbered if it has not been pledged or securitized. The following table also provides the carrying amount of our encumbered and unencumbered financial assets as of September 30, 2016:
 
68
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
   
Encumbered
Assets
    
Unencumbered
Assets
    
Total
  
   
(dollars in thousands)
  
Financial Assets:
                  
Cash and cash equivalents
  
$
2,271,856
    
$
110,332
    
$
2,382,188
  
Investments, at carrying value:(1)
                        
Agency mortgage-backed securities
    
67,902,771
      
6,046,140
      
73,948,911
  
Credit risk transfer securities
    
446,529
      
222,766
      
669,295
  
Non-Agency mortgage-backed securities
    
1,293,530
      
166,730
      
1,460,260
  
Residential mortgage loans
    
179,626
      
130,522
      
310,148
  
MSRs
    
2,200
      
489,969
      
492,169
  
Commerical real estate debt investments
    
4,319,077
      
-
      
4,319,077
  
Commercial real estate debt and preferred equity, held for investment
    
583,131
      
487,066
      
1,070,197
  
Commercial loans held for sale
    
-
      
144,275
      
144,275
  
Corporate debt
    
475,453
      
241,378
      
716,831
  
Total financial assets
  
$
77,474,956
    
$
8,038,395
    
$
85,513,351
  
 
 
(1)
The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported on the Consolidated Statements of Financial Condition.
 
We maintain liquid assets in order to satisfy our current and future obligations in normal and stressed operating environments. These are held as the primary means of liquidity risk mitigation. The composition of our liquid assets is considered as well and is subject to certain parameters. The composition is monitored for concentration risk, asset type and ratings. We believe the assets we consider liquid can be readily converted into cash, through liquidation or by being used as collateral
in financing arrangements (including as additional collateral to support existing financing arrangements). Our balance sheet also generates liquidity on an on-going basis through mortgage principal and interest repayments and net earnings held prior to payment of dividends.  The following table presents our liquid assets as a percentage of total assets as of September 30, 2016.
 
Liquid Assets
  
Carrying Value(1)
  
   
(dollars in thousands)
  
Cash and cash equivalents
  
$
2,382,188
  
Residential Investment Securities(2)
    
76,078,466
  
Residential mortgage loans
    
310,148
  
Commercial real estate debt investments
    
365,927
  
Commercial real estate debt and preferred equity, held for investment
    
459,612
  
Commercial loans held for sale
    
144,275
  
Corporate debt
    
466,099
  
Total liquid assets
  
$
80,206,715
  
         
Percentage of liquid assets to total assets
    
92.29
%
 
 
(1)
Carrying value represents the market value of assets. The assets listed in this table include $73.4 billion of assets that have been pledged as collateral against existing liabilities as of September 30, 2016. Please refer to the Encumbered and Unencumbered Assets table for related information.
 
(2)
The amounts reflected in the table above are on a settlement date basis and may differ from the total positions reported on the Consolidated Statements of Financial Condition.
 
 
Maturity Profile

We consider the profile of our assets, liabilities and derivatives when managing both liquidity risk as well as investment/market risk employing a measurement of both the maturity gap and interest rate gap.
We determine the amount of liquid assets that are required to be held by monitoring several liquidity metrics.  We utilize several modeling techniques to analyze our current and potential obligations including the expected cash flows from our assets, liabilities and derivatives. The following table illustrates the expected maturities of our assets, liabilities and derivatives. The
 
69
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
table is based on a static portfolio and assumes no reinvestment of asset cash flows and no future liabilities are entered into. In assessing the maturity of our assets, liabilities and off balance sheet obligations, we use the stated maturities, or our prepayment expectations for assets that exhibit prepayment characteristics.  Cash and cash equivalents are included in the ‘within 3 months’ maturity bucket, as they are typically held for a short period of time.

With respect to each maturity bucket, our maturity gap is considered negative when the amount of maturing liabilities exceeds the amount of maturing assets. A negative gap increases our liquidity risk as we must enter into future liabilities.

Our interest rate sensitivity gap is the difference between Interest Earning Assets and Interest Bearing Liabilities maturing or re-pricing within a given time period. Unlike the calculation of maturity gap, interest rate sensitivity gap includes the effect of our interest rate swaps. A gap is considered positive when the amount of interest-rate sensitive assets exceeds the amount of interest-rate sensitive liabilities. A gap is considered negative when the amount of interest-rate sensitive liabilities exceeds the amount of interest-rate sensitive
assets. During a period of rising interest rates, a negative gap would tend to adversely affect net interest income, while a positive gap would tend to result in an increase in net interest income. During a period of falling interest rates, a negative gap would tend to result in an increase in net interest income, while a positive gap would tend to affect net interest income adversely. Because different types of assets and liabilities with the same or similar maturities may react differently to changes in overall market rates or conditions, changes in interest rates may affect net interest income positively or negatively even if assets and liabilities were perfectly matched in each maturity category. The amount of assets and liabilities utilized to compute our interest rate sensitivity gap was determined in accordance with the contractual terms of the assets and liabilities, except that adjustable-rate loans and securities are included in the period in which their interest rates are first scheduled to adjust and not in the period in which they mature. The effects of interest rate swaps, which effectively lock in our financing costs for a longer term, are also reflected in our interest rate sensitivity gap. The interest rate sensitivity of our assets and liabilities in the table below could vary substantially based on actual prepayment experience.
 
   
Less than 3
Months
    
3-12 Months
    
More than 1 Year
to 3 Years
    
3 Years and Over
    
Total
  
Financial Assets:
  
(dollars in thousands)
  
Cash and cash equivalents
  
$
2,382,188
    
$
-
    
$
-
    
$
-
    
$
2,382,188
  
Agency mortgage-backed securities (principal)
    
403,781
      
-
      
2,778,381
      
64,291,718
      
67,473,880
  
Credit risk transfer securities (principal)
    
-
      
-
      
33,000
      
608,531
      
641,531
  
Non-Agency mortgage-backed securities (principal)
    
40,000
      
172,943
      
360,661
      
1,010,732
      
1,584,336
  
Residential mortgage loans (principal)
    
-
      
-
      
-
      
301,957
      
301,957
  
Commercial real estate debt investments (principal)
    
-
      
-
      
-
      
4,305,085
      
4,305,085
  
Corporate debt (principal)
    
-
      
-
      
-
      
725,801
      
725,801
  
Commercial real estate debt and preferred equity (principal)
    
136,895
      
242,685
      
580,973
      
114,465
      
1,075,018
  
Commercial loans held for sale (principal)
    
-
      
-
      
145,000
      
-
      
145,000
  
Total financial assets
  
$
2,962,864
    
$
415,628
    
$
3,898,015
    
$
71,358,289
    
$
78,634,796
  
                                         
Financial Liabilities:
                                        
Repurchase agreements
  
$
37,882,286
    
$
17,159,482
    
$
6,742,353
    
$
-
    
$
61,784,121
  
Other secured financing
    
2,646
      
-
      
1,540
      
3,800,556
      
3,804,742
  
Securitized debt of consolidated VIE (principal)
    
-
      
-
      
-
      
3,695,502
      
3,695,502
  
Participation sold (principal)
    
81
      
12,827
      
-
      
-
      
12,908
  
Total financial liabilities
  
$
37,885,013
    
$
17,172,309
    
$
6,743,893
    
$
7,496,058
    
$
69,297,273
  
                                         
Maturity gap
  
$
(34,922,149
)
  
$
(16,756,681
)
  
$
(2,845,878
)
  
$
63,862,229
    
$
9,337,521
  
                                         
Cumulative maturity gap
  
$
(34,922,149
)
  
$
(51,678,830
)
  
$
(54,524,708
)
  
$
9,337,521
          
                                         
Interest rate sensitivity gap
  
$
(20,139,262
)
  
$
(7,339,011
)
  
$
2,886,220
    
$
33,929,574
    
$
9,337,521
  
                                         
Cumulative rate sensitivity gap
  
$
(20,139,262
)
  
$
(27,478,273
)
  
$
(24,592,053
)
  
$
9,337,521
          
                                         
Cumulative rate sensitivity gap as a % of total rate sensitive assets
    
(25.61
%)
    
(34.94
%)
    
(31.27
%)
    
11.87
%
        
 
 
The methodologies we employ for evaluating interest rate risk include an analysis of our interest rate gap, measurement of the duration and convexity of our portfolio and sensitivities to interest rates and spreads.
Stress Testing

We utilize liquidity stress testing to ensure we have sufficient liquidity under a variety of scenarios and stresses. These stress tests assist with the management of our pool of liquid assets and influence our current and
 
70
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
future funding plans. Our stress tests are modeled over both short-term and longer term horizons. The stresses applied include market-wide and firm-specific stresses.

Liquidity Management Policies

We utilize a comprehensive liquidity framework to inform our liquidity risk management practices including monitoring and measurement, along with well-defined key limits. Both quantitative and qualitative targets are utilized to measure the ongoing stability and condition of the liquidity position, and include the level and composition of unencumbered assets, as well as both short-term and long-term sustainability of the funding composition under stress conditions.

We also monitor early warning metrics designed to measure the quality and depth of liquidity sources based upon both company-specific and macro environmental conditions. The metrics assess both the short-term and long-term liquidity conditions and are integrated into our escalation protocol, with various liquidity ratings influencing management actions with respect to contingency planning and potential related actions.

Investment/Market Risk Management

One of the primary risks we are subject to is interest rate risk. Changes in the level of interest rates can affect our net interest income, which is the difference between the income we earn on our Interest Earning Assets and the interest expense incurred from Interest Bearing Liabilities and derivatives. Changes in the level of interest rates and spreads can also affect the value of our securities and potential realization of gains or losses from the sale of these assets. We may utilize a variety of financial instruments, including interest rate swaps,
swaptions, options, futures and other hedges, in order to limit the adverse effects of interest rates on our results. Our portfolio and the value of our portfolio, including derivatives, may be adversely affected as a result of changing interest rates and spreads.

We simulate a wide variety of interest rate scenarios in evaluating our risk. Scenarios are run to capture our sensitivity to changes in interest rates, spreads and the shape of the yield curve. We also consider the assumptions affecting our analysis such as those related to prepayments. In addition to predefined interest rate scenarios, we utilize Value-at-Risk measures to estimate potential losses in the portfolio over various time horizons utilizing various confidence levels. The following tables estimate the potential changes in economic net interest income over a twelve month period and the immediate effect on our portfolio market value (inclusive of derivative instruments), should interest rates instantaneously increase or decrease by 25, 50 or 75 basis points, and the effect of portfolio market value if mortgage option-adjusted spreads instantaneously increase or decrease by 5, 15 or 25 basis points (assuming shocks are parallel and instantaneous). All changes to income and portfolio market value are measured as percentage changes from the projected economic net interest income and portfolio value at the base interest rate scenario. The base interest rate scenario assumes interest rates at September 30, 2016 and various estimates regarding prepayments and all activities are made at each level of rate shock. The economic net interest income simulations incorporate the interest expense effect of rate resets on assets, liabilities and derivatives as well as the amortization expense and reinvestment of principal based on the prepayments on our securities, which varies based on the level of rates. The results assume no management actions in response to the rate or spread changes. Actual results could differ significantly from these estimates.
 
71
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
Change in Interest Rate
  
Projected Percentage
Change in Economic Net
Interest Income(1)
    
Estimated Percentage
Change in Portfolio Value(2)
    
Estimated
Change as a
% on
NAV(2)(3)
  
-75 Basis Points
    
(21.8%)
 
    
0.5%
 
    
3.1%
 
-50 Basis Points
    
(14.9%)
 
    
0.4%
 
    
2.3%
 
-25 Basis Points
    
(8.2%)
 
    
0.2%
 
    
1.3%
 
Base Interest Rate
    
-
      
-
      
-
  
+25 Basis Points
    
5.4%
 
    
(0.3%)
 
    
(1.7%)
 
+50 Basis Points
    
10.5%
 
    
(0.6%)
 
    
(3.8%)
 
+75 Basis Points
    
13.4%
 
    
(1.1%)
 
    
(6.6%)
 
                         
                         
MBS Spread Shock
  
Estimated Change in
Portfolio Market Value
    
Estimated Change as a %
on NAV(2)(3)
          
-25 Basis Points
    
1.3%
 
    
8.2%
 
        
-15 Basis Points
    
0.8%
 
    
4.9%
 
        
-5 Basis Points
    
0.3%
 
    
1.6%
 
        
Base Interest Rate
    
-
      
-
          
+5 Basis Points
    
(0.3%)
 
    
(1.6%)
 
        
+15 Basis Points
    
(0.8%)
 
    
(4.8%)
 
        
+25 Basis Points
    
(1.3%)
 
    
(8.0%)
 
        
 
 
(1)
Scenarios include Residential Investment Securities, commercial real estate investments, corporate debt, repurchase agreements, other secured financing and interest rate swaps.  Economic net interest income includes interest expense on interest rate swaps.
 
(2)
Scenarios include Residential Investment Securities and derivative instruments.
 
(3)
NAV represents book value of equity.
 
 
Credit Risk Management

Key risk parameters have been established to specify our credit risk appetite. We will seek to manage credit risk by making investments which conform within the firm’s specific investment policy parameters and optimize risk-return attributes.

While we do not expect to encounter credit risk in our Agency investments, we face credit risk on the non-Agency mortgage-backed securities and CRT securities in our portfolio. In addition, we are also exposed to credit risk on residential mortgage loans, commercial real estate investments and corporate debt. MSR values may also be impacted if overall costs to service the underlying mortgage loans increase due to borrower performance. We are subject to risk of loss if an issuer
or borrower fails to perform its contractual obligations. We have established policies and procedures for mitigating credit risk, including establishing and reviewing limits for credit exposure. We will originate or purchase commercial investments that meet our comprehensive underwriting process and credit standards and are approved by the appropriate management committee. Once a commercial investment is made, our ongoing surveillance process includes regular reviews, analysis and oversight of investments by our investment personnel and appropriate management committee. We review credit and other risks of loss associated with each investment. Our management monitors the overall portfolio risk and determines estimates of provision for loss. Our portfolio composition as of September 30, 2016 and December 31, 2015 was as follows:
 
Asset Portfolio (using balance sheet values)
            
Category
  
September 30, 2016
    
December 31, 2015
  
Agency mortgage-backed securities(1)
    
88.4
%
    
90.3
%
Agency debentures
    
-
%
    
0.2
%
Credit risk transfer securities
    
0.8
%
    
0.6
%
Residential mortgage loans
    
1.8
%
    
-
%
Mortgage servicing rights
    
0.4
%
    
-
%
Non-Agency mortgage-backed securities
    
0.6
%
    
1.2
%
Commercial real estate(2) (3)
    
7.1
%
    
7.0
%
Corporate debt
    
0.9
%
    
0.7
%
 
 
(1)
Including TBAs held for delivery.
 
(2)
Net of unamortized origination fees.
 
(3)
Including commercial loans held for sale, net.
 
72
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
Counterparty Risk Management

Our use of repurchase and derivative agreements and trading activities create exposure to counterparty risk relating to potential losses that could be recognized if the counterparties to these agreements fail to perform their obligations under the contracts. In the event of default by a counterparty, we could have difficulty obtaining our assets pledged as collateral. A significant portion of our Agency mortgage-backed securities are financed with repurchase agreements by pledging our agency securities as collateral to the lender. The collateral we pledge usually exceeds the amount of the borrowings under each agreement. If the counterparty to the repurchase agreement defaults on its obligations and we are not able to recover our pledged asset, we are at risk of losing the over-collateralization or haircut. The amount of this exposure is the difference between the amount loaned to us plus interest due to the counterparty and the fair value of the collateral pledged by us to the lender including accrued interest receivable on such collateral.
We also use interest rate swaps and other derivatives to manage interest rate risk. Under these agreements, we pledge securities and cash as collateral as part of a margin arrangement. If a counterparty were to default on its obligations, we would be exposed to a loss to a derivative counterparty to the extent that the amount of our securities or cash pledged exceeded the unrealized loss on the associated derivative and we were not able to recover the excess collateral.  Additionally, we would be exposed to a loss to a derivative counterparty to the extent that our unrealized gains on derivative instruments exceeds the amount of the counterparty’s securities or cash pledged to us.

We monitor our exposure to counterparties across several dimensions including by type of arrangement, collateral type, counterparty type, ratings and geography.

The following table summarizes our exposure to counterparties by geography as of September 30, 2016:
 
Country
  
Number of
Counterparties
    
Repurchase
Agreement
Financing
    
Interest Rate
Swaps at Fair
Value
    
Exposure(1)
  
   
(dollars in thousands)
  
North America
    
17
    
$
46,997,444
    
$
(2,066,651
)
  
$
3,260,953
  
Europe
    
11
      
10,204,382
      
(739,588
)
    
833,296
  
Asia (non-Japan)
    
1
      
307,623
      
-
      
19,312
  
Japan
    
4
      
4,274,672
      
-
      
264,194
  
Total
    
33
    
$
61,784,121
    
$
(2,806,239
)
  
$
4,377,755
  
 
 
(1)
Represents the amount of cash and/or securities pledged as collateral to each counterparty less the aggregate of repurchase agreement financing and unrealized loss on swaps for each counterparty.
 
Operational Risk Management

We are subject to operational risk in each of our business and support functions. Operational risk may arise from internal or external sources including human error, fraud, systems issues, process change, vendors, business interruptions and other external events. Model risk considers potential errors with a model’s results due to uncertainty in model parameters and inappropriate methodologies used. The result of these risks may include financial loss and reputational damage. We manage operational risk through a variety of tools including policies and procedures which cover topics such as business continuity, personal conduct and vendor management.  Other tools include training on topics such as cyber security awareness; testing,
including disaster recovery testing; systems controls, including access controls; and monitoring, which includes the use of key risk indicators.  Employee level lines of defense against operational risk include proper segregation of incompatible duties, activity-level internal controls over financial reporting, the empowerment of business units to identify and mitigate operational risk sources, an independent operational risk working group, testing by our internal audit staff, and our overall governance framework.   

Compliance, Regulatory and Legal Risk Management

Our business is organized as a REIT, and we plan to continue to meet the requirements for taxation as a REIT.  The determination that we are a REIT requires
 
73
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 2. Management’s Discussion and Analysis
 
 
an analysis of various factual matters and circumstances.  Accordingly, we closely monitor our REIT status within our risk management program.  The financial services industry is highly regulated and continues to receive increasing attention from regulators, which may impact both our company as well as our business strategy. We proactively monitor the potential impact regulation may have both directly and indirectly on us. We maintain a process to actively monitor both actual and potential legal action that may affect us.  Our risk management framework is designed to identify, monitor and manage these risks under the oversight of the Enterprise Risk Committee.

We currently rely on the exemption from registration provided by Section 3(c)(5)(C) of the Investment Company Act, and we plan to continue to meet the requirements for this exemption from registration.  The determination that we qualify for this exemption from registration depends on various factual matters and circumstances.  Accordingly, in conjunction with our legal department, we closely monitor our compliance with Section 3(c)(5)(C) within our risk management program.  The monitoring of this risk is also under the oversight of the Enterprise Risk Committee.

As a result of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, the U.S. Commodity Futures Trading Commission (or CFTC) gained jurisdiction over the regulation of interest rate swaps.  The CFTC has asserted that this causes the operators of mortgage REITs that use swaps as part of their business model to fall within the statutory definition of Commodity Pool Operator (or CPO), and, absent relief from the CFTC, to register as CPOs.  On December 7, 2012, as a result of numerous requests for no-action relief from the CPO registration requirement for operators of mortgage REITs, the Division of Swap Dealer and Intermediary Oversight of the CFTC issued no-action relief entitled “No-Action Relief from the Commodity Pool Operator Registration Requirement for Commodity Pool Operators of Certain Pooled Investment Vehicles Organized as Mortgage Real Estate Investment Trusts” that permits a CPO to receive relief by filing a claim to perfect the use of the relief. A claim submitted by a CPO will be effective upon filing, so long as the claim is materially complete.  The conditions that must be met relate to initial margin and premiums requirements, net income derived annually from commodity interest positions that are not qualifying hedging transactions, marketing of interests in the mortgage REIT to the public, and identification of the entity as a mortgage REIT in its federal tax filings with the Internal Revenue Service.  While we disagree that the CFTC’s position that mortgage REITs that use swaps as part of their business model fall within the
statutory definition of a CPO, we have submitted a claim for the relief set forth in the no-action relief entitled “No-Action Relief from the Commodity Pool Operator Registration Requirement for Commodity Pool Operators of Certain Pooled Investment Vehicles Organized as Mortgage Real Estate Investment Trusts” and believe we meet the criteria for such relief set forth therein.

Critical Accounting Policies and Estimates

Our critical accounting policies that require us to make significant judgments or estimates are described below.  For more information on these critical accounting policies and other significant accounting policies, see “Significant Accounting Policies” in the Notes to the Consolidated Financial Statements.

Valuation of Financial Instruments

Residential Investment Securities

There is an active market for our Agency mortgage-backed securities, Agency debentures, CRT securities and non-Agency mortgage-backed securities.  Since we primarily invest in securities that can be valued using actively quoted prices, there is a high degree of observable inputs and less subjectivity in measuring fair value.  Internal market values are determined using quoted prices from the TBA security market, the Treasury curve and the underlying characteristics of the individual securities, which may include coupon, periodic and life caps, reset dates and the expected life of the security.  Prepayment rates are difficult to predict and are a significant estimate requiring judgment in the valuation of Agency mortgage-backed securities.  All internal market values are compared to external pricing sources and/or dealer quotes for reasonableness.  Additionally, securities used as collateral for repurchase agreements are priced daily by counterparties to ensure sufficient collateralization, providing additional verification of our internal pricing.

Commercial Real Estate Investments

A commercial mortgage-backed security classified as available-for sale must be evaluated for other-than-temporary impairment if the fair value of the security is lower than its amortized cost.  Determining whether there is an other-than-temporary impairment may require us to exercise significant judgment and make estimates to determine expected cash flows incorporating assumptions such as changes in interest rates and loss expectations.  For commercial real estate loans and preferred equity investments classified as held for investment, we apply significant judgment in
 
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evaluating the need for a loss reserve.  Estimated net recoverable value of the commercial real estate loans and preferred equity investments and other factors such as the fair value of any collateral, the amount and status of senior debt, the prospects of the borrower and the competitive landscape where the borrower conducts business must be considered in determining the allowance for loan losses.  For commercial real estate loans held for sale, significant judgment may need to be applied in determining fair value of the loans and whether a valuation allowance is necessary.  Factors that may need to be considered to determine fair value of a loan held for sale include the borrower’s credit quality, liquidity and other market factors, and the fair value of the underlying collateral.

Interest Rate Swaps

We use the overnight indexed swap (or OIS) curve as an input to value substantially all of our uncleared interest rate swaps. We believe using the OIS curve, which reflects the interest rate typically paid on cash collateral, enables us to most accurately determine the fair value of uncleared interest rate swaps.  Consistent with market practice, we exchange collateral (also called margin) based on the fair values of our interest rate swaps. Through this margining process, we may be able to compare our recorded fair value with the fair value calculated by the counterparty, providing additional verification of our recorded fair value of the uncleared interest rate swaps. We value our cleared interest rate swaps using the prices provided by the derivatives clearing organization.

Revenue Recognition

Interest income from coupon payments is accrued based on the outstanding principal amounts of the Residential Investment Securities and their contractual terms. Premiums and discounts associated with the purchase of the Residential Investment Securities are amortized or accreted into interest income over the projected lives of the securities using the interest method. We use third-party model and market information to project
prepayment speeds. Our prepayment speed projections incorporate underlying loan characteristics (e.g., coupon, term, original loan size, original loan to value, etc.) and market data, including interest rate and home price index forecasts, and expert judgment. Prepayment speeds vary according to the type of investment, conditions in the financial markets and other factors and cannot be predicted with any certainty. Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results. Adjustments are made for actual prepayment activity as it relates to calculating the effective yield. The results computed by the model are compared to projections computed by third party models for reasonableness. Gains and losses on sales of Residential Investment Securities are recorded on trade date based on the specific identification method.

Consolidation of Variable Interest Entities

Determining whether an entity has a controlling financial interest in a VIE requires significant judgment related to assessing the purpose and design of the VIE and determination of the activities that most significantly impact its economic performance.  We must also identify explicit and implicit variable interests in the entity and consider our involvement in both the design of the VIE and its ongoing activities.   To determine whether consolidation of the VIE is required, we must apply judgment to assess whether we have the power to direct the most significant activities of the VIE and whether we have either the rights to receive benefits or obligation to absorb losses that could be potentially significant to the VIE.

Use of Estimates

The use of GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ materially from those estimates.
 
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Glossary of Terms
 
 
A
Adjustable-Rate Loan / Security
A loan / security on which interest rates are adjusted at regular intervals according to predetermined criteria. The adjustable interest rate is tied to an objective, published interest rate index.

Agency
Refers to a federally chartered corporation, such as the Federal National Mortgage Association, or the Federal Home Loan Mortgage Corporation, or an agency of the U.S. Government, such as the Government National Mortgage Association.

Agency Debentures
Debt issued by a federal agency or a government-sponsored enterprise (GSE) for financing purposes. These types of debentures are not backed by collateral, but by the integrity and credit-worthiness of the issuer.  Agency debentures issued by a GSE are backed only by that GSE's ability to pay.  The callable feature allows the Agency to repay the bond prior to maturity.

Agency Mortgage-Backed Securities
Refers to residential mortgage-backed securities that are issued or guaranteed by an Agency.

Amortization
Liquidation of a debt through installment payments.  Amortization also refers to the process of systematically reducing a recognized asset or liability (e.g., a purchase premium or discount for a debt security) with an offset to earnings.

Average Life
On a mortgage-backed security, the average time to receipt of each dollar of principal, weighted by the amount of each principal prepayment, based on prepayment assumptions.


B
Basis Point (BPs)
One hundredth of one percent, used in expressing differences in interest rates.  One basis point is 0.01% of yield. For example, a bond’s yield that changed from 3.00% to 3.50% would be said to have moved 50 basis points.


Benchmark
A bond or an index referencing a basket of bonds whose terms are used for comparison with other bonds of similar maturity. The global financial market typically
looks to U.S. Treasury securities as benchmarks.

Beneficial Owner
One who benefits from owning a security, even if the security’s title of ownership is in the name of a broker or bank.

B-Note
Subordinate mortgage notes and/or subordinate mortgage loan participations.

B-Piece
The most subordinate commercial mortgage-backed security bond class.

Board
Refers to the board of directors of Annaly.

Bond
The written evidence of debt, bearing a stated rate or stated rates of interest, or stating a formula for determining that rate, and maturing on a date certain, on which date and upon presentation a fixed sum of money plus interest (usually represented by interest coupons attached to the bond) is payable to the holder or owner. Bonds are long-term securities with an original maturity of greater than one year. For purposes of computations tied in to “per bond,” a $1,000 increment of an issue is used (no matter what the actual denominations are).

 Book Value Per Share
Calculated by summing common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit and dividing that number by the total common shares outstanding.

Broker
 Generic name for a securities firm engaged in both buying and selling securities on behalf of customers or its own account.

C
Capital Buffer
Includes unencumbered financial assets which can be either sold or utilized as collateral to meet liquidity needs.

Capital Ratio
Calculated as total stockholders’ equity divided by total assets inclusive of outstanding market value of TBA derivatives and exclusive of consolidated VIEs associated with B-Piece commercial mortgage-backed securities.
 
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Carry
 The amount an asset earns over its hedging and financing costs. A positive carry happens when the rate on the securities being financed is greater than the rate on the funds borrowed. A negative carry is when the rate on the funds borrowed is greater than the rate on the securities that are being financed.

Collateral
 Securities, cash or property pledged by a borrower or party to a derivative contract to secure payment of a loan or derivative. If the borrower fails to repay the loan or defaults under the derivative contract, the secured party may take ownership of the collateral.

 Collateralized Mortgage Obligation (CMO)
A multiclass bond backed by a pool of mortgage pass-through securities or mortgage loans.

Commodity Futures Trading Commission (CFTC)
An independent U.S. federal agency established by the Commodity Futures Trading Commission Act of 1974. The CFTC regulates the swaps, commodity futures and options markets. Its goals include the promotion of competitive and efficient futures markets and the protection of investors against manipulation, abusive trade practices and fraud.

Commercial Mortgage-Backed Security (CMBS)
Securities collateralized by a pool of mortgages on commercial real estate in which all principal and interest from the mortgages flow to certificate holders in a defined sequence or manner.

 Constant Prepayment Rate (CPR)
The percentage of outstanding mortgage loan principal that prepays in one year, based on the annualization of the Single Monthly Mortality, which reflects the outstanding mortgage loan principal that prepays in one month.

 Convertible Securities
Securities which may be converted into shares of another security under stated terms, often into the issuing company’s common stock.

Convexity
 A measure of the change in a security’s duration with respect to changes in interest rates. The more convex a security is, the more its duration will change with interest rate changes.

Core Earnings and Core Earnings Per Common Share
Non-GAAP financial measure that is defined as net income (loss) excluding gains or losses on disposals of
investments and termination of interest rate swaps, unrealized gains or losses on interest rate swaps and investments measured at fair value through earnings, net gains or losses on trading assets, impairment losses, net income (loss) attributable to noncontrolling interest, the premium amortization adjustment resulting from the quarter-over-quarter change in estimated long-term CPR, MSR amortization, corporate acquisition related expenses and certain other non-recurring gains or losses, and inclusive of dollar roll income (a component of Net gains (losses) on trading assets).

Core Interest Income
Non-GAAP financial measure that is comprised of GAAP interest income excluding the impact of the premium amortization adjustment.

Corporate Debt
Non-government debt instruments issued by corporations. Long-term corporate debt can be issued as bonds or loans.

Counterparty
One of two entities in a transaction. For example, in the bond market a counterparty can be a state or local government, a broker-dealer or a corporation.

Coupon
 The interest rate on a bond that is used to compute the amount of interest due on a periodic basis.

 Credit and Counterparty Risk
Risk to earnings, capital or business, resulting from an obligor’s or counterparty's failure to meet the terms of any contract or otherwise failure to perform as agreed. Credit and counterparty risk is present in lending, investing, funding and hedging activities.

Credit Risk Transfer (CRT) Securities
Credit Risk Transfer securities are risk sharing transactions issued by Fannie Mae and Freddie Mac and similarly structured transactions arranged by third party market participants. The securities issued in the CRT sector are designed to synthetically transfer mortgage credit risk from Fannie Mae, Freddie Mac and/or third parties to private investors.

Current Face
The current remaining monthly principal on a mortgage security. Current face is computed by multiplying the original face value of the security by the current principal balance factor.
 
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D
Dealer
Person or organization that underwrites, trades and sells securities, e.g., a principal market-maker in securities.

Default Risk
Possibility that a bond issuer will fail to pay principal or interest when due.

Derivative
 A financial product that derives its value from the price, price fluctuations and price expectations of an underlying instrument, index or reference pool (e.g. futures contracts, options, interest rate swaps, interest rate swaptions and certain to-be-announced securities).

 Discount Price
When the dollar price is below face value, it is said to be selling at a discount.

Duration
 The weighted maturity of a fixed-income investment’s cash flows (including principal and interest), used in the estimation of the price sensitivity of fixed-income securities for a given change in interest rates.


E
Economic Capital
A measure of the risk a firm is subject to.  It is the amount of capital a firm needs as a buffer to protect against risk.  It is a probabilistic measure of potential future losses at a given confidence level over a given time horizon.

Economic Core Net Interest Income
Non-GAAP financial measure that is composed of GAAP net interest income adjusted for realized gains or losses on interest rate swaps used to hedge cost of funds and excluding the impact of the premium amortization adjustment.

Economic Interest Expense
Non-GAAP financial measure that is composed of GAAP interest expense adjusted for realized gains or losses on interest rate swaps used to hedge cost of funds.

Economic Leverage Ratio (Economic Debt-to-Equity Ratio)
Calculated as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of investments divided by total equity.
Economic Net Interest Income
Non-GAAP financial measure that is composed of GAAP net interest income adjusted for realized gains or losses on interest rate swaps used to hedge cost of funds.

Encumbered Assets
Assets on the company’s balance sheet which have been pledged as collateral against a liability.

Eurodollar
A U.S. dollar deposit held in Europe or elsewhere outside the United States.


F
Face Amount
The par value (i.e., principal or maturity value) of a security appearing on the face of the instrument.

Factor
 A decimal value reflecting the proportion of the outstanding principal balance of a mortgage security, which changes over time, in relation to its original principal value.

Fannie Mae
Federal National Mortgage Association.

Federal Deposit Insurance Corporation (FDIC)
An independent agency created by the U.S. Congress to maintain stability and public confidence in the nation's financial system by insuring deposits, examining and supervising financial institutions for safety and soundness and consumer protection, and managing receiverships.

 Federal Funds Rate
The interest rate charged by banks on overnight loans of their excess reserve funds to other banks.

Federal Home Loan Banks (FHLB)
U.S. Government-sponsored banks that provide reliable liquidity to member financial institutions to support housing finance and community investment.

Federal Housing Financing Agency (FHFA)
The FHFA is an independent regulatory agency that oversees vital components of the secondary mortgage market including Fannie Mae, Freddie Mac and the Federal Home Loan Banks.

Financial Industry Regulatory Authority (FINRA)
FINRA is a non-governmental organization tasked with regulating all business dealings conducted between dealers, brokers and all public investors.
 
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Fixed-Rate Mortgage
A mortgage featuring level monthly payments, determined at the outset, which remain constant over the life of the mortgage.

Fixed Income Clearing Corporation (FICC)
The FICC is an agency that deals with the confirmation, settlement and delivery of fixed-income assets in the U.S. The agency ensures the systematic and efficient settlement of U.S. Government securities and mortgage-backed security transactions in the market.

Floating Rate
A bond for which the interest rate is adjusted periodically according to a predetermined formula, usually linked to an index.

Floating Rate CMO
A CMO tranche which pays an adjustable rate of interest tied to a representative interest rate index, such as the LIBOR index.

Freddie Mac
Federal Home Loan Mortgage Corporation.

Futures Contract
A legally binding agreement to buy or sell a commodity or financial instrument in a designated future month at a price agreed upon at the initiation of the contract by the buyer and seller. Futures contracts are standardized according to the quality, quantity, and delivery time and location for each commodity. A futures contract differs from an option in that an option gives one of the counterparties a right and the other an obligation to buy or sell, while a futures contract represents an obligation of both counterparties, one to deliver and the other to accept delivery. A futures contract is part of a class of financial instruments called derivatives.


G
GAAP
Accounting principles generally accepted in the United States of America.

Ginnie Mae
Government National Mortgage Association.


H
Hedge
 An investment made with the intention of minimizing the impact of adverse movements in financial instruments such as interest rates or securities prices.
I
In-the-Money
 Description for an option that has intrinsic value and can be sold or exercised for a profit; a call option is in-the-money when the strike price (execution price) is below the market price of the underlying security.

Interest Bearing Liabilities
Refers to repurchase agreements, FHLB Des Moines advances, Convertible Senior Notes, securitized debt of consolidated VIEs, participation sold, U.S. Treasury securities sold, not yet purchased and securities loaned. Average Interest Bearing Liabilities is based on daily balances.

Interest Earning Assets
Refers to Residential Investment Securities, residential mortgage loans, securities borrowed, U.S. Treasury securities, reverse repurchase agreements, commercial real estate debt investments, commercial real estate debt and preferred equity interests and corporate debt. Average Interest Earning Assets is based on daily balances.

Interest Only (IO) Bond
The interest portion of mortgage, Treasury or bond payments, which is separated and sold individually from the principal portion of those same payments.

Interest Rate Risk
The risk that an investment's value will change due to a change in the absolute level of interest rates, in the spread between two rates, in the shape of the yield curve or in any other interest rate relationship. As market interest rates rise, the value of current fixed income investment holdings declines. Diversifying, deleveraging and hedging techniques are utilized to mitigate this risk. Interest rate risk is a form of market risk.

Interest Rate Swap
A binding agreement between counterparties to exchange periodic interest payments on some predetermined dollar principal, which is called the notional principal amount. For example, one party will pay fixed and receive a variable rate.

Interest Rate Swaption
Options on interest rate swaps. The buyer of a swaption has the right to enter into an interest rate swap agreement at some specified date in the future. The swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer.
 
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Internal Capital Adequacy Assessment Program (ICAAP)
The ongoing assessment and measurement of risks, and the amount of capital which is necessary to hold against those risks.  The objective is to ensure that a firm is appropriately capitalized relative to the risks in its business.

International Swaps and Derivatives Association (ISDA) Master Agreement
Standardized contract developed by ISDA used as an umbrella under which bilateral derivatives contracts are entered into.

Inverse IO Bond
An interest-only bond whose coupon is determined by a formula expressing an inverse relationship to a benchmark rate, such as LIBOR. As the benchmark rate changes, the inverse IO bond coupon adjusts in the opposite direction. When the benchmark rate is relatively low, the inverse IO bond pays a relatively high coupon payment, and vice versa.

Investment/Market Risk
Risk to earnings, capital or business resulting in the decline in value of our assets caused from changes in market variables, such as interest rates, which affect the values of residential investment securities and other investment instruments.

Investment Company Act
Refers to the Investment Company Act of 1940 as amended.


L
Leverage
 The use of borrowed money with the objective of increasing investing scale and economic returns.

Leverage Ratio (Debt-to-Equity Ratio)
Calculated as total debt to total stockholders' equity. For purposes of calculating this ratio total debt includes repurchase agreements, other secured financing, Convertible Senior Notes, securitized debt of consolidated VIEs, loan participation sold and mortgages payable.

LIBOR (London Interbank Offered Rate)
The rate banks charge each other for short-term Eurodollar loans. LIBOR is frequently used as the base for resetting rates on floating-rate securities and the floating-rate legs of interest rate swaps.
Liquidity Risk
Risk to earnings, capital or business arising from our inability to meet our obligations when they come due without incurring unacceptable losses because of inability to liquidate assets or obtain adequate funding.

Long-Term CPR
The Company’s projected prepayment speeds for certain Agency mortgaged-backed securities using third-party model and market information. The Company’s prepayment speed projections incorporate underlying loan characteristics (e.g., coupon, term, original loan size, original loan to value, etc.) and market data, including interest rate and home price index forecasts.  Changes to model assumptions, including interest rates and other market data, as well as periodic revisions to the model will cause changes in the results.

Long-Term Debt
Debt which matures in more than one year.

M
Monetary Policy
Action taken by the Board of Governors of the Federal Reserve System to influence the money supply or interest rates.

 Mortgage-Backed Security (MBS)
A security representing a direct interest in a pool of mortgage loans. For a single-tranche MBS, the pass-through issuer or servicer collects the payments on the loans in the pool and "passes through" the principal and interest to the security holders on a pro rata basis.

Mortgage Loan
A mortgage loan granted by a bank, thrift or other financial institution that is based solely on real estate as security and is not insured or guaranteed by a government agency.

Mortgage Servicing Rights (MSRs)
Contractual agreements constituting the right to service an existing mortgage where the holder receives the benefits and bears the costs and risks of servicing the mortgage.


N
NAV
Net asset value.

Net Equity Yield
Calculated using GAAP net income, excluding depreciation and amortization expense, divided by average net equity.
 
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Net Interest Income
Represents interest income earned on our portfolio investments, less interest expense paid for borrowings.

Net Interest Margin
Represents annualized economic core net interest income, inclusive of interest expense on interest rate swaps used to hedge cost of funds, plus TBA dollar roll income less interest expense on interest rate swaps used to hedge dollar roll transactions divided by the sum of its average Interest Earning Assets plus average outstanding TBA derivative balances.

Net Interest Spread
Calculated by taking the average yield on Interest Earning Assets minus the average cost of Interest Bearing Liabilities, including the net interest payments on interest rate swaps used to hedge cost of funds.

Non-Performing Loan (NPL)
A loan that is close to defaulting or is in default.

Notional Amount
A stated principal amount in a derivative contract on which the contract is based.


O
Operational Risk
Risk to earnings, capital, reputation or business arising from inadequate or failed internal processes or systems, human factors or external events.

Option Contract
A contract in which the buyer has the right, but not the obligation, to buy or sell an asset at a set price on or before a given date. Buyers of call options bet that a security will be worth more than the price set by the option (the strike price), plus the price they pay for the option itself. Buyers of put options bet that the security’s price will drop below the price set by the option. An option is part of a class of financial instruments called derivatives, which means these financial instruments derive their value from the worth of an underlying investment.

Original Face
The face value or original principal amount of a security on its issue date.

Out-of-the-Money
 Description for an option that has no intrinsic value and would be worthless if it expired today; for a call option, this situation occurs when the strike price is higher than the market price of the underlying security; for a put
option, this situation occurs when the strike price is less than the market price of the underlying security.

 Over-The-Counter (OTC) Market
A securities market that is conducted by dealers throughout the country through negotiation of price rather than through the use of an auction system as represented by a stock exchange.
 
P
Par
Price equal to the face amount of a security; 100%.

Par Amount
The principal amount of a bond or note due at maturity. Also known as par value.

Pass-Through Security
A securitization structure where a GSE or other entity “passes” the amount collected from the borrowers every month to the investor, after deducting fees and expenses.

Pool
A collection of mortgage loans assembled by an originator or master servicer as the underlying collateral for a security. In the case of Ginnie Mae, Fannie Mae, or Freddie Mac mortgage pass-through securities, pools are identified by a number assigned by the issuing agency.

Premium
 The amount by which the price of a security exceeds its principal amount. When the dollar price of a bond is above its face value, it is said to be selling at a premium.

Premium Amortization Adjustment (PAA)
The component of premium amortization representing the quarter-over-quarter change in estimated long-term CPR.

Prepayment
 The unscheduled partial or complete payment of the principal amount outstanding on a mortgage loan or other debt before it is due.

 Prepayment Risk
The risk that falling interest rates will lead to increased prepayments of mortgage or other loans, forcing the investor to reinvest at lower prevailing rates.

Prime Rate
The indicative interest rate on loans that banks quote to their best commercial customers.
 
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Principal and Interest
The term used to refer to regularly scheduled payments of principal and payments of interest on a mortgage or other security.


R
Rate Reset
The adjustment of the interest rate on a floating-rate security according to a prescribed formula.

Real Estate Investment Trust (REIT)
A special purpose investment vehicle that provides investors with the ability to participate directly in the ownership or financing of real-estate related assets by pooling their capital to purchase and manage mortgage loans and/or income property.

Recourse Debt
Debt on which the economic borrower is obligated to repay the entire balance regardless of the value of the pledged collateral. By contrast, the economic borrower’s obligation to repay non-recourse debt is limited to the value of the pledged collateral.

Reinvestment Risk
The risk that interest income or principal repayments will have to be reinvested at lower rates in a declining rate environment.

Re-Performing Loan (RPL)
A type of loan in which payments were previously delinquent by at least 90 days but have resumed.

Repurchase Agreement
The sale of securities to investors with the agreement to buy them back at a higher price after a specified time period; a form of short-term borrowing. For the party on the other end of the transaction (buying the security and agreeing to sell in the future) it is a reverse repurchase agreement.

Residential Investment Securities
Refers to Agency mortgage-backed securities, Agency debentures, CRT securities and non-Agency mortgage-backed securities.

Residual
 In a CMO, the residual is the tranche that collects any cash flow from the collateral that remains after obligations to the other tranches have been met.

Return on Average Equity
Calculated by taking earnings divided by average stockholders' equity.
Reverse Repurchase Agreement
Refer to Repurchase Agreement. The buyer of securities effectively provides a collateralized loan to the seller.

Risk Appetite Statement
Defines the types and levels of risk we are willing to take in order to achieve our business objectives, and reflects our risk management philosophy.


S
Secondary Market
Ongoing market for bonds previously offered or sold in the primary market.

 Settlement Date
The date securities must be delivered and paid for to complete a transaction.

Short-Term Debt
Generally, debt which matures in one year or less. However, certain securities that mature in up to three years may be considered short-term debt.

Spread
 When buying or selling a bond through a brokerage firm, an individual investor will be charged a commission or spread, which is the difference between the market price and cost of purchase, and sometimes a service fee. Spreads differ based on several factors including liquidity.


T
Target Assets
Includes Agency mortgage-backed securities, TBA forward contracts, Agency debentures, CRT securities, non-Agency mortgage-backed securities commercial real estate investments, and corporate debt.

To-Be-Announced Securities (TBAs)
A contract for the purchase or sale of a mortgage-backed security to be delivered at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date but does not include a specified pool number and number of pools.

TBA Dollar Roll Income
TBA dollar roll income is defined as the difference in price between two TBA contracts with the same terms but different settlement dates. Dollar roll income represents the equivalent of interest income on the underlying security less an implied cost of financing.
 
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Total Return
Investment performance measure over a stated time period which includes coupon interest, interest on interest, and any realized and unrealized gains or losses.

Total Return Swap
A derivative instrument where one party makes payments at a predetermined rate (either fixed or variable) while receiving a return on a specific asset (generally an equity index, loan or bond) held by the counterparty.


U
Unencumbered Assets
Assets on our balance sheet which have not been pledged as collateral against a liability.

U.S. Government-Sponsored Enterprise (GSE) Obligations
Obligations of Agencies originally established or chartered by the U.S. government to serve public purposes as specified by the U.S. Congress, such as Fannie Mae and Freddie Mac; these obligations are not explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government.


V
Value-at-Risk (VaR)
A statistical technique which measures the potential loss in value of an asset or portfolio over a defined period for a given confidence interval.

Variable Interest Entity (VIE)
An entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties.

Volatility
 A statistical measure of the variance of price or yield over time. Volatility is low if the price does not change very much over a short period of time, and high if there is a greater change.


W
Warehouse Lending
A line of credit extended to a loan originator to fund or purchase loans.  The line of credit typically lasts from the time the loan is originated or purchased to when the
loan is sold into the secondary market, whether directly or through a securitization.  Warehouse lending can provide liquidity to the loan origination market.

Weighted Average Coupon
The weighted average interest rate of the underlying mortgage loans or pools that serve as collateral for a security, weighted by the size of the principal loan balances.

Weighted Average Life (WAL)
The assumed weighted average amount of time that will elapse from the date of a security’s issuance until each dollar of principal is repaid to the investor. The WAL will change as the security ages and depending on the actual realized rate at which principal, scheduled and unscheduled, is paid on the loans underlying the MBS.


Y
Yield-to-Maturity
 The expected rate of return of a bond if it is held to its maturity date; calculated by taking into account the current market price, stated redemption value, coupon payments and time to maturity and assuming all coupons are reinvested at the same rate; equivalent to the internal rate of return.
 
83
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
 
 
ITEM 3.                  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
 
Quantitative and qualitative disclosures about market risk are contained within the section titled “Risk Management” of Item 2. “Management’s Discussion
and Analysis of Financial Condition and Results of Operations.”
 
ITEM 4.                  CONTROLS AND PROCEDURES
 
Our management, including our Chief Executive Officer (the CEO) and Chief Financial Officer (the CFO), reviewed and evaluated the effectiveness of our disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e) of the Exchange Act) as of the end of the period covered by this quarterly report.  Based on that review and evaluation, the CEO and CFO have concluded that our current disclosure controls and procedures, as designed, (1) were effective in ensuring that information required to be disclosed by  us in reports we file or submit under the Securities Exchange Act is accumulated and communicated to our management, including our CEO and CFO, by our employees, as
appropriate to allow timely decisions regarding required disclosure and (2) were effective in ensuring that information required to be disclosed by us in reports we file or submit under the Securities Exchange Act is recorded, processed, summarized and reported within the time periods specified by the SEC’s rules and forms.
 
There have been no changes in our internal controls over financial reporting that occurred during the quarter ended September 30, 2016 that have materially affected, or are reasonably likely to materially affect our internal control over financial reporting.
 
84
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
 
 
PART II – OTHER INFORMATION
 
ITEM 1.                  LEGAL PROCEEDINGS
 
From time-to-time, we are involved in various claims and legal actions arising in the ordinary course of
business. At September 30, 2016, we were not party to any pending material legal proceedings.
 
ITEM 1A.            RISK FACTORS
 
Other than the following risk factors, there have been no material changes to the risk factors disclosed in Item 1A – Risk Factors of our most recent annual report on Form 10-K, and subsequent quarterly reports on Form 10-Q. The materialization of any risks and uncertainties identified in our Special Note Regarding Forward-Looking Statements contained in this report together with those disclosed below and those previously disclosed in our most recent annual report on Form 10-K and subsequent quarterly reports on Form 10-Q or those that are presently unforeseen could result in significant adverse effects on our financial condition, results of operations and cash flows. See Item 2. “Management’s Discussion and Analysis of Financial Condition and Results of Operations – Special Note Regarding Forward-Looking Statements” in this quarterly report or our most recent annual report on Form 10-K.

Risks Related to the Hatteras Acquisition

We may fail to realize all of the expected benefits of the Hatteras Acquisition or those benefits may take longer to realize than expected.

The full benefits of the Hatteras Acquisition may not be realized as expected or may not be achieved within the anticipated time-frame, or at all.  Failure to achieve the anticipated benefits of the Hatteras Acquisition could adversely affect our results of operations or cash flows, cause dilution to our earnings per share or book value per share, decrease or delay the expected accretive effect of the Hatteras Acquisition, and negatively impact the share price of our common stock.

In addition, we are devoting significant attention and resources to successfully integrate the Hatteras portfolio and operating businesses into the existing Annaly structure. In particular, we have limited experience operating Hatteras’ servicing platforms and managing Hatteras’ mortgage servicing rights (or MSRs) portfolio.  These activities present additional regulatory constraints and pose operational risks different from those that we have successfully managed in the past.  This integration process, coupled with managing new business lines,
may disrupt our businesses and, if ineffective, would limit the anticipated benefits of the Hatteras Acquisition and could adversely affect our results of operations or cash flows, cause dilution to our earnings per share or book value per share, decrease or delay the expected accretive effect of the Hatteras Acquisition, and negatively impact the share price of our common stock.

We have incurred direct and indirect costs as a result of the Hatteras Acquisition.

We have incurred substantial expenses in connection with and as a result of the Hatteras Acquisition and we expect to incur additional expenses in connection with combining the businesses, operations, policies and procedures of the two companies.  Factors beyond our control could affect the total amount or timing of these expenses, many of which, by their nature, are difficult to estimate accurately.

Investments in MSRs may expose us to additional risks.

Our investments in MSRs may subject us to certain additional risks, including the following:

·
Investments in MSRs are highly illiquid and subject to numerous restrictions on transfer and, as a result, there is risk that we would be unable to locate a willing buyer or get required approval to sell MSRs in the future should we desire to do so.
·
We have limited experience operating a master servicer and while ownership of MSRs and the operation of a master servicer includes many of the same risks as our other target assets, including risks related to prepayments, borrower credit, defaults, interest rates, hedging, and regulatory changes, there can be no assurance that we will be able to successfully operate a master servicer subsidiary and integrate it into our business operations.
 
85
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
 
 
·
Our subsidiary’s status as a Fannie Mae, Freddie Mac and Ginnie Mae approved servicer is subject to compliance with each of their respective selling and servicing guidelines, minimum capital and liquidity requirements and other conditions they may impose from time to time at their discretion.  The failure to meet such guidelines and conditions could result in the unilateral termination of our subsidiary’s status as an approved servicer.
·
Our subsidiary is presently licensed in all states to hold MSRs, and to purchase whole loans, where a license is necessary to carry on such activities.  Such state licenses may be revoked by a state regulatory authority.
·
Our rights to the excess servicing spread are subordinate to the interests of Fannie Mae, Freddie Mac and Ginnie Mae, and are subject to extinguishment.  Fannie Mae and Freddie Mac each require approval of the sale of excess servicing spreads pertaining to their respective MSRs. We have entered into acknowledgement agreements or subordination of interest agreements with them, which acknowledge our subordinated rights.
·
Changes in minimum servicing compensation for agency loans could occur at any time and could negatively impact the value of the income derived from MSRs.
If we are not able to successfully manage these and other risks related to investing and managing MSRs, it may adversely affect our business, results of operations and financial condition.
 
ITEM 2.        UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
 
On August 5, 2015 we announced that our Board of Directors authorized the repurchase of up to $1.0 billion of our outstanding common shares through December 31, 2016. No shares were repurchased during the quarter
ended September 30, 2016. As of September 30, 2016, the maximum dollar value of shares that may yet be purchased under this plan was $783.0 million.
 
86
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Item 6. Exhibits
 
ITEM 6.         EXHIBITS
 
Exhibits:

The exhibits required by this item are set forth on the Exhibit Index attached hereto.

Exhibit
Number
Exhibit Description
  
     
4.1
 
 
Articles Supplementary designating the Registrant’s 7.625% Series E Cumulative Redeemable Preferred Stock, Liquidation preference $25.00  (incorporated by reference to Exhibit 3.12 to the Registrant’s Form 8-A filed with the Securities and Exchange Commission on July 12, 2016).
  
31.1
Certification of Kevin G. Keyes, Chief Executive Officer and President (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
  
31.2
Certification of Glenn A. Votek, Chief Financial Officer (Principal Financial Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
  
32.1
Certification of Kevin G. Keyes, Chief Executive Officer and President (Principal Executive Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
  
32.2
Certification of Glenn A. Votek, Chief Financial Officer (Principal Financial Officer) of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
  
 
Exhibit 101.INS XBRL
Instance Document †
  
Exhibit 101.SCH XBRL
Taxonomy Extension Schema Document †
  
Exhibit 101.CAL XBRL
Taxonomy Extension Calculation Linkbase Document †
  
Exhibit 101.DEF XBRL
Additional Taxonomy Extension Definition Linkbase Document Created†
  
Exhibit 101.LAB XBRL
Taxonomy Extension Label Linkbase Document †
  
Exhibit 101.PRE XBRL
Taxonomy Extension Presentation Linkbase Document †
  
 
†  Submitted electronically herewith. Attached as Exhibit 101 to this report are the following documents formatted in XBRL (Extensible Business Reporting Language): (i) Consolidated Statements of Financial Condition at September 30, 2016 (Unaudited) and December 31, 2015 (Derived from the audited Consolidated Statement of Financial Condition at December 31, 2015); (ii) Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the quarters and nine months ended September 30, 2016 and 2015; (iii) Consolidated Statements of Stockholders' Equity (Unaudited) for the nine months ended September 30, 2016 and 2015; (iv) Consolidated Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2016 and 2015; and (v) Notes to Consolidated Financial Statements (Unaudited).  
87
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
Signatures
 
 
SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, in the city of New York, State of New York.
 
 
 
 
ANNALY CAPITAL MANAGEMENT, INC.
 
 
 
Dated:  November 3, 2016
 
By: /s/ Kevin G. Keyes
Kevin G. Keyes
Chief Executive Officer, President and Director
(Principal Executive Officer)
 
 
 
Dated: November 3, 2016 
 
By: /s/ Glenn A. Votek
Glenn A. Votek
Chief Financial Officer (Principal Financial Officer)
 
 
88
 EX-31.1 2 a51452042ex31_1.htm EXHIBIT 31.1
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
 
Exhibit 31.1
CERTIFICATIONS

I, Kevin G. Keyes, certify that:

1.
 
I have reviewed this quarterly report on Form 10-Q of Annaly Capital Management, Inc.;
2.
 
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.
 
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4.
 
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
 
a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
c)
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
 
d)
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5.
 
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
 
a)
 
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
 
b)
 
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 3, 2016
 
 
/s/Kevin G. Keyes
Chief Executive Officer and President (Principal Executive Officer)
 
 EX-31.2 3 a51452042ex31_2.htm EXHIBIT 31.2
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
 
 
Exhibit 31.2
CERTIFICATIONS

I, Glenn A. Votek, certify that:

1.
 
I have reviewed this quarterly report on Form 10-Q of Annaly Capital Management, Inc.;
2.
 
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.
 
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
4.
 
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
 
a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
 
b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
c)
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
 
d)
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
5.
 
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
 
a)
 
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
 
b)
 
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 3, 2016
 
 
/s/Glenn A. Votek
Chief Financial Officer (Principal Financial Officer)
 
 
 EX-32.1 4 a51452042ex32_1.htm EXHIBIT 32.1
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
 
 
 
Exhibit 32.1

ANNALY CAPITAL MANAGEMENT, INC.
1211 AVENUE OF THE AMERICAS
NEW YORK, NEW YORK 10036

CERTIFICATION
PURSUANT TO SECTION 906 OF THE
SARBANES-OXLEY ACT OF 2002, 18 U.S.C. SECTION 1350

In connection with the quarterly report on Form 10-Q of Annaly Capital Management, Inc. (the “Company”) for the period ended September 30, 2016 to be filed with Securities and Exchange Commission on or about the date hereof (the “Report”), I, Kevin G. Keyes, Chief Executive Officer and President of the Company, certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, that:

1.
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.

It is not intended that this statement be deemed to be filed for purposes of the Securities Exchange Act of 1934.

 
/s/ Kevin G. Keyes
Kevin G. Keyes
Chief Executive Officer and President (Principal Executive Officer)
November 3, 2016
EX-32.2 5 a51452042ex32_2.htm EXHIBIT 32.2
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
 
 
 
Exhibit 32.2

ANNALY CAPITAL MANAGEMENT, INC.
1211 AVENUE OF THE AMERICAS
NEW YORK, NEW YORK 10036

CERTIFICATION
PURSUANT TO SECTION 906 OF THE
SARBANES-OXLEY ACT OF 2002, 18 U.S.C. SECTION 1350

In connection with the quarterly report on Form 10-Q of Annaly Capital Management, Inc. (the “Company”) for the period ended September 30, 2016 to be filed with Securities and Exchange Commission on or about the date hereof (the “Report”), I, Glenn A. Votek, Chief Financial Officer of the Company, certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, that:

1.
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.

It is not intended that this statement be deemed to be filed for purposes of the Securities Exchange Act of 1934.


 
/s/ Glenn A. Votek
Glenn A. Votek
Chief Financial Officer (Principal Financial Officer)
November 3, 2016
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FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>&#x2013; The Company may invest in equity securities that are classified as available-for-sale or trading. Equity securities classified as available-for-sale are reported at fair value, based on market quotes, with unrealized gains and losses reported as a component of other comprehensive income (loss). Equity securities classified as trading are reported at fair value, based on market quotes, with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net gains (losses) on trading assets. Dividends are recorded in earnings based on the declaration date.</div> 10-Q 36750 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; CLEAR: both"> <div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Corporate Debt</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Corporate Loans</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> &#x2013;</font> The Company&#x2019;s investments in corporate loans are designated as held for investment when the Company has the intent and ability to hold the investment until maturity or payoff. These investments are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method. These investments typically take the form of senior secured loans primarily in first lien and second lien loans. The Company&#x2019;s senior secured loans generally have stated maturities of three to eight years. In connection with these senior secured loans the Company receives a security interest in certain of the assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to the least amount of credit risk given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. To date, the majority of the Company&#x2019;s investments have been funded term loans versus debt securities.</div> </div> </div> <div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Corporate Debt Securities</font> &#x2013; The Company&#x2019;s investments in corporate debt securities are designated as held-to-maturity when the Company has the intent and ability to hold the investments until maturity. These investments are carried at their principal balance outstanding plus any premiums or discounts less other-than-temporary impairment. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method.</div> </div> </div> NLY <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="CLEAR: both"> <div> <div style="FONT-WEIGHT: bold">Commercial Real Estate Investments</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Commercial Real Estate Debt Investments</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> -</font> <font style="FONT-WEIGHT: normal"><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The Company&#x2019;s commercial real estate debt investments are comprised of commercial mortgage-backed securities and loans held by consolidated collateralized financing entities. Commercial mortgage-backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss).</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>Management evaluates commercial mortgage-backed securities for other-than-temporary impairment at least quarterly. See the &#x201C;Commercial Real Estate Investments&#x201D; Note for additional information regarding the consolidated collateralized financing entities.</font></div> <div><br /></div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Commercial Real Estate Loans</font> &#x2013; The Company's commercial real estate loans are comprised of fixed-rate and adjustable-rate loans. The Company designates loans as held for investment if it has the intent and ability to hold the loans until maturity or payoff. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans that are designated as held for investment and are originated or purchased by the Company are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary.</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> If the Company intends to sell or securitize the loans and the financing vehicle is not expected to be consolidated, they are classified as held for sale. Commercial real estate loans that are designated as held for sale are carried at the lower of amortized cost or fair value and recorded as Commercial Loans held for sale in the accompanying Consolidated Statements of Financial Condition. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of commercial real estate loans held for sale on an individual loan basis. The Company has elected the fair value option for multi-family mortgage loans held in securitization trusts that it was required to consolidate. Preferred equity interests are designated as held for investment and are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary. See &#x201C;Commercial Real Estate Investments&#x201D; Note for additional information.</div> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Investments in Commercial Real Estate</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>&#x2013; Investments in commercial real estate are carried at historical cost less accumulated depreciation. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance that are not reimbursed by tenants are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows:</div> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 50.39%; VERTICAL-ALIGN: top"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> <u>Category</u></div> </td> <td style="WIDTH: 49.61%; VERTICAL-ALIGN: top"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> <u>Term</u></div> </td> </tr> <tr> <td style="WIDTH: 50.39%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Building</div> </td> <td style="WIDTH: 49.61%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> 30 - 40 years</div> </td> </tr> <tr> <td style="WIDTH: 50.39%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Site improvements</div> </td> <td style="WIDTH: 49.61%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> 1 - 28 years</div> </td> </tr> </table> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company follows the acquisition method of accounting for acquisitions of operating real estate held for investment, where the purchase price of operating real estate is allocated to tangible assets such as land, building, site improvements and other identified intangibles such as above/below market and in-place leases.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company applies the equity method of accounting for <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> its investments in joint ventures where it is not considered to have a controlling financial interest. Under the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method.</font></div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company evaluates whether real estate acquired in connection with a foreclosure (&#x201C;REO&#x201D;) or Uniform Commercial Code (&#x201C;UCC&#x201D;)/deed in lieu of foreclosure (herein collectively referred to as a foreclosure) constitutes a business and whether business combination accounting is applicable. Upon foreclosure of a property, the excess of the carrying value of a loan, if any, over the estimated fair value of the property, less estimated costs to sell, is charged to provision for loan losses.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Investments in commercial real estate, including REO, that do not meet the criteria to be classified as held for sale are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded.</div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; CLEAR: both"> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company's real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property's value is considered impaired if the Company's estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Revenue Recognition &#x2013; Commercial Real Estate Investments</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> -</font> Interest income is accrued based on the outstanding principal amount of the commercial real estate loans and preferred equity interests held for investment (collectively referred to as &#x201C;CRE Debt and Preferred Equity Investments&#x201D;) and their contractual terms. Premiums and discounts associated with the purchase of CRE Debt and Preferred Equity Investments are amortized or accreted into interest income over the projected lives of the CRE Debt and Preferred Equity Investments using the interest method.</div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The following tables present the Company&#x2019;s Residential Investment Securities portfolio carried at fair value as of</font> September 30<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">, 2016 and December 31, 2015:</font></div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; 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TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Amortized Cost</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Unrealized Gains<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Unrealized Losses<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Agency</div> </td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="27"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fixed-rate pass-through</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 55,713,247</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,174,800</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 58,886,219</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,102,609</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (46,259</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 59,942,569</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Adjustable-rate pass-through</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 11,760,633</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 409,677</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (4,399</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,165,911</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 77,056</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (14,340</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,228,627</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest-only</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 8,562,837</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,498,193</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,498,193</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 13,145</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (206,429</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,304,909</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total Agency investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 76,036,717</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 5,082,670</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (6,227</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 72,550,323</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,192,810</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (267,028</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Residential Credit</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> CRT</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 641,531</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 7,333</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (11,742</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 637,122</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 32,188</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (15</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 669,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Legacy<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,075,956</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,634</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (169,677</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 907,913</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 26,767</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (513</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 934,167</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> NPL/RPL</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 347,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 434</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (877</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 346,662</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,037</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (264</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 348,435</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> New issue</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 161,275</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 946</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (359</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 161,862</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,484</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (16</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 166,330</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> New issue interest-only</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 935,395</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 16,615</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 16,615</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (5,286</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 11,329</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total residential credit investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,161,262</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 26,962</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (182,655</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,070,174</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 65,476</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (6,094</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,129,556</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total Residential Investment Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 79,197,979</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 5,109,632</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (188,882</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 74,620,497</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,258,286</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (273,122</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 75,605,661</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="27"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Principal / Notional</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Remaining Premium</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Remaining Discount</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Amortized Cost</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Unrealized Gains<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Unrealized Losses<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Agency</div> </td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="27"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fixed-rate pass-through</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 57,339,705</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,270,521</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (2,832</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 60,607,394</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 400,350</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (824,862</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 60,182,882</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Adjustable-rate pass-through</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,894,192</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 61,781</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (6,427</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,949,546</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 70,849</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (10,317</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,010,078</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> CMO</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 964,095</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 27,269</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (477</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 990,887</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9,137</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (12,945</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 987,079</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Debentures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 158,802</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (648</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 158,154</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (6,116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 152,038</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest-only</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9,499,332</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,634,312</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,634,312</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 18,699</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (114,826</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,538,185</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total Agency investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 70,856,126</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,993,883</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (10,384</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 66,340,293</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 499,035</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (969,066</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 65,870,262</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Residential Credit</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> CRT</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 476,084</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,225</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (12,840</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 465,469</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 250</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (9,209</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 456,510</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Legacy<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 378,527</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (37,150</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 342,150</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 698</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,140</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 341,708</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> NPL/RPL</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 354,945</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,270</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 353,694</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,172</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 352,541</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> New issue</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 197,695</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 566</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 198,261</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,060</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 197,201</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> New issue interest-only</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 811,245</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15,430</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15,430</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (158</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15,272</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total residential credit securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,218,496</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,013</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (51,260</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,375,004</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 967</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (12,739</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,363,232</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total Residential Investment Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,074,622</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 5,012,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (61,644</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 67,715,297</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 500,002</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (981,805</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 67,233,494</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1) Unrealized gains and losses on Agency securities (other than interest-only securities), are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit investments and Agency interest-only investments are generally reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).</sup></div> <div style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2) Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009.</sup></div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> Broker Dealer Activities</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Reverse Repurchase Agreements</font> &#x2013; RCap enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Margin calls are made by RCap as necessary based on the daily valuation of the underlying collateral as compared to the contract price. RCap generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. RCap&#x2019;s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and RCap requires counterparties to deposit additional collateral when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give RCap the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. Substantially all of RCap&#x2019;s reverse repurchase activity is with affiliated entities.</div> </div> 0001043219 2016-09-30 0.9 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div> <div style="TEXT-ALIGN: justify"><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> 9.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> CORPORATE DEBT</font></div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company invests in corporate loans and corporate debt securities through the MML subsidiary.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The industry and interest rate characteristics of the portfolio as of</font> September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">are as follows:</font></div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Industry Dispersion</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Fixed Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Floating Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Airports, Flying Fields and Airport Terminal</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 47,184</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 47,184</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Commercial Fishing</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 40,590</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 40,590</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Computer Programming &amp; Data Processing</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 63,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 63,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Drugs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 34,247</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 34,247</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Home Health Care Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 39,339</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 39,339</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Insurance Agents, Brokers &amp; Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,380</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 44,344</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 48,724</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Management &amp; Public Relations Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 39,116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 39,116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Medical &amp; Dental Laboratories</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,324</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,324</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Miscellaneous Business Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 84,448</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 63,677</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 148,125</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Miscellaneous Health &amp; Allied Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 38,886</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 38,886</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Miscellaneous Nonmetallic Minerals</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 24,682</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 24,682</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Miscellaneous Plastic Products</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 27,075</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 27,075</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Motor Vehicles, Parts &amp; Supplies</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,347</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,347</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Offices &amp; Clinics of Doctors of Medicine</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 83,582</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 83,582</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Research, Development &amp; Testing Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,739</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,739</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Schools &amp; Educational Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 21,042</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 21,042</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Surgical, Medical &amp; Dental Instruments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 13,576</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 13,576</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 88,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 628,003</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 716,831</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The table below reflects the Company&#x2019;s aggregate positions by their respective place in the capital structure of the borrowers as of September 30, 2016.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 70%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> First lien loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 466,099</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Second lien loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 161,904</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Second lien notes</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 84,448</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Subordinated notes</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,380</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 716,831</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> </div> </div> 172000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the quarters and nine months ended September 30, 2016 and 2015.</div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Quarters Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands, except per share data)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 730,880</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (627,491</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (415,697</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (203,919</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Less: Net income (loss) attributable to noncontrolling interest</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (336</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (197</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (883</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (436</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net income (loss) attributable to Annaly</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 731,216</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (627,294</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (414,814</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (203,483</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Less: Preferred stock dividends</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 22,803</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,992</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 58,787</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 53,976</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net income (loss) available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 708,413</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (645,286</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (473,601</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (257,459</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Add: Interest on Convertible Senior Notes, if dilutive</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net income (loss) available to common stockholders, as adjusted</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 708,413</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (645,286</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (473,601</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (257,459</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Weighted average shares of common stock outstanding-basic</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,007,607,893</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 947,795,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 953,301,855</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 947,732,735</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Add: Effect of stock awards and Convertible Senior Notes, if dilutive</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 355,513</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Weighted average shares of common stock outstanding-diluted</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,007,963,406</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 947,795,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 953,301,855</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 947,732,735</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net income (loss) per share available (related) to common share:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Basic</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.68</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.50</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.27</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Diluted</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.68</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.50</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.27</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> </table> </div> </div> Large Accelerated Filer <div> <div style="TEXT-ALIGN: justify"><font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> 12.</font><font style="FONT-SIZE: 5.94pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> <a id="SECUREDFINANCING" name="SECUREDFINANCING"> <!--Anchor--></a>SECURED FINANCING</font></div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company had outstanding $61.8 billion and $56.2 billion of repurchase agreements with weighted average borrowing rates of 1.71% and 1.83%, after giving effect to the Company&#x2019;s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">128 days and 151 days as of</font> September 30, 2016 and December 31, 2015<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">, respectively.</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">At</font> September 30, 2016 and December 31, 2015<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates:</font></div> </div> </div> <div>&#xA0;</div> <div> <table id="z6efbb16f051d4c669a7cea3825cc2b09" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Agency Mortgage-backed Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> CRTs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Non-Agency Mortgage-backed Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Commercial Loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Total Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 1 day</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2 to 29 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,761,193</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 250,347</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 496,798</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 26,508,338</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.99</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 30 to 59 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,937,568</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 71,650</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 191,132</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 5,200,350</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.86</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 60 to 89 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,057,659</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 115,939</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,173,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.85</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 90 to 119 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 5,309,103</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 5,309,103</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.79</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Over 120 days<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,297,615</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 295,117</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,592,732</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.39</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 60,363,138</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 321,997</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 803,869</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 295,117</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 61,784,121</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.07</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <table id="z4ee4b8c4427847568762fccdeabd27ce" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Agency Mortgage-backed Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> CRTs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Non-Agency Mortgage-backed Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Commercial Loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Total Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 1 day</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2 to 29 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 20,123,464</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 83,664</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 260,359</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 20,467,487</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.69</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 30 to 59 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 7,898,646</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 59,189</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 65,374</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 8,023,209</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.74</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 60 to 89 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,046,593</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 78,833</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,125,426</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.74</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 90 to 119 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,846,580</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,846,580</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.60</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Over 120 days<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,557,715</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 31,015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 179,428</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,768,158</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.33</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 55,472,998</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 142,853</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 435,581</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 179,428</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 56,230,860</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.90</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> <div style="MARGIN-BOTTOM: 8pt"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Repurchase agreements and reverse repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements permit netting. The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of</font> September 30, 2016 and December 31, 2015<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">.</font> Refer to &#x201C;Derivative Instruments&#x201D; Note for information related to the effect of netting arrangements on the Company&#x2019;s derivative instruments.</div> </div> </div> <div style="MARGIN-BOTTOM: 8pt"> <table id="zd4a336a2722d499fa0158d404d560f46" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Reverse Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Reverse Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Gross Amounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 500,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 62,284,121</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 56,230,860</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Amounts Offset</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (500,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (500,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Netted Amounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 61,784,121</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 56,230,860</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">The Company also finances a portion of its financial assets with advances from the Federal Home Loan Bank of Des Moines (&#x201C;FHLB Des Moines&#x201D;). Borrowings from FHLB Des Moines are reported in Other secured financing in the Company&#x2019;s Consolidated Statements of Financial Condition. As of</font> September 30<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">, 2016, $3.6</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">billion matures beyond three years. As of December 31, 2015, $402.8 million matures within 90 days and $1.4 billion extends beyond three years. The weighted average rate of the advances from the FHLB Des Moines was 0.65% and 0.59% at</font> September 30<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">, 2016 and December 31, 2015, respectively.<br /></font></div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Financial instruments pledged as collateral under secured financing arrangements and interest rate swaps had an estimated fair value and accrued interest of $71.1 billion and $214.3 million, respectively, at September<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold">&#xA0;</font> 30, 2016 and $62.3 billion and $171.7 million, respectively, at December 31, 2015.</div> </div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div> <div style="FONT-WEIGHT: bold; TEXT-ALIGN: justify">19. LONG-TERM STOCK INCENTIVE PLAN</div> <div style="MARGIN-BOTTOM: 6pt"><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The Company adopted the 2010 Equity Incentive Plan (the &#x201C;Plan&#x201D;), which authorizes the Compensation Committee of the Board to grant options, stock appreciation rights, dividend equivalent rights, or other share-based awards, including restricted shares up to an aggregate of 25,000,000 shares, subject to adjustments as provided in the 2010 Equity Incentive Plan. The Company had previously adopted a long term stock incentive plan for executive officers, key employees and non-employee directors (the &#x201C;Prior Plan&#x201D;). The Prior Plan authorized the Compensation Committee of the Board to grant awards, including non-qualified options as well as incentive stock options as defined under Section 422 of the Code. The Prior Plan authorized the granting of options or other awards for an aggregate of the greater of 500,000 shares or 9.5% of the diluted outstanding shares of the Company&#x2019;s common stock, up to a ceiling of 8,932,921 shares. No further awards will be made under the Prior Plan, although existing awards remain effective. <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> Stock options were issued at the market price on the date of grant, subject to an immediate or four year vesting in four equal installments with a contractual term of 5 or 10 years.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The following table sets forth activity related to the Company&#x2019;s stock options awarded under the Plan:</div> </div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left; CLEAR: both"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left; CLEAR: both"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Number of Shares</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Exercise Price</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Number of Shares</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Exercise Price</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Options outstanding at the beginning of period</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,168,775</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.34</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,259,335</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.35</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Granted</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Exercised</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Forfeited</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (6,400</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 14.69</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (266,399</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.24</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Expired</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (36,750</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12.90</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (294,750</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17.07</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Options outstanding at the end of period</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,125,625</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.43</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,698,186</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.07</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Options exercisable at the end of period</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,125,625</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.43</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,698,186</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.07</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /></div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The weighted average remaining contractual term was approximately 1.7</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; BACKGROUND-COLOR: #ffffff"> years and 2.8 years</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">for stock options outstanding and exercisable as of</font> September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">and 2015, respectively.</font></div> <div style="FONT-WEIGHT: normal"><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">As of</font> September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">and 2015, there was no unrecognized compensation cost related to nonvested share-based compensation awards.</font></div> </div> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The effect of other derivative contracts on the Company&#x2019;s Consolidated Statements of Comprehensive Income (Loss) is as follows:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <table id="z35fd8abecdca41e7817147c9b6afdbba" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Quarter Ended September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Derivative Instruments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Realized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Unrealized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net TBA derivatives <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 174,086</div> </td> <td style="WIDTH: 1%; 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VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 95,409</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net interest rate swaptions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,180</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 93</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,273</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Futures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (47,035</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 110,218</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 63,183</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Purchase commitments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 162,981</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Quarter Ended September 30, 2015</div> </td> <td style="WIDTH: 1%; 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BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Unrealized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net TBA derivatives <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 168,292</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 81,560</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 249,852</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net interest rate swaptions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (11,525</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,519</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Futures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (36,468</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (105,199</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (141,667</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 108,179</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div><font style="FONT-SIZE: 8pt">(1) Includes options on TBA contracts.</font>&#xA0;</div> <div>&#xA0;</div> <table id="z23bb103246ff4a1c9c63bfc2be6961b0" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Nine Months Ended September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Derivative Instruments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Realized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Unrealized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net TBA derivatives <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 492,450</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 66,376</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 558,826</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net interest rate swaptions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,180</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 93</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,273</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Futures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (169,716</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (23,465</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (193,181</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Purchase Commitments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 370,034</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Nine Months Ended September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Derivative Instruments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Realized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Unrealized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net TBA derivatives <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 61,846</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 91,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 153,619</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net interest rate swaptions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (41,016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 35,634</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (5,382</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Futures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (51,205</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (109,974</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (161,179</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (12,942</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt; FONT-SIZE: 8pt">(1) Includes options on TBA contracts.</div> </div> </div> <div style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <div style="TEXT-ALIGN: justify; MARGIN-BOTTOM: 6pt"><font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> 17.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> GOODWILL</font></div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: normal"> At September 30, 2016 and December 31, 2015, goodwill totaled $71.8 million.</div> </div> 1100000 <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company&#x2019;s VIEs as of September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">are as</font> follows:</div> <div>&#xA0;</div> <div> <table id="z7978353f23ef4fd0a92c48bbf0e4101b" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="28"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Securitized Loans at Fair Value Geographic Concentration of Credit Risk</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="8"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> FREMF Trusts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="8"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> NLY Commercial Mortgage Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="8"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Residential Mortgage Loan Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Property Location</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Principal Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> % of Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Property Location</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Principal Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> % of Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Property Location</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Principal Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> % of Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="28"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Texas</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 724,035</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Illinois</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 111,396</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 86.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> California</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 80,023</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 46.3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> North Carolina</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 537,375</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 13.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Oklahoma</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 17,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 13.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Texas</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19,114</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11.1</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Maryland</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 499,495</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12.7</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Washington</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 10,734</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6.3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Florida</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 456,516</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Illinois</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 10,799</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6.2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1"> (1)</sup></font></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,723,146</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 43.7</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Florida</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,392</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 5.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1"> (1)</sup></font></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 42,664</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 24.7</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,940,567</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">Total&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 172,726</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="29"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> (1) No individual state greater than 5%&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> </tr> </table> </div> </div> 6400 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="CLEAR: both"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Principles of Consolidation</font> &#x2013; The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries and consolidated variable interest entities. All intercompany balances and transactions have been eliminated in consolidation. The Company reclassified previously presented financial information so that amounts previously presented conform to the current period presentation.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company has evaluated all of its investments in legal entities in order to determine if they are variable interests in Variable Interest Entities ("VIEs"). A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A variable interest is an investment or other interest that will absorb portions of a VIE's expected losses or receive portions of the entity&#x2019;s expected residual returns<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">.</font> A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that (i) has the power to direct the activities that most significantly impact the VIE&#x2019;s economic performance and (ii) has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> </div> </div> <div style="TEXT-ALIGN: justify">To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE&#x2019;s economic performance, the Company considers all facts and circumstances, including the Company&#x2019;s role in establishing the VIE and the Company&#x2019;s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE&#x2019;s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE.</div> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, in the VIE. This assessment requires that the Company apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE&#x2019;s capital structure; and the reasons why the interests are held by the Company.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company&#x2019;s involvement with a VIE causes the Company&#x2019;s consolidation conclusion regarding the VIE to change.</div> </div> </div> --12-31 -924000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The following table provides a summary of the Company&#x2019;s dividend distribution activity for the periods presented:</div> </div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands, except per share data)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Distributions declared to common stockholders</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 857,223</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 852,989</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Distributions declared per common share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.90</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.90</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Distributions paid to common stockholders after period end</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 269,111</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 284,348</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Distributions paid per common share after period end</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.26</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.30</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Date of distributions paid to common stockholders after period end</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: right"> October 31, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: right"> October 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared to Series A Preferred stockholders</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 10,944</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 10,944</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared per Series A Preferred share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.477</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.477</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared to Series C Preferred stockholders</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,157</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,157</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared per Series C Preferred share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.430</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.430</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared to Series D Preferred stockholders</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 25,875</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 25,875</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared per Series D Preferred share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.406</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.406</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared to Series E Preferred stockholders</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,811</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared per Series E Preferred share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.477</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> Q3 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Residential Mortgage Loans</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#x2013; The Company&#x2019;s residential mortgage loans are primarily comprised of prime jumbo adjustable-rate whole mortgage loans acquired in connection with the Company&#x2019;s acquisition of Hatteras (&#x201C;Hatteras Acquisition&#x201D;) and subsequent purchases. Additionally, pursuant to the Hatteras Acquisition, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo whole mortgage loans. The Company made elections to account for the investments in residential mortgage loans held in its portfolio and in the securitization trust at fair value as these elections simplify the accounting. Residential mortgage loans are recognized at fair value on the</font> accompanying Consolidated Statements of Financial Condition. Changes in the estimated fair value are presented in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).</div> </div> </div> <div> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Premiums and discounts associated with the purchase of residential mortgage loans and with those held in the securitization trust are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss).</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> There was no real estate acquired in settlement of residential mortgage loans as of September 30, 2016 or December 31, 2015. The Company would be considered to have received physical possession of residential real estate property collateralizing a residential mortgage loan, so that the loan is derecognized and the real estate property would be recognized, if either (i) the Company obtains legal title to the residential real estate property upon completion of a foreclosure or (ii) the borrower conveys all interest in the residential real estate property to the Company to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement.</div> </div> </div> </div> <div> <div style="TEXT-ALIGN: justify"><font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> 10.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> <a id="VARIABLEINTERESTENTITIES" name="VARIABLEINTERESTENTITIES"> <!--Anchor--></a>VARIABLE INTEREST ENTITIES</font></div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> In January 2014, the Company closed on NLY Commercial Mortgage Trust 2014-FL1 (the &#x201C;NLY Commercial Mortgage Trust&#x201D;), a $399.5 million securitization financing transaction which provides permanent, non-recourse financing collateralized by floating-rate first mortgage debt investments originated or co-originated by the Company and is not subject to margin calls. A total of $260.7 million of investment grade bonds were issued by NLY Commercial Mortgage Trust, representing an advance rate of 65.3% at a weighted average coupon of LIBOR plus 1.74% at closing. The Company used the proceeds to originate commercial real estate investments. The Company retained bonds rated below investment grade and the interest-only bond issued by the Trust, which are referred to as the subordinate bonds.</div> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company incurred approximately $4.3 million of costs in connection with the securitization that have been capitalized and are being amortized to interest expense. Deferred financing costs are included in Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition. As of September 30, 2016, the underlying securitized debt was fully paid off, and accordingly, the respective origination fees were fully amortized.</div> </div> <div>&#xA0;</div> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company is considered to be the primary beneficiary of NLY Commercial Mortgage Trust as a result of its ability to remove the special servicer without cause and through its ownership of subordinated certificates. The Company did not elect the fair value option for the loans in this VIE in order to consistently account for loans it originated that are held for investment.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> In February 2015, the Company purchased the junior-most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KLSF (&#x201C;FREMF 2015-KLSF&#x201D;) for $102.1 million. The underlying portfolio is a pool of 11 floating rate multifamily mortgage loans with a cut-off principal balance of $1.4 billion. The Company is required to consolidate the FREMF 2015-KLSF Trust&#x2019;s assets and liabilities of $1.4 billion and $1.3 billion, respectively, at September 30, 2016.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> In April 2015, the Company purchased the junior-most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KF07 (&#x201C;FREMF 2015-KF07&#x201D;) for $89.4 million. The underlying portfolio is a pool of 40 floating rate multifamily mortgage loans with a cut-off principal balance of $1.2 billion. The Company is required to consolidate the FREMF 2015-KF07 Trust&#x2019;s assets and liabilities of $1.1 billion and $1.0 billion, respectively, at September 30, 2016.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> In February 2016, the Company purchased the junior-most tranche, Class C Certificate of the Freddie Mac securitization, FREM Mortgage Trust 2016-KLH1 (&#x201C;FREM 2016-KLH1&#x201D;) for $107.6 million, net of a $4.4 million discount to face value of $112.0 million. The underlying portfolio is a pool of 28 floating rate multifamily mortgage loans with a cut-off principal balance of $1.5 billion. The Company is required to consolidate the FREM 2016-KLH1 Trust&#x2019;s assets and liabilities of $1.5 billion and $1.4 billion, respectively, at September 30, 2016. FREMF 2015-KLSF, FREMF 2015-KF07 and FREM 2016-KLH1 are collectively referred to herein as the FREMF Trusts.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The FREMF Trusts are structured as pass-through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The FREMF Trusts are VIEs and the Company is considered to be the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership of the Class C Certificates and its current designation as the directing certificate holder. The Company&#x2019;s exposure to the obligations of the VIEs is generally limited to the Company&#x2019;s investment in the FREMF Trusts of $291.3 million at September 30, 2016. Assets of the FREMF Trusts may only be used to settle obligations of the FREMF Trusts. Creditors of the FREMF Trusts have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the FREMF Trusts. No gain or loss was recognized upon initial consolidation of the FREMF Trusts, but $0.2 million and $0.8 million of related costs were expensed upon consolidation and are reflected in the Consolidated Statements of Comprehensive Income (Loss). The FREMF Trusts&#x2019; assets are included in Commercial real estate debt investments and the FREMF Trusts&#x2019; liabilities are included in Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition.</div> </div> </div> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the FREMF Trusts in order to avoid an accounting mismatch, and to more accurately represent the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company&#x2019;s Consolidated Statements of Comprehensive Income (Loss). The Company has adopted ASU 2014-13 and applied the practical expedient fair value measurement whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the FREMF Trusts is more observable, since the prices for these liabilities are available from third-party pricing services utilized for multifamily mortgage-backed securities, while the fair value of the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company&#x2019;s methodology for valuing the financial assets of the FREMF Trusts is an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The FREMF Trusts mortgage loans had an unpaid principal balance of $3.9 billion at September 30, 2016. As of September 30, 2016<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">&#xA0;</font>there are no loans 90 days or more past due or on nonaccrual status. There is no gain or loss attributable to instrument-specific credit risk of the underlying loans or securitized debt securities as of September 30, 2016<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">&#xA0;</font>based upon the Company&#x2019;s process of monitoring events of default on the underlying mortgage loans.</div> </div> <div>&#xA0;</div> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company consolidates a residential mortgage trust that issued residential mortgaged-backed securities that are collateralized by residential mortgage whole loans that had been transferred to the trust by one of the Company&#x2019;s subsidiaries. The Company owns most of the mortgaged-backed securities issued by this VIE, including the subordinate securities, and a subsidiary of the Company continues to be the servicer. As such, the Company is deemed to be the primary beneficiary of the residential mortgage trust and consolidates the entity. The Company has elected the fair value option for the financial assets and liabilities of this VIE, but has elected not to apply the practical expedient under ASU 2014-13 as prices of both the financial liabilities and financial assets of the residential mortgage trust are available from third-party pricing services. The contractual principal amount of the residential mortgage trust&#x2019;s debt was $50.5 million as of September 30, 2016.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> In June 2016, a consolidated subsidiary of the Company (the &#x201C;Borrower&#x201D;) entered into a $300.0 million credit facility with a third party financial institution. The Borrower was determined to be a VIE and the Company was determined to be the primary beneficiary due to its role as collateral manager and because it holds a variable interest in the entity that could be potentially significant to the entity. The Company has transferred corporate loans with a carrying amount of $475.5 million at September 30, 2016 that are pledged as collateral for the credit facility. The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. As of September 30, 2016, the Borrower had an intercompany receivable of $212.2 million, which eliminates upon consolidation and an Other secured financing of $212.2 million to the third party financial institution.</div> </div> </div> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company also owns variable interests in an entity that invests in MSRs and has structured its operations, funding and capitalization into three pools of assets and liabilities referred to as &#x201C;silos.&#x201D; Owners of variable interests in a given silo are entitled to all of the returns and risk of loss on the investments and operations of that silo and have no substantive recourse to the assets of any other silo. While the Company has power over all silos because it holds 100% of the voting interests in the entity, it has variable interests only in two of the silos. The Company is the primary beneficiary of those two silos because it holds 100% of their variable interests.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company&#x2019;s exposure to the obligations of its VIEs is generally limited to the Company&#x2019;s investment in the VIEs of $ 1.1 billion at September 30, 2016. Assets of the VIEs may only be used to settle obligations of the VIE Trusts. Creditors of the VIE Trusts have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the VIEs. No gain or loss was recognized upon initial consolidation of the VIEs. Interest income and expense are recognized using the effective interest method.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The statement of financial condition of the Company&#x2019;s VIEs that is reflected in the Company&#x2019;s Consolidated Statements of Financial Condition at September 30, 2016 and December 31, 2015 are as follows:</div> </div> <div>&#xA0;</div> <div> <table id="z7729bf06ea5d473f9bd78ffe53f03f83" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> FREMF Trusts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> NLY Commercial Mortgage Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Residential Mortgage Loan Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> MSR Silos</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Cash</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 185</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 31,163</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Senior securitized commercial mortgages carried at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,953,150</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Commercial real estate and debt and preferred equity, held for investment</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Residential mortgages loans carried at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 176,748</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,631</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Mortgage servicing rights</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Accrued interest receivable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 8,519</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 49</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 356</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,149</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 29,586</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,961,669</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 129,139</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 180,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 562,553</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Securitized debt (non-recourse) at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,661,884</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 50,937</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other secured financing</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,186</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Accrued interest payable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,288</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 127</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 44</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,363</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,666,172</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 51,108</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 29,558</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <table id="z20651340b6bf434fbfe2a2d6a989070e" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> FREMF Trusts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> NLY Commercial Mortgage Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Cash</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 49,025</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Senior securitized commercial mortgages carried at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,554,023</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Commercial real estate and debt and preferred equity, held for investment</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 262,703</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Accrued interest receivable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,994</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 431</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,559,017</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 312,328</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Securitized debt (non-recourse) at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,366,878</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Securitized debt (non-recourse) at amortized cost</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 173,833</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Accrued interest payable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,183</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 191</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 290</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,371,061</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 174,314</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> <div style="MARGIN-BOTTOM: 8pt"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The statement of comprehensive income (loss) of the Company&#x2019;s VIEs that is reflected in the Company&#x2019;s Consolidated Statements of Comprehensive Income</div> </div> <div style="TEXT-ALIGN: justify">(Loss) for the quarter and nine months ended September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">are as</font> follows:</div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify; CLEAR: both"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify; CLEAR: both"> <table id="z856d68c83e4649fd90737ef2b03fab71" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Quarter Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> FREMF Trusts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> NLY Commercial Mortgage Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Residential Mortgage Loan Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> MSR Silos</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Net interest income:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,691</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 932</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 57</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest expense</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,375</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 404</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 22</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Net interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 13,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,586</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 528</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 35</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Realized gain (loss) on disposal of investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (329</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 184</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Unrealized gain (loss) on investments at fair value <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (3,201</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (109</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,218</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (6,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (79</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,716</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> General and administration expenses</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 17</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,555</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Net income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,799</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,586</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 28,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> <div style="MARGIN-BOTTOM: 8pt; FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify; CLEAR: both"> <br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify; CLEAR: both"> &#xA0; <table id="za804324f32624850aa92e2fb66f912d8" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> FREMF Trusts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> NLY Commercial Mortgage Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Residential Mortgage Loan Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> MSR Silos</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Net interest income:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 69,972</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 8,543</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 932</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 57</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest expense</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 29,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,302</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 404</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 22</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Net interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 40,374</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,241</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 528</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 35</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Realized gain (loss) on disposal of investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (329</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 184</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Unrealized gain (loss) on investments at fair value <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,784</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (109</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,218</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (18,861</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (79</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,716</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> General and administration expenses</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (2)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 17</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,555</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Net income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,243</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 28,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company&#x2019;s VIEs as of September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">are as</font> follows:</div> </div> </div> <div>&#xA0;</div> <div> <table id="z7978353f23ef4fd0a92c48bbf0e4101b" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="28"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Securitized Loans at Fair Value Geographic Concentration of Credit Risk</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="8"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> FREMF Trusts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="8"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> NLY Commercial Mortgage Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="8"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Residential Mortgage Loan Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Property Location</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Principal Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> % of Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Property Location</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Principal Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> % of Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Property Location</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Principal Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> % of Balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="28"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Texas</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 724,035</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Illinois</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 111,396</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 86.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> California</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 80,023</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 46.3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> North Carolina</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 537,375</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 13.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Oklahoma</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 17,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 13.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Texas</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19,114</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11.1</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Maryland</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 499,495</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12.7</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Washington</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 10,734</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6.3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Florida</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 456,516</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Illinois</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 10,799</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6.2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1"> (1)</sup></font></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,723,146</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 43.7</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Florida</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,392</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 5.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1"> (1)</sup></font></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 42,664</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 24.7</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,940,567</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">Total&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 172,726</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="29"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> (1) No individual state greater than 5%&#xA0;&#xA0;</div> </td> </tr> </table> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The table below presents the components of the Company&#x2019;s interest income and interest expense for the quarters and nine months ended September 30, 2016 and 2015.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table id="z843b6f9ec71340259020fceba3961141" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Quarters Ended September 30,</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended September 30,</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Interest income:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Residential Investment Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 493,226</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 399,702</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,203,793</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,448,434</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Residential mortgage loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,608</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,608</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Commercial investment portfolio<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 61,240</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 50,204</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 191,005</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 142,969</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Reverse repurchase agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,594</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 820</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 7,523</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,714</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 22pt"> Total interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 558,668</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 450,726</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,403,929</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,594,117</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Interest expense:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Repurchase agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 154,083</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 103,823</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 423,150</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 307,796</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Convertible Senior Notes</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 29,740</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Securitized debt of consolidated VIEs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,046</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,111</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 32,305</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 14,468</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Participation sold</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 157</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 161</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 472</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 479</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Other</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 7,868</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 202</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,429</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 306</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 22pt"> Total interest expense</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 174,154</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 110,297</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 474,356</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 352,789</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Net interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 384,514</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 340,429</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 929,573</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,241,328</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup> Includes commercial real estate debt, preferred equity and corporate debt.</div> </td> </tr> </table> </div> </div> 953301855 <div> <div style="TEXT-ALIGN: left"><font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> 11.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> <a id="FAIRVALUEMEASUREMENTS" name="FAIRVALUEMEASUREMENTS"> <!--Anchor--></a>FAIR VALUE MEASUREMENTS</font></div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company follows fair value guidance in accordance with GAAP to account for its investments. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.</div> <div style="TEXT-ALIGN: justify"><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> GAAP requires classification of financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows:</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Level 1 &#x2013; inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Level 2 &#x2013; inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Level 3 &#x2013; inputs to the valuation methodology are unobservable and significant to overall fair value.</div> <div style="MARGIN-BOTTOM: 8pt"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company designates its financial instruments as trading, available for sale or held to maturity depending upon the type of instrument and the Company&#x2019;s intent and ability to hold such instrument to maturity. Instruments classified as available for sale and trading are reported at fair value on a recurring basis.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">Futures contracts are valued using quoted prices for identical instruments in active markets. Residential Investment Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">&#xA0;</font>losses. <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities, third party pricing services and/or other applicable market data. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities.</font></div> </div> </div> <div style="MARGIN-BOTTOM: 8pt"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Residential Investment Securities, residential mortgage loans, interest rate swap and swaption markets and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Investment Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company&#x2019;s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Investment Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. Additionally, as discussed in the &#x201C;Commercial Real Estate Investments&#x201D; Note, Commercial real estate debt investments carried at fair value are classified as Level 2.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The fair value of securitized debt of consolidated VIEs is determined using the average of external vendor pricing services.</div> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company classifies its investments in MSRs as Level 3 in the fair value measurements hierarchy. Fair value estimates for these investments are obtained from internal models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including prepayment rates, delinquency levels, costs to service and discount rates. Model valuations are then compared to external valuations obtained from third-party pricing providers. Management reviews the valuations received from third-party pricing providers and uses them as a point of comparison to its internally modeled values. The valuation of MSRs requires significant judgment by management and the third-party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company&#x2019;s financial statements.</div> <div><br /></div> <div style="MARGIN-BOTTOM: 6pt; FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The following table presents the estimated fair values of investments measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented.</div> <div style="MARGIN-BOTTOM: 6pt; FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table id="zca573fd063074b0c96ab5e53dca0f576" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 1</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 2</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 3</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Total</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Assets:</div> </td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Credit risk transfer securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 669,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 669,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Non-Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,460,261</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,460,261</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Residential mortgage loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 310,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 310,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Mortgage servicing rights</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Commercial real estate debt investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,319,077</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,319,077</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 26,985</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 60,936</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 87,921</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 26,985</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 80,409,075</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 80,928,229</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Liabilities:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Securitized debt of consolidated VIEs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,712,821</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,712,821</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,919,492</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,919,492</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 70,784</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,661</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 73,445</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 70,784</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,634,974</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,705,758</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 1</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 2</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 3</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Total</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Assets:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 65,718,224</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 65,718,224</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Agency debentures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 152,038</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 152,038</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Credit risk transfer securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 456,510</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 456,510</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Non-Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 906,722</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 906,722</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Commercial real estate debt investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,911,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,911,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,443</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,623</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 22,066</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,443</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 70,174,587</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 70,187,030</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Liabilities:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Securitized debt of consolidated VIEs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,366,878</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,366,878</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 32,778</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 17,185</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 49,963</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 32,778</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,061,634</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,094,412</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> <div style="MARGIN-BOTTOM: 8pt"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: justify"> Quantitative Information about Level 3 Fair Value Measurements</div> <div><br /></div> <div style="FONT-WEIGHT: normal; TEXT-ALIGN: justify">The Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The following paragraph provides a general description of sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently of changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply.</div> </div> </div> <div style="MARGIN-BOTTOM: 8pt"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> For MSRs, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement. A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company&#x2019;s investments in MSRs, which in turn could result in a decline in the estimated fair value of MSRs. Refer to the Note titled &#x201C;Mortgage Servicing Rights&#x201D; for additional information.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company&#x2019;s risk management practices that might offset risks inherent in these Level 3 investments.</div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table id="z1291ffac8c3b4aeba28d373aecff22c3" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="4"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Range</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" valign="bottom"><font style="FONT-WEIGHT: bold">Valuation Technique</font>&#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Unobservable Input<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (Weighted Average )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle" valign="bottom"> Discounted cash flow&#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Discount rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 10.0% -15.0% (10.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %)</div> </td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Prepayment rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6.3% - 43.2% (20.1</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %)</div> </td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Delinquency rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.0% - 8.0% (2.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %)</div> </td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: top; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> Cost to service</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: top; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">$84 - $146 ($100)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <table id="z10548f3c53cf4fb1a39fd749fd824ff1" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 80%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="VERTICAL-ALIGN: top" colspan="3"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup> Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.</div> </td> </tr> </table> </div> </div> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: justify"> Fair Value Information about Financial Instruments Not Carried At Fair Value</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> GAAP requires disclosure of fair value information about financial instruments, whether or not recognized in the financial statements, for which it is practical to estimate the value. In cases where quoted market prices are not available, fair values are based upon discounted cash flows using market yields, methodologies that incorporate market-based transactions or other valuation methodologies. Considerable judgment is necessary to interpret market data and develop estimated fair values. Accordingly, fair values are not necessarily indicative of the amount the Company would realize on disposition of the financial instruments. The use of different market assumptions or estimation methodologies could have a material effect on the estimated fair value amounts.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The carrying value of short-term instruments, including cash and cash equivalents, reverse repurchase agreements, repurchase agreements and other secured financing whose term is less than twelve months, generally approximates fair value due to the short-term nature of the instruments.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The estimated fair value of commercial real estate debt and preferred equity investments takes into consideration changes in credit spreads and interest rates from the date of origination or purchase to the reporting date. The fair value also reflects consideration of asset-specific maturity dates and other items that could have an impact on the fair value as of the reporting date.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Estimates of fair value of corporate debt require the use of judgments and inputs including, but not limited to, the enterprise value of the borrower (i.e., an estimate of the total fair value of the borrower's debt and equity), the nature and realizable value of any collateral, the borrower&#x2019;s ability to make payments when due and its earnings history. Management also considers factors that affect the macro and local economic markets in which the borrower operates.</div> </div> </div> <div> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The fair value of repurchase agreements with remaining maturities greater than one year or with embedded optionality are valued as structured notes, with term to maturity, LIBOR rates and the Treasury curve being primary determinants of estimated fair value.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The fair value of mortgages payable is calculated using the estimated yield of a new par loan to value the remaining terms in place. A par loan is created using the identical terms of the existing loan; however, the coupon is derived by using the original spread against the interpolated Treasury. The fair value of mortgages payable also reflects consideration of the value of the underlying collateral and changes in credit risk from the time the debt was originated.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The carrying value of the participation sold is based on the loan&#x2019;s amortized cost. The fair value of the participation sold is based on the fair value of the underlying related commercial loan.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">The following table summarizes the estimated fair value for financial assets and liabilities as of</font> September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">and December 31, 2015.</font></div> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table id="z22891a0901244199bc39860682988456" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level in Fair Value Hierarchy</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Carrying Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Fair Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Carrying Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Fair Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <u>Financial assets:</u></div> </td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Cash and cash equivalents</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,382,188</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,382,188</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,769,258</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,769,258</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 65,718,224</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 65,718,224</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Agency debentures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 152,038</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 152,038</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Credit risk transfer securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 669,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 669,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 456,510</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 456,510</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Non-Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,460,261</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,460,261</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 906,722</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 906,722</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Residential mortgage loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 310,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 310,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Mortgage servicing rights</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Commercial real estate debt investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,319,077</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,319,077</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,911,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,911,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Commercial real estate debt and preferred equity, held for investment</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,070,197</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,069,089</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,348,817</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,350,968</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Commercial loans held for sale, net</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 144,275</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 144,275</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 278,600</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 278,600</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Corporate debt <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 716,831</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 714,672</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 488,508</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 470,894</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 87,921</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 87,921</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 22,066</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 22,066</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <u>Financial liabilities:</u></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Repurchase agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 61,784,121</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 61,857,552</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 56,230,860</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 56,361,623</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other secured financing</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,804,742</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,806,477</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,845,048</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,846,095</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Securitized debt of consolidated VIEs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,712,821</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,712,821</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,540,711</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,541,193</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Participation sold</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,976</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,908</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 13,286</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 13,138</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Mortgage payable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 327,632</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 346,718</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 334,707</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 339,849</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,919,492</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,919,492</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 73,445</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 73,445</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 49,963</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 49,963</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> (1) Includes a held-to-maturity debt security carried at amortized cost of $84.4 million and $74.7 million as of September 30, 2016 and December 31, 2015, respectively. The held-to-maturity debt security had a fair value of $84.6 million and $61.3 million as of September 30, 2016 and December 31, 2015, respectively.</div> </div> </div> </div> </div> 2016-10-31 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Derivative Instruments &#x2013;</font> The Company may use a variety of derivative instruments to economically hedge some of its exposure to market risks, including interest rate and prepayment risk. These instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (&#x201C;swaptions&#x201D;), TBA contracts without intent to accept delivery (&#x201C;TBA derivatives&#x201D;), options on TBA contracts (&#x201C;MBS options&#x201D;), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments. The Company may also invest in other types of mortgage derivatives such as interest-only securities and synthetic total return swaps, such as the Markit IOS Synthetic Total Return Swap Index. Derivatives are accounted for in accordance with the Financial Accounting Standards Board (&#x201C;FASB&#x201D;) Accounting Standards Codification (&#x201C;ASC&#x201D;) 815, <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Derivatives and Hedging</font>, which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). None of the Company&#x2019;s derivative transactions have been designated as hedging instruments for accounting purposes.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Some derivative agreements contain provisions that allow for netting or setting off by counterparty; however, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Interest rate swap agreements -</font> Interest rate swaps are the primary instrument used to mitigate interest rate risk. In particular, the Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Swap agreements may or may not be cleared through a derivatives clearing organization (&#x201C;DCO&#x201D;). Uncleared swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared swaps are fair valued using the DCO&#x2019;s market values.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Interest rate swaptions -</font> Interest rate swaptions are purchased/sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount,&#xA0; stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid/received for interest rate swaptions is reported as an asset/liability in the Consolidated Statements of Financial Condition. The difference between the premium and the fair value of the swaption is reported in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received/paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The fair value of interest rate swaptions is estimated using internal pricing models and compared to the counterparty market value.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> TBA Dollar Rolls -</font> TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).</div> <div><br /></div> <div style="MARGIN-BOTTOM: 12pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> MBS Options &#x2013;</font> MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).</div> <div style="MARGIN-BOTTOM: 12pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Futures Contracts</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic">&#xA0;</font>- Futures contracts are derivatives that track the prices of specific assets. Short sales of futures contracts help mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts that are settled daily with Futures Commission Merchants (&#x201C;FCMs&#x201D;). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Forward purchase commitments</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>&#x2013; The Company may enter into forward purchase commitments with counterparties whereby the Company commits to&#xA0;purchasing mortgage loans at a particular price, provided the mortgage loans close with the counterparties. Gains and losses are recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).</div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The following table details future mortgage loan principal payments as of September 30, 2016:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Mortgage Loan Principal Payments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2016 (remaining)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 101</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2017</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 18,345</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2018</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2019</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 23,375</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2020</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Later years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 289,125</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 330,946</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> Recent Accounting Pronouncements</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company considers the applicability and impact of all Accounting Standards Updates (&#x201C;ASUs&#x201D;). ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption.</div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Standard</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Description</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effective Date</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effect on the financial statements or other significant matters</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> Standards that are not yet adopted</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top">&#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top">&#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top">&#xA0;</td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> ASU 2016-13 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments</font></div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> This ASU updates the existing incurred loss model to a current expected credit loss model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, debt securities, trade receivables, net investments in leases, off balance sheet credit exposures and any other financial assets not excluded from the scope. There are also changes to the accounting for available for sale debt securities.</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> January 1, 2020 (early adoption permitted)</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The Company is assessing the impact to the consolidated financial statements.</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Standard</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Description</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effective Date</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effect on the financial statements or other significant matters</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> Standards that were adopted</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> ASU 2014-13, <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity</font></div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> This update provides a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis.</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> January 1, 2016 (early adoption permitted)</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The Company early adopted this ASU in the first quarter of 2015 and applied the guidance to commercial mortgage backed securitization transactions. See "Variable Interest Entity" footnote for further disclosure.</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Cash and Cash Equivalents</font> &#x2013; Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. RCap is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company&#x2019;s interest rate swaps and other derivatives totaled approximately $2.3 billion and $1.6 billion at September 30, 2016 and December 31, 2015, respectively.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="MARGIN-BOTTOM: 12pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <em><strong>Income Taxes</strong></em> &#x2013; The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. Accordingly, the Company will not be subject to federal income tax to the extent of its distributions to stockholders and as long as certain asset, income and stock ownership tests are met. The Company and certain of its direct and indirect subsidiaries, including FIDAC, RCap and certain subsidiaries of ACREG and Hatteras, have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (&#x201C;TRSs&#x201D;). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The provisions of ASC 740, Income Taxes, (&#x201C;ASC 740&#x201D;) clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were necessary as of September 30, 2016 and December 31, 2015.</div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="MARGIN-BOTTOM: 8pt"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of</font> September 30, 2016 and December 31, 2015<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">.</font> Refer to &#x201C;Derivative Instruments&#x201D; Note for information related to the effect of netting arrangements on the Company&#x2019;s derivative instruments.</div> </div> <div style="MARGIN-BOTTOM: 8pt"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Reverse Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Reverse Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Gross Amounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 500,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 62,284,121</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 56,230,860</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Amounts Offset</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (500,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (500,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Netted Amounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 61,784,121</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 56,230,860</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div> <div style="TEXT-ALIGN: justify"><font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> <a id="ACQUISITIONOFHATTERA" name="ACQUISITIONOFHATTERA"></a>4.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> ACQUISITION OF HATTERAS</font></div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> As previously disclosed in the Company&#x2019;s filings with the SEC, on July 12, 2016 the Company completed its acquisition of Hatteras, an externally managed mortgage REIT that invested primarily in single-family residential mortgage real estate assets, for aggregate consideration to Hatteras common shareholders of $1.5 billion, consisting of $1.0 billion in equity consideration and $521.1 million in cash consideration. The Company issued 93.9 million shares of common shares as part of the consideration for the Hatteras Acquisition, which includes replacement share-based payment awards.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> In addition, as part of the Hatteras Acquisition, each share of Hatteras 7.625% Series A Cumulative Redeemable Preferred Stock, par value $0.001 per share (&#x201C;Hatteras Preferred Share&#x201D;), that was outstanding as of immediately prior to the completion of the Hatteras Acquisition was converted into one share of a newly-designated series of the Company&#x2019;s preferred stock, par value $0.01 per share, which the Company classified and designated as 7.625% Series E Cumulative Redeemable Preferred Stock, and which has rights, preferences, privileges and voting powers substantially the same as a Hatteras Preferred Share.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Hatteras&#x2019; portfolio of adjustable rate mortgage-backed securities is believed to be complementary to the Company&#x2019;s existing portfolio. The combined capital base is believed to support continued growth of the Company&#x2019;s businesses and the acquisition is believed to create efficiency and growth opportunities.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The following table summarizes the aggregate consideration and preliminary fair value of the assets acquired and liabilities assumed recognized at the acquisition date, which is subject to change if new information becomes available:</div> <div>&#xA0;</div> </div> </div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <table id="zad51f10c69084938836b62d2dfbf689b" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Purchase Price Allocation (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Consideration transferred:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Cash</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 521,082</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Common Equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 997,707</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Preferred Shares:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Exchange of Hatteras preferred stock for Annaly preferred stock</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 278,252</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Preferred stock fair value adjustment</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,248</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Preferred Shares</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 287,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total Consideration</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,806,289</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Net Assets:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Cash</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 562,780</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Agency mortgage-backed securities, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 10,863,070</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Credit risk transfer securities, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 116,770</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Residential mortgage loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 360,447</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Mortgage servicing rights</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 355,820</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 8,677</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Principal receivable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 438,005</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Accrued interest and dividend receivable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 83,814</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 57,250</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total Assets Acquired</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,846,633</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Repurchase agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 10,422,757</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other secured financing</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 35,769</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Securitized debt of consolidated VIEs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 54,135</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 349,922</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Dividends payable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 670</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Payable for investments purchased</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,643</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Accrued interest payable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,833</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Accounts payable and other liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 97,039</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total Liabilities Assumed</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 10,967,768</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Net Assets Acquired</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,878,865</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Bargain Purchase Gain</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 72,576</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">For time-based restricted stock awards granted by Hatteras that fully vested as of the Hatteras Acquisition closing date, the fair value of the Company&#x2019;s common stock issued in the satisfaction of these awards was included in equity consideration transferred as no post acquisition service was required. For time-based restricted stock awards granted by Hatteras that did not fully vest as of the acquisition date and require post-acquisition service, the fair value of the Company&#x2019;s common stock issued as replacement awards has been allocated between the pre- and post-acquisition service period, with the amount allocated to the pre-acquisition period included in the equity consideration transferred. The amount allocated to the post-acquisition service period for the time-based restricted stock awards was $5.8 million and expensed during the third quarter of 2016 in Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss)</font>. Also, in connection with the Hatteras Acquisition, the Company entered into consulting agreements with certain former employees of Hatteras. During the third quarter of 2016, the Company recognized the full amount of the fees related to the consulting agreements totaling $19.9 million in Other general and administrative expenses <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">in the Consolidated Statements of Comprehensive Income (Loss)</font>.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Under the acquisition method of accounting, merger-related transaction costs (such as advisory, legal, valuation, consulting and other professional fees) are not included as components of consideration transferred but are expensed in the periods in which the costs are incurred. Transaction costs of $48.9 million were incurred during the nine months ended September 30, 2016 and were included in Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss).</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <br /> The fair value and unpaid principal balance of residential mortgage loans acquired in connection with the Hatteras acquisition were $360.4 million and $350.5 million, respectively.</div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The bargain purchase gain is the result of the mortgage REIT sector facing significant headwinds for a variety of reasons, including uncertainty regarding the outlook for interest rates and the financial markets generally. Consequently, in recent years, the price per share of Hatteras common stock has traded at a substantial discount to Hatteras&#x2019; book value per share, which made raising equity capital to fund new investments dilutive to stockholders. Because of these circumstances, Hatteras was unable to raise equity capital on acceptable terms and significantly increase its size and scale through capital market transactions. The bargain purchase is recognized in Realized and unrealized gains (losses) <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">in the Consolidated Statements of Comprehensive Income (Loss)</font>.</div> </div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <br /> The Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2016 includes Net interest income and Net income (loss) of $35.5 million and $86.7 million, respectively, attributable to the Hatteras Acquisition. The following unaudited pro forma summary presents consolidated information of the Company, assuming the Hatteras Acquisition had occurred as of January 1, 2015 for purposes of the 2016 and 2015 pro forma disclosures presented. They include certain adjustments for the periods presented to exclude deferred swap net losses of Hatteras from net interest expense to conform to the Company&#x2019;s presentation, recalculate the management fee based upon pro forma stockholders&#x2019; equity and the Company&#x2019;s management fee rate, eliminate Hatteras common stock outstanding and record the issuance of the Company&#x2019;s common stock to Hatteras stockholders and reflect direct costs incurred by the Company and the bargain purchase gain as if the Hatteras Acquisition occured as of January 1, 2015. These pro forma results have been prepared for comparative purposes only and do not purport to be indicative of what operating results would have been had the Hatteras Acquisition occurred on January 1, 2015 and may not be indicative of future operating results:</div> <div> <table id="z01be7a10482847f4a32d8c0193d6cb9a" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Quarters Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands, except per share data)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 395,396</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 397,602</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,027,202</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,434,947</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 708,191</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (710,720</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (520,830</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (272,007</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Basic earnings per common share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.67</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (0.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (0.58</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (0.33</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Diluted earnings per common share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.67</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (0.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (0.58</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (0.33</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> </table> </div> <div>&#xA0;</div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> For additional details regarding the terms and conditions of the Hatteras Acquisition and related matters, please refer to the Company&#x2019;s other filings with the SEC that were made in connection with the Hatteras Acquisition, including the Prospectus/Offer to Exchange filed with the SEC pursuant to Rule 424(b)(3) on July 8, 2016 and the Current Report on Form 8-K filed with the SEC on July 12, 2016.</div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The following table summarizes the estimated fair value for financial assets and liabilities as of</font> September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">and December 31, 2015.</font></div> </div> </div> </div> </div> <div>&#xA0;</div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level in Fair Value Hierarchy</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Carrying Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Fair Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Carrying Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Fair Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <u>Financial assets:</u></div> </td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Cash and cash equivalents</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,382,188</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,382,188</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,769,258</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,769,258</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 65,718,224</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 65,718,224</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Agency debentures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 152,038</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 152,038</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Credit risk transfer securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 669,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 669,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 456,510</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 456,510</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Non-Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,460,261</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,460,261</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 906,722</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 906,722</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Residential mortgage loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 310,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 310,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Mortgage servicing rights</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Commercial real estate debt investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,319,077</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,319,077</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,911,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,911,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Commercial real estate debt and preferred equity, held for investment</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,070,197</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,069,089</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,348,817</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,350,968</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Commercial loans held for sale, net</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 144,275</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 144,275</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 278,600</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 278,600</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Corporate debt <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 716,831</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 714,672</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 488,508</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 470,894</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 87,921</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 87,921</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 22,066</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 22,066</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <u>Financial liabilities:</u></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Repurchase agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 61,784,121</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 61,857,552</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 56,230,860</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 56,361,623</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other secured financing</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,804,742</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,806,477</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,845,048</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,846,095</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Securitized debt of consolidated VIEs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,712,821</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,712,821</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,540,711</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,541,193</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Participation sold</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,976</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,908</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 13,286</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 13,138</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Mortgage payable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 327,632</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 346,718</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 334,707</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 339,849</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,919,492</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,919,492</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,445</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,445</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 49,963</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 49,963</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> (1) Includes a held-to-maturity debt security carried at amortized cost of $84.4 million and $74.7 million as of September 30, 2016 and December 31, 2015, respectively. The held-to-maturity debt security had a fair value of $84.6 million and $61.3 million as of September 30, 2016 and December 31, 2015, respectively.</div> </div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div style="TEXT-ALIGN: justify; CLEAR: both"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Revenue Recognition</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> &#x2013;</font> The revenue recognition policy by asset class is discussed below.</div> <div><br /></div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Agency Mortgage-Backed Securities, Agency Debentures, Non-Agency Mortgage-Backed Securities and CRT Securities</font> &#x2013; The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans and certificates guaranteed by the Government National Mortgage Association (&#x201C;Ginnie Mae&#x201D;), the Federal Home Loan Mortgage Corporation (&#x201C;Freddie Mac&#x201D;) or the Federal National Mortgage Association (&#x201C;Fannie Mae&#x201D;) (collectively, &#x201C;Agency mortgage-backed securities&#x201D;). These Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (&#x201C;TBA securities&#x201D;). The Company also invests in Agency debentures issued by the Federal Home Loan Banks, Freddie Mac and Fannie Mae, as well as CRT securities. CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae, Freddie Mac and/or third parties to private investors. The Company also invests in non-Agency mortgage-backed securities, such as those issued in non-performing loan (&#x201C;NPL&#x201D;) and re-performing loan (&#x201C;RPL&#x201D;) securitizations.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as &#x201C;Residential Investment Securities.&#x201D; Although the Company generally intends to hold most of its Residential Investment Securities until maturity, it may, from time to time, sell any of its Residential Investment Securities as part of the overall management of its portfolio. Residential Investment Securities classified as available-for-sale are reported at fair value with unrealized gains and losses reported in other comprehensive income (loss) unless the Company has elected the fair value option, where the unrealized gains and losses on these financial instruments are recorded through earnings (e.g., interest-only securities). The fair value of Residential Investment Securities classified as available-for-sale is estimated by management and is compared to independent sources for reasonableness. Residential Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on sales of Residential Investment Securities are recorded on trade date based on the specific identification method.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> </div> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company elected the fair value option for interest-only mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities as this election simplifies the accounting. Interest-only securities and inverse interest-only securities are collectively referred to as &#x201C;interest-only securities.&#x201D; These interest-only mortgage-backed securities represent the Company&#x2019;s right to receive a specified proportion of the contractual interest flows of specific mortgage-backed securities. Interest-only mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities are measured at fair value with changes in fair value recorded as Net unrealized gains (losses) on investments measured at fair value through earnings in the Company&#x2019;s Consolidated Statements of Comprehensive Income (Loss). The interest-only securities are included in Agency mortgage-backed securities at fair value on the accompanying Consolidated Statements of Financial Condition.</div> <div><br /></div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the Residential Investment Securities and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities), considering estimates of future principal prepayment in the calculation of the effective yield because they are probable and the timing and amount of prepayments can be reasonably estimated. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security&#x2019;s acquisition. The amortized cost of the investment is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.</div> </div> <div> <div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Premiums or discounts associated with the purchase of Agency interest-only securities and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis.</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Interest income for Agency debentures is recognized by applying the interest method using contractual cash flows without estimating prepayments.</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The table below summarizes the interest income recognition methodology for Residential Investment Securities:</div> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Interest Income</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Methodology</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> Agency</div> </td> <td style="BORDER-TOP: #000000 2px solid; WIDTH: 39.92%; VERTICAL-ALIGN: top"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Fixed-rate pass-through<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Effective yield<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup></div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Adjustable-rate pass-through<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Effective yield<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup></div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Collateralized Mortgage Obligation (&#x201C;CMO&#x201D;)<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Effective yield<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup></div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Debentures<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Contractual Cash Flows</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Interest-only<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> Residential Credit</div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> CRT<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Legacy <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> NPL/RPL <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> New issue <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> New issue interest-only <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup> Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss).</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>Changes in fair value are recognized in Net unrealized gains (losses) on investments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss).</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.</div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Fair Value Measurements</font> &#x2013; The Company reports various financial instruments at fair value. A complete discussion of the methodology utilized by the Company to estimate the fair value of certain financial instruments is included in these Notes to Consolidated Financial Statements.</div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company&#x2019;s risk management practices that might offset risks inherent in these Level 3 investments.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table id="z1291ffac8c3b4aeba28d373aecff22c3" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="4"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Range</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" valign="bottom"><font style="FONT-WEIGHT: bold">Valuation Technique</font>&#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Unobservable Input<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (Weighted Average )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle" valign="bottom"> Discounted cash flow&#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Discount rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 10.0% -15.0% (10.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %)</div> </td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Prepayment rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6.3% - 43.2% (20.1</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %)</div> </td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Delinquency rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.0% - 8.0% (2.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %)</div> </td> </tr> <tr> <td style="WIDTH: 50%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 27%; VERTICAL-ALIGN: top; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> Cost to service</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: top; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">$84 - $146 ($100)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <table id="z10548f3c53cf4fb1a39fd749fd824ff1" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 80%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="VERTICAL-ALIGN: top" colspan="3"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup> Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.</div> </td> </tr> </table> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div> <div><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> 18.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> NET INCOME (LOSS) PER COMMON SHARE</font></div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the quarters and nine months ended September 30, 2016 and 2015.</div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Quarters Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands, except per share data)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 730,880</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (627,491</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (415,697</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (203,919</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Less: Net income (loss) attributable to noncontrolling interest</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (336</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (197</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (883</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (436</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net income (loss) attributable to Annaly</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 731,216</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (627,294</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (414,814</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (203,483</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Less: Preferred stock dividends</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 22,803</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,992</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 58,787</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 53,976</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net income (loss) available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 708,413</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (645,286</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (473,601</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (257,459</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Add: Interest on Convertible Senior Notes, if dilutive</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net income (loss) available to common stockholders, as adjusted</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 708,413</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (645,286</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (473,601</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (257,459</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Weighted average shares of common stock outstanding-basic</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,007,607,893</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 947,795,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 953,301,855</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 947,732,735</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Add: Effect of stock awards and Convertible Senior Notes, if dilutive</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 355,513</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Weighted average shares of common stock outstanding-diluted</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,007,963,406</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 947,795,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 953,301,855</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 947,732,735</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net income (loss) per share available (related) to common share:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Basic</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.68</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.50</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.27</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Diluted</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.68</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.50</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.27</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /></div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> Options to purchase 1.1 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the quarter and nine months ended September 30, 2016.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> Options to purchase 1.7 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the quarter and nine months ended September 30, 2015.</div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> Mortgage loans payable as of September 30, 2016 and December 31, 2015, were as follows:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Property</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Mortgage Carrying Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Mortgage Principal</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Interest Rate</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Fixed/Floating Rate</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Maturity Date</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Priority</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Joint Ventures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 285,899</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 289,125</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4.03% - 4.61</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 2024 and 2025</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Tennessee</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,350</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4.01</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 9/6/2019</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Virginia</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 11,014</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 11,025</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3.58</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 6/6/2019</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Arizona</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 16,080</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 16,063</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3.50</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 1/1/2017</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Nevada</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,386</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,383</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> L+200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> Floating <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 3/29/2017</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 327,632</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 330,946</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> </div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> </div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> </div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> </div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Property</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Mortgage Carrying Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Mortgage Principal</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Interest Rate</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Fixed/Floating Rate</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Maturity Date</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Priority</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Joint Ventures</div> </td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 292,658</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 296,325</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 2.30% to 4.61%</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 2016, 2024 and 2025</div> </td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Tennessee</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,228</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,350</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4.01</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 9/6/2019</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Virginia</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 11,012</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 11,025</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3.58</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 6/6/2019</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Arizona</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 16,365</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 16,308</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3.50</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 1/1/2017</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Nevada</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,436</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> L+200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> Floating <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 3/29/2017</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 334,707</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 338,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> </div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> </div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).</div> </td> </tr> </table> </div> </div> 833139000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The following table sets forth activity related to the Company&#x2019;s stock options awarded under the Plan:</div> </div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left; CLEAR: both"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left; CLEAR: both"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Number of Shares</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Exercise Price</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Number of Shares</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Exercise Price</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Options outstanding at the beginning of period</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,168,775</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.34</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,259,335</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.35</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Granted</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Exercised</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Forfeited</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (6,400</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 14.69</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (266,399</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.24</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Expired</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (36,750</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12.90</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (294,750</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17.07</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Options outstanding at the end of period</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,125,625</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.43</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,698,186</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.07</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Options exercisable at the end of period</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,125,625</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.43</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,698,186</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15.07</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <strong><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Convertible Senior Notes</font></strong> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> &#x2013;</font> The Company recorded the 4% Convertible Senior Notes and 5% Convertible Senior Notes (collectively, the &#x201C;Convertible Senior Notes&#x201D;) at their contractual amounts, adjusted by the effects of a beneficial conversion feature and a contingent beneficial conversion feature (collectively, the &#x201C;Conversion Features&#x201D;). The Conversion Features&#x2019; intrinsic value is included in &#x201C;Additional paid-in capital&#x201D; on the Company&#x2019;s Consolidated Statements of Financial Condition and reduces the recorded liability amount associated with the Convertible Senior Notes. A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common stockholders. The 4% and 5% Convertible Senior Notes matured in February 2015 and May 2015, respectively.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The table below summarizes fair value information about our derivative assets and liabilities as of</font> September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">and December 31, 2015:</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Derivatives Instruments</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Balance Sheet Location</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left; TEXT-INDENT: 11.05pt"> Assets:</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest rate swaps</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest rate swaps, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest rate swaptions</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,527</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> TBA derivatives</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 59,360</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9,622</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Futures contracts</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 26,986</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Purchase commitments</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 48</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 201,174</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 41,708</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Liabilities:</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest rate swaps</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest rate swaps, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,919,492</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest rate swaptions</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> TBA derivatives</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 547</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,185</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Futures contracts</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 70,784</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 32,778</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Purchase commitments</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,992,937</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,727,534</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; CLEAR: both"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> These pro forma results have been prepared for comparative purposes only and do not purport to be indicative of what operating results would have been had the Hatteras Acquisition occurred on January 1, 2015 and may not be indicative of future operating results:</div> </div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; CLEAR: both"> &#xA0;</div> <div> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Quarters Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands, except per share data)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands, except per share data)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 395,396</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 397,602</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,027,202</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,434,947</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 708,191</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (710,720</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (520,830</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (272,007</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Basic earnings per common share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.67</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.58</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.33</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Diluted earnings per common share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.67</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.58</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (0.33</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> The following table presents activity related to MSRs for the quarter and nine months ended September 30, 2016:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fair value, beginning of period</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Obtained through Hatteras Acquisition</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 355,820</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Purchases</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 131,729</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Change in fair value due to:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">Changes in valuation inputs or assumptions</font><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">&#xA0;</sup><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 26,254</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other changes, including realization of expected cash flows</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (21,634</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fair value, end of period</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="4"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">(1) Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates</font>.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> false <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the quarter and nine months ended September 30, 2016 for these investments:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net gains (losses) on disposal of investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (383</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net unrealized gains (losses) on investments measured at fair value through earnings</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (493</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">)&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,203</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total included in net income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 327</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <strong><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Stock Based Compensation</font></strong> &#x2013; The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div style="MARGIN-BOTTOM: 6pt; TEXT-ALIGN: left"><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> 6.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> RESIDENTIAL MORTGAGE LOANS</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The table below presents the fair value and the unpaid principal balance for these loans as of September 30, 2016:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 310,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Unpaid principal balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 301,957</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the quarter and nine months ended September 30, 2016 for these investments:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net gains (losses) on disposal of investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (383</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net unrealized gains (losses) on investments measured at fair value through earnings</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (493</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">)&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,203</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total included in net income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 327</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> None of the change in the fair value of the residential mortgage loans was attributable to changes in credit risk based on current delinquencies.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The following table provides the geographic concentrations based on the unpaid principal balances as of September 30, 2016 for the residential mortgage loans, including loans held in a securitization trust:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 100%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Geographic Concentrations of Residential Mortgage Loans</div> </td> </tr> <tr> <td style="BORDER-TOP: #000000 2px solid; WIDTH: 63.21%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Property Location</div> </td> <td style="BORDER-TOP: #000000 2px solid; WIDTH: 36.79%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> % of Balance</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> California</div> </td> <td style="WIDTH: 36.79%; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 48.5%</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Texas</div> </td> <td style="WIDTH: 36.79%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 11.0%</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Illinois</div> </td> <td style="WIDTH: 36.79%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 5.5%</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Florida</div> </td> <td style="WIDTH: 36.79%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 5.3%</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> All other (none individually greater than 5%)</div> </td> <td style="WIDTH: 36.79%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 29.7%</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="BORDER-TOP: #000000 2px solid; WIDTH: 36.79%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 100.0%</div> </td> </tr> </table> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The table below provides additional data on the Company&#x2019;s residential mortgage loans, including loans held in a securitization trust, at September 30, 2016:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Portfolio Range</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Portfolio Weighted Average</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Unpaid principal balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">164 - $1,903</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 716</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2.50% - 4.13</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3.45</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: right"> 3/5/2044 - 7/21/2046</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: right"> 6/10/2045</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> FICO score at loan origination</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">700 - 815</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 765</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Loan-to-value ratio at loan origination</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 23.73% - 80.27</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 70.56</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company considers the applicability and impact of all Accounting Standards Updates (&#x201C;ASUs&#x201D;). ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption.</div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Standard</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Description</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effective Date</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effect on the financial statements or other significant matters</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> Standards that are not yet adopted</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top">&#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top">&#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top">&#xA0;</td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> ASU 2016-13 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments</font></div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> This ASU updates the existing incurred loss model to a current expected credit loss model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, debt securities, trade receivables, net investments in leases, off balance sheet credit exposures and any other financial assets not excluded from the scope. There are also changes to the accounting for available for sale debt securities.</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> January 1, 2020 (early adoption permitted)</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The Company is assessing the impact to the consolidated financial statements.</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Standard</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Description</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effective Date</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effect on the financial statements or other significant matters</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> Standards that were adopted</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> ASU 2014-13, <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity</font></div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> This update provides a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis.</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> January 1, 2016 (early adoption permitted)</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The Company early adopted this ASU in the first quarter of 2015 and applied the guidance to commercial mortgage backed securitization transactions. See "Variable Interest Entity" footnote for further disclosure.</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> </table> </div> </div> <div> <div style="TEXT-ALIGN: left"><font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> 16.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> <a id="INTERESTINCOMEANDINTEREST" name="INTERESTINCOMEANDINTEREST"> <!--Anchor--></a>INTEREST INCOME AND INTEREST EXPENSE</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The table below presents the components of the Company&#x2019;s interest income and interest expense for the quarters and nine months ended September 30, 2016 and 2015.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table id="z843b6f9ec71340259020fceba3961141" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Quarters Ended September 30,</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended September 30,</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Interest income:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Residential Investment Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 493,226</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 399,702</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,203,793</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,448,434</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Residential mortgage loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,608</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,608</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Commercial investment portfolio<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 61,240</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 50,204</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 191,005</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 142,969</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Reverse repurchase agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,594</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 820</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 7,523</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,714</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 22pt"> Total interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 558,668</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 450,726</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,403,929</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,594,117</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Interest expense:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Repurchase agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 154,083</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 103,823</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 423,150</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 307,796</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Convertible Senior Notes</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 29,740</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Securitized debt of consolidated VIEs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,046</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,111</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 32,305</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 14,468</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Participation sold</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 157</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 161</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 472</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 479</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Other</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 7,868</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 202</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,429</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 306</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 22pt"> Total interest expense</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 174,154</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 110,297</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 474,356</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 352,789</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Net interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 384,514</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 340,429</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 929,573</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,241,328</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup> Includes commercial real estate debt, preferred equity and corporate debt.</div> </td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The following table presents the gross unrealized losses and estimated fair value of the Company&#x2019;s Agency mortgage-backed securities by length of time that such securities have been in a continuous unrealized loss position at</font> September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">and December 31, 2015.</font></div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> September 30, 2016</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: center">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Gross Unrealized Losses<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Number of Securities<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Gross Unrealized Losses<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Number of Securities<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 28%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Less than 12 Months</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 8,204,957</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (28,676</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 445</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 20,072,072</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (164,259</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 463</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 28%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 12 Months or More</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 6,867,701</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (31,923</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 54</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 21,705,764</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (689,981</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 189</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 28%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15,072,658</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (60,599</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 499</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 41,777,836</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (854,240</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 652</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> <div>&#xA0;</div> <div style="FONT-SIZE: 8pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> (1) Excludes interest-only mortgage-backed securities.</div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Real estate held for investment, at amortized cost</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Land</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 117,023</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 113,494</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Buildings and improvements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 355,899</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 373,603</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Subtotal</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 472,922</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 487,097</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Less: accumulated depreciation</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (32,239</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (16,886</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Total real estate held for investment, at amortized cost, net</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 440,683</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 470,211</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Equity in unconsolidated joint ventures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 59,344</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 65,735</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Investments in commercial real estate, net</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 500,027</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 535,946</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> 2013 0.26 14.69 0 0 P128D <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="MARGIN-BOTTOM: 6pt; TEXT-ALIGN: left"><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> 7.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> MORTGAGE SERVICING RIGHTS</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> In connection with the Hatteras Acquisition, the Company obtained an MSR portfolio and began investing in MSRs through Hatteras&#x2019; wholly-owned subsidiary during the third quarter of 2016. The Company elected to carry all investments in MSRs at fair value.</div> <div style="FONT-WEIGHT: normal"><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> The following table presents activity related to MSRs for the quarter and nine months ended September 30, 2016:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fair value, beginning of period</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Obtained through Hatteras Acquisition</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 355,820</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Purchases</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 131,729</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Change in fair value due to:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">Changes in valuation inputs or assumptions</font><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">&#xA0;</sup><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 26,254</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other changes, including realization of expected cash flows</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (21,634</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fair value, end of period</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="4"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">(1) Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates</font>.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> For the three and nine months ended September 30, 2016, the Company recognized $26.2 million of net servicing income from MSRs in Other income (loss)<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>in the Consolidated Statements of Comprehensive Income (Loss).</div> </div> 0 ANNALY CAPITAL MANAGEMENT INC <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div style="TEXT-ALIGN: justify"> <table class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 23.75pt; VERTICAL-ALIGN: top; FONT-WEIGHT: bold; align: right"> 1.</td> <td style="WIDTH: auto; VERTICAL-ALIGN: top; TEXT-ALIGN: justify"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> DESCRIPTION OF BUSINESS</div> </td> </tr> </table> </div> <div><br /></div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Annaly Capital Management, Inc. (the &#x201C;Company&#x201D; or &#x201C;Annaly&#x201D;) is a Maryland corporation that commenced operations on February 18, 1997. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, Agency debentures, credit risk transfer (&#x201C;CRT&#x201D;) securities, other securities representing interests in or obligations backed by pools of mortgage loans, residential mortgage loans, mortgage servicing rights, commercial real estate assets and corporate debt. The Company&#x2019;s principal business objectives are to generate net income for distribution to its stockholders from its investments and capital preservation. The Company is externally managed by Annaly Management Company LLC (the &#x201C;Manager&#x201D;).</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company&#x2019;s business operations are primarily comprised of the following:</div> <div><br /></div> <div> <table class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 36pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: Symbol, serif; TEXT-ALIGN: left; MARGIN-LEFT: 18pt"> &#xB7;</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Annaly, the parent company, which invests primarily in Agency mortgage-backed securities and related derivatives to hedge these investments. Its portfolio also includes residential credit investments such as CRT and non-Agency mortgage-backed securities.</div> </td> </tr> </table> </div> <div> <table class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 36pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: Symbol, serif; TEXT-ALIGN: left; MARGIN-LEFT: 18pt"> &#xB7;</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Annaly Commercial Real Estate Group, Inc. (&#x201C;ACREG,&#x201D; formerly known as CreXus Investment Corp.), a wholly-owned subsidiary that was acquired during the second quarter of 2013 which specializes in acquiring, financing and managing commercial real estate loans and other commercial real estate debt, commercial mortgage-backed securities and other commercial real estate-related assets.</div> </td> </tr> </table> </div> <div> <table class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 36pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: Symbol, serif; TEXT-ALIGN: left; MARGIN-LEFT: 18pt"> &#xB7;</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Annaly Middle Market Lending LLC (&#x201C;MML,&#x201D; formerly known as Charlesfort Capital Management LLC), a wholly-owned subsidiary which engages in corporate middle market lending transactions.</div> </td> </tr> </table> </div> <div> <table class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 36pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: Symbol, serif; TEXT-ALIGN: left; MARGIN-LEFT: 18pt"> &#xB7;</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Hatteras Financial Corp. (&#x201C;Hatteras&#x201D;), a wholly-owned subsidiary that was acquired during the third quarter of 2016 which, through its wholly-owned subsidiaries, primarily engages in acquiring, investing in, securitizing and managing residential whole mortgage loans and investing in and managing mortgage servicing rights.</div> </td> </tr> </table> </div> <div> <table class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 36pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: Symbol, serif; TEXT-ALIGN: left; MARGIN-LEFT: 18pt"> &#xB7;</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> RCap Securities, Inc. (&#x201C;RCap&#x201D;), a wholly-owned subsidiary, which operates as a broker-dealer and is a member of the Financial Industry Regulatory Authority (&#x201C;FINRA&#x201D;).</div> </td> </tr> </table> </div> </div> <div>&#xA0;</div> <div style="TEXT-ALIGN: justify">The Company has elected to be taxed as a Real Estate Investment Trust (&#x201C;REIT&#x201D;) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the &#x201C;Code&#x201D;).</div> </div> <div style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <div style="TEXT-ALIGN: left; FONT-FAMILY: 'Times New Roman', Times, serif; CLEAR: both; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> <div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: normal"> <div style="FONT-WEIGHT: normal"> <div style="TEXT-ALIGN: justify"><font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> 20.</font><font style="FONT-SIZE: 5.94pt">&#xA0;</font> <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> INCOME TAXES</font></div> <div><br /></div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">For the quarter ended</font> September 30, 2016 <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its</font> stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is generally the Company&#x2019;s policy to distribute 100% of its REIT taxable income.</div> </div> </div> </div> </div> <div style="TEXT-ALIGN: left; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> <div> <div style="TEXT-ALIGN: justify; FONT-STYLE: normal; FONT-WEIGHT: normal"> <br /></div> <div style="TEXT-ALIGN: justify; FONT-STYLE: normal; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: normal"> The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company&#x2019;s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company&#x2019;s TRSs are subject to federal, state and local taxes.</div> <div style="FONT-STYLE: normal; FONT-WEIGHT: normal"><br /></div> <div style="TEXT-ALIGN: justify; FONT-STYLE: normal; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: normal"> <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">During the quarter and nine months ended</font> September 30, 2016<font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">, the Company recorded $1.9 million and $2.8 million, respectively, of income tax benefit for losses attributable to its TRSs. During the quarter and nine months ended</font> September 30, 2015<font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">, the Company recorded a net income tax benefit of $0.4 million and $8.0 million, respectively, for losses attributable to its TRSs.</font></div> </div> </div> <div>&#xA0;</div> <div> <div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> The Company&#x2019;s federal, state and local tax returns from 2013 and forward remain open for examination.</div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Goodwill and Intangible Assets</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>&#x2013;<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>The Company&#x2019;s acquisitions are accounted for using the acquisition method. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain.</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. An impairment of the goodwill associated with the Company&#x2019;s acquisition of Fixed Income Discount Advisory Company (&#x201C;FIDAC&#x201D;) was recorded during the year ended December 31, 2015.</div> </div> </div> </div> </div> </div> </div> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> Finite life intangible assets are amortized over their expected useful lives.</div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div> <div style="CLEAR: both"> <div> <div style="MARGIN-BOTTOM: 12pt; TEXT-ALIGN: justify"> <table class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 23.75pt; VERTICAL-ALIGN: top; FONT-WEIGHT: bold; align: right"> 3.</td> <td style="WIDTH: auto; VERTICAL-ALIGN: top; TEXT-ALIGN: justify"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> SIGNIFICANT ACCOUNTING POLICIES</div> </td> </tr> </table> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Principles of Consolidation</font> &#x2013; The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries and consolidated variable interest entities. All intercompany balances and transactions have been eliminated in consolidation. The Company reclassified previously presented financial information so that amounts previously presented conform to the current period presentation.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company has evaluated all of its investments in legal entities in order to determine if they are variable interests in Variable Interest Entities ("VIEs"). A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A variable interest is an investment or other interest that will absorb portions of a VIE's expected losses or receive portions of the entity&#x2019;s expected residual returns<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">.</font> A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that (i) has the power to direct the activities that most significantly impact the VIE&#x2019;s economic performance and (ii) has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> </div> </div> <div style="TEXT-ALIGN: justify">To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE&#x2019;s economic performance, the Company considers all facts and circumstances, including the Company&#x2019;s role in establishing the VIE and the Company&#x2019;s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE&#x2019;s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE.</div> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, in the VIE. This assessment requires that the Company apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE&#x2019;s capital structure; and the reasons why the interests are held by the Company.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company&#x2019;s involvement with a VIE causes the Company&#x2019;s consolidation conclusion regarding the VIE to change.</div> <div style="TEXT-ALIGN: justify; TEXT-INDENT: 241.15pt"> <br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Cash and Cash Equivalents</font> &#x2013; Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. RCap is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company&#x2019;s interest rate swaps and other derivatives totaled approximately $2.3 billion and $1.6 billion at September 30, 2016 and December 31, 2015, respectively.</div> </div> </div> <div style="TEXT-ALIGN: justify; CLEAR: both">&#xA0;</div> <div style="TEXT-ALIGN: justify; CLEAR: both"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Fair Value Measurements</font> &#x2013; The Company reports various financial instruments at fair value. A complete discussion of the methodology utilized by the Company to estimate the fair value of certain financial instruments is included in these Notes to Consolidated Financial Statements.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Revenue Recognition</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> &#x2013;</font> The revenue recognition policy by asset class is discussed below.</div> <div><br /></div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Agency Mortgage-Backed Securities, Agency Debentures, Non-Agency Mortgage-Backed Securities and CRT Securities</font> &#x2013; The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans and certificates guaranteed by the Government National Mortgage Association (&#x201C;Ginnie Mae&#x201D;), the Federal Home Loan Mortgage Corporation (&#x201C;Freddie Mac&#x201D;) or the Federal National Mortgage Association (&#x201C;Fannie Mae&#x201D;) (collectively, &#x201C;Agency mortgage-backed securities&#x201D;). These Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (&#x201C;TBA securities&#x201D;). The Company also invests in Agency debentures issued by the Federal Home Loan Banks, Freddie Mac and Fannie Mae, as well as CRT securities. CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae, Freddie Mac and/or third parties to private investors. The Company also invests in non-Agency mortgage-backed securities, such as those issued in non-performing loan (&#x201C;NPL&#x201D;) and re-performing loan (&#x201C;RPL&#x201D;) securitizations.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as &#x201C;Residential Investment Securities.&#x201D; Although the Company generally intends to hold most of its Residential Investment Securities until maturity, it may, from time to time, sell any of its Residential Investment Securities as part of the overall management of its portfolio. Residential Investment Securities classified as available-for-sale are reported at fair value with unrealized gains and losses reported&#xA0;in other comprehensive income (loss) unless the Company has elected the fair value option, where the unrealized gains and losses on these financial instruments are recorded through earnings (e.g., interest-only securities). The fair value of Residential Investment Securities classified as available-for-sale is estimated by management and is compared to independent sources for reasonableness. Residential Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on sales of Residential Investment Securities are recorded on trade date based on the specific identification method.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> </div> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company elected the fair value option for interest-only mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities as this election simplifies the accounting. Interest-only securities and inverse interest-only securities are collectively referred to as &#x201C;interest-only securities.&#x201D; These interest-only mortgage-backed securities represent the Company&#x2019;s right to receive a specified proportion of the contractual interest flows of specific mortgage-backed securities. Interest-only mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities are measured at fair value with changes in fair value recorded as Net unrealized gains (losses) on investments measured at fair value through earnings in the Company&#x2019;s Consolidated Statements of Comprehensive Income (Loss). The interest-only securities are included in Agency mortgage-backed securities at fair value on the accompanying Consolidated Statements of Financial Condition.</div> <div><br /></div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the Residential Investment Securities and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities), considering estimates of future principal prepayment in the calculation of the effective yield because they are probable and the timing and amount of prepayments can be reasonably estimated. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security&#x2019;s acquisition. The amortized cost of the investment is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.</div> </div> <div> <div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Premiums or discounts associated with the purchase of Agency interest-only securities and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis.</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Interest income for Agency debentures is recognized by applying the interest method using contractual cash flows without estimating prepayments.</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The table below summarizes the interest income recognition methodology for Residential Investment Securities:</div> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Interest Income</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Methodology</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> Agency</div> </td> <td style="BORDER-TOP: #000000 2px solid; WIDTH: 39.92%; VERTICAL-ALIGN: top"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Fixed-rate pass-through<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Effective yield<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup></div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Adjustable-rate pass-through<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Effective yield<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup></div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Collateralized Mortgage Obligation (&#x201C;CMO&#x201D;)<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Effective yield<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup></div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Debentures<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Contractual Cash Flows</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Interest-only<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> Residential Credit</div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> CRT<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Legacy <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> NPL/RPL <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> New issue <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> New issue interest-only <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup> Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss).</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>Changes in fair value are recognized in Net unrealized gains (losses) on investments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss).</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Residential Mortgage Loans</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#x2013; The Company&#x2019;s residential mortgage loans are primarily comprised of prime jumbo adjustable-rate whole mortgage loans acquired in connection with the Company&#x2019;s acquisition of Hatteras (&#x201C;Hatteras Acquisition&#x201D;) and subsequent purchases. Additionally, pursuant to the Hatteras Acquisition, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo whole mortgage loans. The Company made elections to account for the investments in residential mortgage loans held in its portfolio and in the securitization trust at fair value as these elections simplify the accounting. Residential mortgage loans are recognized at fair value on the</font> accompanying Consolidated Statements of Financial Condition. Changes in the estimated fair value are presented in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).</div> </div> </div> <div> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Premiums and discounts associated with the purchase of residential mortgage loans and with those held in the securitization trust are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss).</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> There was no real estate acquired in settlement of residential mortgage loans as of September 30, 2016 or December 31, 2015. The Company would be considered to have received physical possession of residential real estate property collateralizing a residential mortgage loan, so that the loan is derecognized and the real estate property would be recognized, if either (i) the Company obtains legal title to the residential real estate property upon completion of a foreclosure or (ii) the borrower conveys all interest in the residential real estate property to the Company to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Mortgage Servicing Rights (&#x201C;MSRs&#x201D;) &#x2013;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">MSRs represent the rights associated with servicing contracts obtained in connection with the Hatteras Acquisition or through the subsequent purchase of such rights from third parties with the intention of holding them as investments. The Company and its subsidiaries do not originate or directly service mortgage loans. Rather, the Company utilizes duly licensed subservicers to perform substantially all servicing functions for the loans underlying the MSRs. The Company elected to account for all of its investments in MSRs at fair value; as such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).</font></div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Equity Securities</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>&#x2013; The Company may invest in equity securities that are classified as available-for-sale or trading. Equity securities classified as available-for-sale are reported at fair value, based on market quotes, with unrealized gains and losses reported as a component of other comprehensive income (loss). Equity securities classified as trading are reported at fair value, based on market quotes, with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net gains (losses) on trading assets. Dividends are recorded in earnings based on the declaration date.</div> </div> </div> <div> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Derivative Instruments &#x2013;</font> The Company may use a variety of derivative instruments to economically hedge some of its exposure to market risks, including interest rate and prepayment risk. These instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (&#x201C;swaptions&#x201D;), TBA contracts without intent to accept delivery (&#x201C;TBA derivatives&#x201D;), options on TBA contracts (&#x201C;MBS options&#x201D;), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments. The Company may also invest in other types of mortgage derivatives such as interest-only securities and synthetic total return swaps, such as the Markit IOS Synthetic Total Return Swap Index. Derivatives are accounted for in accordance with the Financial Accounting Standards Board (&#x201C;FASB&#x201D;) Accounting Standards Codification (&#x201C;ASC&#x201D;) 815, <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Derivatives and Hedging</font>, which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). None of the Company&#x2019;s derivative transactions have been designated as hedging instruments for accounting purposes.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Some derivative agreements contain provisions that allow for netting or setting off by counterparty; however, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Interest rate swap agreements -</font> Interest rate swaps are the primary instrument used to mitigate interest rate risk. In particular, the Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Swap agreements may or may not be cleared through a derivatives clearing organization (&#x201C;DCO&#x201D;). Uncleared swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared swaps are fair valued using the DCO&#x2019;s market values.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Interest rate swaptions -</font> Interest rate swaptions are purchased/sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount,&#xA0; stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid/received for interest rate swaptions is reported as an asset/liability in the Consolidated Statements of Financial Condition. The difference between the premium and the fair value of the swaption is reported in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received/paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid. <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The fair value of interest rate swaptions is estimated using internal pricing models and compared to the counterparty market value.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> TBA Dollar Rolls -</font> TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).</div> <div><br /></div> <div style="MARGIN-BOTTOM: 12pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> MBS Options &#x2013;</font> MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).</div> <div style="MARGIN-BOTTOM: 12pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Futures Contracts</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic">&#xA0;</font>- Futures contracts are derivatives that track the prices of specific assets. Short sales of futures contracts help mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts that are settled daily with Futures Commission Merchants (&#x201C;FCMs&#x201D;). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Forward purchase commitments</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>&#x2013; The Company may enter into forward purchase commitments with counterparties whereby the Company commits to&#xA0;purchasing mortgage loans at a particular price, provided the mortgage loans close with the counterparties. Gains and losses are recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Repurchase Agreements</font> &#x2013; The Company finances the acquisition of a significant portion of its Agency mortgage-backed securities with repurchase agreements. The Company examines each of the specified criteria in ASC 860, <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Transfers and Servicing</font>, at the inception of each transaction and has determined that each of the financings meet the specified criteria in this guidance.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap as operating activities in the Consolidated Statements of Cash Flows.</div> <div><br /></div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Goodwill and Intangible Assets</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>&#x2013;<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>The Company&#x2019;s acquisitions are accounted for using the acquisition method. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain.</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. An impairment of the goodwill associated with the Company&#x2019;s acquisition of Fixed Income Discount Advisory Company (&#x201C;FIDAC&#x201D;) was recorded during the year ended December 31, 2015.</div> </div> </div> </div> </div> </div> </div> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> Finite life intangible assets are amortized over their expected useful lives.</div> <div style="FONT-WEIGHT: normal"><strong><br /></strong></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <strong><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Convertible Senior Notes</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> &#x2013;</font></strong> The Company recorded the 4% Convertible Senior Notes and 5% Convertible Senior Notes (collectively, the &#x201C;Convertible Senior Notes&#x201D;) at their contractual amounts, adjusted by the effects of a beneficial conversion feature and a contingent beneficial conversion feature (collectively, the &#x201C;Conversion Features&#x201D;). The Conversion Features&#x2019; intrinsic value is included in &#x201C;Additional paid-in capital&#x201D; on the Company&#x2019;s Consolidated Statements of Financial Condition and reduces the recorded liability amount associated with the Convertible Senior Notes. A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common stockholders. The 4% and 5% Convertible Senior Notes matured in February 2015 and May 2015, respectively.</div> <div style="FONT-WEIGHT: normal"><strong><br /></strong></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <strong><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Stock Based Compensation</font> &#x2013;</strong> The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award.</div> <div style="FONT-WEIGHT: normal"><strong><br /></strong></div> <div style="MARGIN-BOTTOM: 12pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <strong><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Income Taxes</font> &#x2013;</strong> The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. Accordingly, the Company will not be subject to federal income tax to the extent of its distributions to stockholders and as long as certain asset, income and stock ownership tests are met. The Company and certain of its direct and indirect subsidiaries, including FIDAC, RCap and certain subsidiaries of ACREG and Hatteras, have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (&#x201C;TRSs&#x201D;). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The provisions of ASC 740, Income Taxes, (&#x201C;ASC 740&#x201D;) clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were necessary as of September 30, 2016 and December 31, 2015.</div> </div> </div> <div>&#xA0;</div> <div style="CLEAR: both"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Use of Estimates</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>&#x2013;<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.</div> <div><br /></div> <div style="FONT-WEIGHT: bold">Commercial Real Estate Investments</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Commercial Real Estate Debt Investments</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> -</font> <font style="FONT-WEIGHT: normal"><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The Company&#x2019;s commercial real estate debt investments are comprised of commercial mortgage-backed securities and loans held by consolidated collateralized financing entities. Commercial mortgage-backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss).</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>Management evaluates commercial mortgage-backed securities for other-than-temporary impairment at least quarterly. See the &#x201C;Commercial Real Estate Investments&#x201D; Note for additional information regarding the consolidated collateralized financing entities.</font></div> <div><br /></div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Commercial Real Estate Loans</font> &#x2013; The Company's commercial real estate loans are comprised of fixed-rate and adjustable-rate loans. The Company designates loans as held for investment if it has the intent and ability to hold the loans until maturity or payoff. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans that are designated as held for investment and are originated or purchased by the Company are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary.</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> If the Company intends to sell or securitize the loans and the financing vehicle is not expected to be consolidated, they are classified as held for sale. Commercial real estate loans that are designated as held for sale are carried at the lower of amortized cost or fair value and recorded as Commercial Loans held for sale in the accompanying Consolidated Statements of Financial Condition. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of commercial real estate loans held for sale on an individual loan basis. The Company has elected the fair value option for multi-family mortgage loans held in securitization trusts that it was required to consolidate. Preferred equity interests are designated as held for investment and are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary. See &#x201C;Commercial Real Estate Investments&#x201D; Note for additional information.</div> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Investments in Commercial Real Estate</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>&#x2013; Investments in commercial real estate are carried at historical cost less accumulated depreciation. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance that are not reimbursed by tenants are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows:</div> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 50.39%; VERTICAL-ALIGN: top"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> <u>Category</u></div> </td> <td style="WIDTH: 49.61%; VERTICAL-ALIGN: top"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> <u>Term</u></div> </td> </tr> <tr> <td style="WIDTH: 50.39%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Building</div> </td> <td style="WIDTH: 49.61%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> 30 - 40 years</div> </td> </tr> <tr> <td style="WIDTH: 50.39%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Site improvements</div> </td> <td style="WIDTH: 49.61%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> 1 - 28 years</div> </td> </tr> </table> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company follows the acquisition method of accounting for acquisitions of operating real estate held for investment, where the purchase price of operating real estate is allocated to tangible assets such as land, building, site improvements and other identified intangibles such as above/below market and in-place leases.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company applies the equity method of accounting for <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> its investments in joint ventures where it is not considered to have a controlling financial interest. Under the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method.</font></div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company evaluates whether real estate acquired in connection with a foreclosure (&#x201C;REO&#x201D;) or Uniform Commercial Code (&#x201C;UCC&#x201D;)/deed in lieu of foreclosure (herein collectively referred to as a foreclosure) constitutes a business and whether business combination accounting is applicable. Upon foreclosure of a property, the excess of the carrying value of a loan, if any, over the estimated fair value of the property, less estimated costs to sell, is charged to provision for loan losses.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Investments in commercial real estate, including REO, that do not meet the criteria to be classified as held for sale are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded.</div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; CLEAR: both"> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company's real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property's value is considered impaired if the Company's estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Revenue Recognition &#x2013; Commercial Real Estate Investments</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> -</font> Interest income is accrued based on the outstanding principal amount of the commercial real estate loans and preferred equity interests held for investment (collectively referred to as &#x201C;CRE Debt and Preferred Equity Investments&#x201D;) and their contractual terms. Premiums and discounts associated with the purchase of CRE Debt and Preferred Equity Investments are amortized or accreted into interest income over the projected lives of the CRE Debt and Preferred Equity Investments using the interest method.</div> <div><br /></div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Corporate Debt</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Corporate Loans</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> &#x2013;</font> The Company&#x2019;s investments in corporate loans are designated as held for investment when the Company has the intent and ability to hold the investment until maturity or payoff. These investments are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method. These investments typically take the form of senior secured loans primarily in first lien and second lien loans. The Company&#x2019;s senior secured loans generally have stated maturities of three to eight years. In connection with these senior secured loans the Company receives a security interest in certain of the assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to the least amount of credit risk given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. To date, the majority of the Company&#x2019;s investments have been funded term loans versus debt securities.</div> </div> </div> <div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Corporate Debt Securities</font> &#x2013; The Company&#x2019;s investments in corporate debt securities are designated as held-to-maturity when the Company has the intent and ability to hold the investments until maturity. These investments are carried at their principal balance outstanding plus any premiums or discounts less other-than-temporary impairment. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method.</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> Impairment of Securities and Loans</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Other-Than-Temporary Impairment</font> &#x2013; Management evaluates available-for-sale securities and held-to-maturity debt securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For available-for-sale securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss), while the balance of losses related to other factors will be recognized as a component of other comprehensive income (loss). If the fair value is less than the cost of a held-to-maturity security, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security. There was no other-than-temporary impairment recognized for the quarters ended September 30, 2016 and 2015.</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Allowance for Losses</font> &#x2013; The Company evaluates the need for a loss reserve on its CRE Debt and Preferred Equity Investments and its corporate loans. A provision for losses related to CRE Debt and Preferred Equity Investments and corporate loans, including those accounted for under ASC 310-30, <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Loans and Debt Securities Acquired with Deteriorated Credit Quality</font>, may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectable. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages if applicable and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date.</div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; CLEAR: both"> <div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company&#x2019;s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company&#x2019;s investment underwriting procedures include evaluation of the underlying borrowers&#x2019; ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics upon either the origination or the acquisition of a new investment but generally does not update the loan-to-value metrics in the course of quarterly surveillance. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (&#x201C;NOI&#x201D;), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company&#x2019;s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower&#x2019;s ability to refinance its respective assets at the maturity of each loan. Management also reviews economic trends, both macro and those affecting the property specifically, and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower&#x2019;s financial performance in light of industry developments, management changes and company-specific considerations.</div> </div> </div> </div> <div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> In connection with the quarterly surveillance review process, CRE Debt and Preferred Equity Investments are assigned an internal risk rating. Effective December 31, 2015, the loan risk ratings were enhanced to reflect guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The initial internal risk ratings (&#x201C;Initial Ratings&#x201D;) are based on loan-to-values and the NOI debt yields of the underlying collateral of the Company&#x2019;s CRE Debt and Preferred Equity Investments and based upon leverage and cash flow coverages of the borrowers&#x2019; debt and operating obligations. The final internal risk ratings are influenced by other quantitative and qualitative factors that can result in an adjustment to the Initial Ratings, subject to review and approval by the respective committee. The internal risk rating categories include &#x201C;Performing&#x201D;, &#x201C;Performing - Closely Monitored&#x201D;, &#x201C;Performing - Special Mention&#x201D;, &#x201C;Substandard&#x201D;, &#x201C;Doubtful&#x201D; or &#x201C;Loss&#x201D;. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserve management&#x2019;s close attention and if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The presentation of prior period internal risk ratings have been revised to conform to the current period presentation.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <em><strong>Nonaccrual Status</strong></em> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> &#x2013;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">If collection of a loan&#x2019;s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued, but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt, but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment</font> within a reasonable period of time and there is a sustained period of repayment performance by the borrower.</div> </div> <div> <div> <div><br /></div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company did not have any impaired loans, nonaccrual loans, or loans in default as all of the loans were performing as of September 30, 2016 and December 31, 2015. Accordingly, no allowance for loan losses was deemed necessary as of September 30, 2016 and December 31, 2015.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> Broker Dealer Activities</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Reverse Repurchase Agreements</font> &#x2013; RCap enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Margin calls are made by RCap as necessary based on the daily valuation of the underlying collateral as compared to the contract price. RCap generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. RCap&#x2019;s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and RCap requires counterparties to deposit additional collateral when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give RCap the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. Substantially all of RCap&#x2019;s reverse repurchase activity is with affiliated entities.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> Recent Accounting Pronouncements</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company considers the applicability and impact of all Accounting Standards Updates (&#x201C;ASUs&#x201D;). ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption.</div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Standard</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Description</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effective Date</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effect on the financial statements or other significant matters</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> Standards that are not yet adopted</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top">&#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top">&#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top">&#xA0;</td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> ASU 2016-13 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments</font></div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> This ASU updates the existing incurred loss model to a current expected credit loss model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, debt securities, trade receivables, net investments in leases, off balance sheet credit exposures and any other financial assets not excluded from the scope. There are also changes to the accounting for available for sale debt securities.</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> January 1, 2020 (early adoption permitted)</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The Company is assessing the impact to the consolidated financial statements.</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Standard</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Description</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effective Date</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Effect on the financial statements or other significant matters</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> Standards that were adopted</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> ASU 2014-13, <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity</font></div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> This update provides a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis.</div> </td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> January 1, 2016 (early adoption permitted)</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The Company early adopted this ASU in the first quarter of 2015 and applied the guidance to commercial mortgage backed securitization transactions. See "Variable Interest Entity" footnote for further disclosure.</div> </td> </tr> <tr> <td style="WIDTH: 25.17%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 25%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> </table> </div> </div> <div style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <div style="TEXT-ALIGN: left"><font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> 23.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> RCAP REGULATORY REQUIREMENTS</font></div> <div><br /></div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> RCap is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees.</div> <div><br /></div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">As a self-clearing, registered broker dealer, RCap is required to maintain minimum net capital by FINRA. As of</font> September 30, 2016 <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">RCap had a minimum net capital requirement of $0.3 million. RCap consistently operates with capital in excess of its regulatory capital requirements. RCap&#x2019;s regulatory net capital as defined by SEC Rule 15c3-1, as of</font> September 30, 2016 <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">was $391.2 million with excess net capital of $390.9 million.</font></div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The following table summarizes the aggregate consideration and preliminary fair value of the assets acquired and liabilities assumed recognized at the acquisition date, which is subject to change if new information becomes available:</div> <div><br /> &#xA0;</div> </div> </div> </div> </div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Purchase Price Allocation (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Consideration transferred:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Cash</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 521,082</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Common Equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 997,707</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Preferred Shares:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Exchange of Hatteras preferred stock for Annaly preferred stock</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 278,252</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Preferred stock fair value adjustment</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9,248</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Preferred Shares</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 287,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total Consideration</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,806,289</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Net Assets:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Cash</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 562,780</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Agency mortgage-backed securities, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 10,863,070</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Credit risk transfer securities, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 116,770</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Residential mortgage loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 360,447</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Mortgage servicing rights</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 355,820</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 8,677</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Principal receivable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 438,005</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Accrued interest and dividend receivable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 83,814</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 57,250</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total Assets Acquired</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,846,633</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Repurchase agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 10,422,757</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other secured financing</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 35,769</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Securitized debt of consolidated VIEs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 54,135</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 349,922</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends payable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 670</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Payable for investments purchased</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,643</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Accrued interest payable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,833</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Accounts payable and other liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 97,039</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total Liabilities Assumed</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 10,967,768</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Net Assets Acquired</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,878,865</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Bargain Purchase Gain</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 72,576</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> -0.50 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Use of Estimates</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>&#x2013;<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic">&#xA0;</font>The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.</div> P1Y8M12D <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <div style="MARGIN-BOTTOM: 8pt"> <div style="FONT-SIZE: 8pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> 15.</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> COMMON STOCK AND PREFERRED STOCK</font></div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company&#x2019;s authorized shares of capital stock, par value of $0.01 per share, consists of 1,945,437,500 shares classified as common stock, 7,412,500 shares classified as 7.875% Series A Cumulative Redeemable Preferred Stock, 4,600,000 shares classified as 6.00% Series B Cumulative Convertible Preferred Stock, 12,650,000 shares classified as 7.625% Series C Cumulative Redeemable Preferred Stock, 18,400,000 shares classified as 7.50% Series D Cumulative Redeemable Preferred Stock and 11,500,000 shares classified as 7.625% Series E Cumulative Redeemable Preferred Stock.</div> <div><br /></div> <div> <table class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 18.75pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> (A)</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Common Stock</div> </td> </tr> </table> </div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 1,018,857,866 and 935,929,561 shares of common stock, respectively, with a par value of $0.01 per share. <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> In July 2016, the Company issued 93.9 million shares of common shares as part of the consideration for the Hatteras Acquisition.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> No options were exercised during the nine months ended September 30, 2016 and 2015.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> During the nine months ended September 30, 2016, the Company raised $1.8 million, by issuing 172,000 shares, through the Direct Purchase and Dividend Reinvestment Program. During the nine months ended September 30, 2015, the Company raised $1.7 million, by issuing 168,000 shares, through the Direct Purchase and Dividend Reinvestment Program.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> In August 2015, the Company announced that its board of directors (&#x201C;Board&#x201D;) had authorized the repurchase of up to $1.0 billion of its outstanding common shares through December 31, 2016 (&#x201C;Repurchase Program&#x201D;). During the nine months ended September 30, 2016, the Company repurchased 11,132,226 shares of its common stock under the Repurchase Program for an aggregate amount of $102.7 million. All common shares purchased were part of a publicly announced plan in open-market transactions.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> In March 2012, the Company entered into six separate Distribution Agency Agreements (&#x201C;Distribution Agency Agreements&#x201D;) with each of Merrill Lynch; Pierce, Fenner &amp; Smith Incorporated; Credit Suisse Securities (USA) LLC; Goldman, Sachs &amp; Co.; J.P. Morgan Securities LLC; Morgan Stanley &amp; Co. LLC; and RCap Securities, Inc. (together, the Agents). Pursuant to the terms of the Distribution Agency Agreements, the Company may sell from time to time through the Agents, as its sales agents, up to 125,000,000 shares of the Company&#x2019;s common stock. The Company did not make any sales under the Distribution Agency Agreements during the <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">nine months</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>ended September 30, 2016 and 2015.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> (B) Preferred Stock</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 7,412,500 shares of Series A Cumulative Redeemable Preferred Stock (&#x201C;Series A Preferred Stock&#x201D;), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series A Preferred Stock is entitled to a dividend at a rate of 7.875% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series A</div> </div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> </div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company's option commencing on April 5, 2009 (subject to the Company's right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve its qualification as a REIT). Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock.</div> <div style="FONT-WEIGHT: normal"><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 12,000,000 shares of Series C Cumulative Redeemable Preferred Stock (&#x201C;Series C Preferred Stock&#x201D;), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series C Preferred Stock is entitled to a dividend at a rate of 7.625% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series C Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company&#x2019;s option commencing on May 16, 2017 (subject to the Company&#x2019;s right under limited circumstances to redeem the Series C Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock.</div> <div style="FONT-WEIGHT: normal"><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 18,400,000 shares of Series D Cumulative Redeemable Preferred Stock (&#x201C;Series D Preferred Stock&#x201D;), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series D Preferred Stock is entitled to a dividend at a rate of 7.50% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series D Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company&#x2019;s option commencing on September 13, 2017 (subject to the Company&#x2019;s right under limited circumstances to redeem the Series D Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series D Preferred Stock. <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> At September 30, 2016, the Company had issued and outstanding 11,500,000 shares of Series E Cumulative Redeemable Preferred Stock (&#x201C;Series E Preferred Stock&#x201D;), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series E Preferred Stock is entitled to a dividend at a rate of 7.625% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series E Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company&#x2019;s option commencing on August 27, 2017 (subject to the Company&#x2019;s right under limited circumstances to redeem the Series E Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). The Series E Preferred Stock was issued in July 2016 as part of the Hatteras Acquisition, refer to the &#x201C;Acquisition of Hatteras&#x201D; Note for additional information. Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series E Preferred Stock.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The 7.875% Series A Preferred Stock, 7.625% Series C Preferred Stock, 7.50% Series D Preferred Stock and 7.625% Series E Preferred Stock rank senior to the common stock of the Company.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> (C) Distributions to Stockholders</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The following table provides a summary of the Company&#x2019;s dividend distribution activity for the periods presented:</div> </div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands, except per share data)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Distributions declared to common stockholders</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 857,223</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 852,989</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Distributions declared per common share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.90</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.90</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Distributions paid to common stockholders after period end</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 269,111</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 284,348</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Distributions paid per common share after period end</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.26</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.30</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Date of distributions paid to common stockholders after period end</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: right"> October 31, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: right"> October 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared to Series A Preferred stockholders</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 10,944</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 10,944</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared per Series A Preferred share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.477</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.477</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared to Series C Preferred stockholders</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,157</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,157</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared per Series C Preferred share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.430</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.430</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared to Series D Preferred stockholders</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 25,875</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 25,875</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared per Series D Preferred share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.406</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.406</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared to Series E Preferred stockholders</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,811</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 60%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Dividends declared per Series E Preferred share</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.477</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div style="MARGIN-BOTTOM: 6pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The following table presents the estimated fair values of investments measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented.</div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 1</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 2</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 3</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Total</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Assets:</div> </td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Credit risk transfer securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 669,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 669,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Non-Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,460,261</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,460,261</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Residential mortgage loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 310,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 310,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Mortgage servicing rights</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Commercial real estate debt investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,319,077</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,319,077</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 26,985</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 60,936</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 87,921</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 26,985</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 80,409,075</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 80,928,229</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Liabilities:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Securitized debt of consolidated VIEs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,712,821</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,712,821</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,919,492</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,919,492</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 70,784</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,661</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,445</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 70,784</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 6,634,974</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 6,705,758</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 1</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 2</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Level 3</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Total</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Assets:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 65,718,224</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 65,718,224</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Agency debentures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 152,038</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 152,038</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Credit risk transfer securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 456,510</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 456,510</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Non-Agency mortgage-backed securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 906,722</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 906,722</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Commercial real estate debt investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,911,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,911,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,443</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9,623</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 22,066</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,443</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 70,174,587</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 70,187,030</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Liabilities:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Securitized debt of consolidated VIEs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,366,878</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,366,878</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Other derivatives</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 32,778</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,185</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 49,963</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 32,778</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,061,634</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,094,412</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> 2016 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div style="MARGIN-BOTTOM: 6pt; TEXT-ALIGN: justify"><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> 21.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> LEASE COMMITMENTS AND CONTINGENCIES</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: justify"> Commitments</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The Company had a non-cancelable lease for office space which commenced in May 2002 and expired in December 2014. In September 2014, the Company entered into a non-cancelable lease for office space which commenced in July 2014 and expires in September 2025. FIDAC had a lease for office space which commenced in October 2010 and expired in February 2016, which was not renewed. The lease expense for each of the quarters ended</font> September 30, 2016 and 2015 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">was $0.8 million. The Company&#x2019;s aggregate future minimum lease payments totaled $33.8 million. The following table details the future lease payments.</font></div> </div> </div> <div>&#xA0;</div> <div>&#xA0;</div> <div> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Years Ending December 31,</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Lease Commitments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2016 (remaining)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 924</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2017</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,697</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2018</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,641</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2019</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,565</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2020</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,652</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Later years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 18,343</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 33,822</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /></div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: justify"> Contingencies</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. There were no material contingencies as of September 30, 2016 and December 31, 2015.</div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Mortgage Servicing Rights (&#x201C;MSRs&#x201D;) &#x2013;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">MSRs represent the rights associated with servicing contracts obtained in connection with the Hatteras Acquisition or through the subsequent purchase of such rights from third parties with the intention of holding them as investments. The Company and its subsidiaries do not originate or directly service mortgage loans. Rather, the Company utilizes duly licensed subservicers to perform substantially all servicing functions for the loans underlying the MSRs. The Company elected to account for all of its investments in MSRs at fair value; as such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).</font></div> 12.90 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Allowance for Losses</font> &#x2013; The Company evaluates the need for a loss reserve on its CRE Debt and Preferred Equity Investments and its corporate loans. A provision for losses related to CRE Debt and Preferred Equity Investments and corporate loans, including those accounted for under ASC 310-30, <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Loans and Debt Securities Acquired with Deteriorated Credit Quality</font>, may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectable. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages if applicable and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date.</div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; CLEAR: both"> <div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company&#x2019;s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company&#x2019;s investment underwriting procedures include evaluation of the underlying borrowers&#x2019; ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics upon either the origination or the acquisition of a new investment but generally does not update the loan-to-value metrics in the course of quarterly surveillance. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (&#x201C;NOI&#x201D;), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company&#x2019;s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower&#x2019;s ability to refinance its respective assets at the maturity of each loan. Management also reviews economic trends, both macro and those affecting the property specifically, and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower&#x2019;s financial performance in light of industry developments, management changes and company-specific considerations.</div> </div> </div> </div> <div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> In connection with the quarterly surveillance review process, CRE Debt and Preferred Equity Investments are assigned an internal risk rating. Effective December 31, 2015, the loan risk ratings were enhanced to reflect guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The initial internal risk ratings (&#x201C;Initial Ratings&#x201D;) are based on loan-to-values and the NOI debt yields of the underlying collateral of the Company&#x2019;s CRE Debt and Preferred Equity Investments and based upon leverage and cash flow coverages of the borrowers&#x2019; debt and operating obligations. The final internal risk ratings are influenced by other quantitative and qualitative factors that can result in an adjustment to the Initial Ratings, subject to review and approval by the respective committee. The internal risk rating categories include &#x201C;Performing&#x201D;, &#x201C;Performing - Closely Monitored&#x201D;, &#x201C;Performing - Special Mention&#x201D;, &#x201C;Substandard&#x201D;, &#x201C;Doubtful&#x201D; or &#x201C;Loss&#x201D;. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserve management&#x2019;s close attention and if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The presentation of prior period internal risk ratings have been revised to conform to the current period presentation.</div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The following table details the future lease payments.</font></div> </div> </div> <div>&#xA0;</div> <div>&#xA0;</div> <div> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Years Ending December 31,</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Lease Commitments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2016 (remaining)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 924</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2017</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,697</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2018</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,641</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2019</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,565</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2020</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,652</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Later years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 18,343</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 33,822</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div style="MARGIN-BOTTOM: 10pt; TEXT-ALIGN: justify"><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> 24.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> RELATED PARTY TRANSACTIONS</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic; TEXT-ALIGN: justify"> Investment in Affiliate and Advisory Fees</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> In August 2015, FIDAC entered into an agreement with Chimera Investment Corporation (&#x201C;Chimera&#x201D;) to internalize the management of Chimera. As part of the agreement, the companies agreed to terminate the management agreement between FIDAC and Chimera effective August 5, 2015.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> In connection with the transaction, Annaly and Chimera entered into a share repurchase agreement pursuant to which Chimera purchased the Company&#x2019;s approximate 9.0 million shares of Chimera at an aggregate price of $126.4 million. The share repurchase agreement closed in August 2015.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">For the quarter and nine months ended</font> September 30<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">, 2016, the Company did not record any advisory fees. For the quarter and nine months ended</font> September 30<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">, 2015, the Company recorded advisory fees from Chimera totaling $3.8 million and $24.8 million, respectively. In August 2014, the management agreement between FIDAC and Chimera was amended and restated to amend certain of the terms and conditions of the prior agreement. Among other amendments to the terms of the prior agreement, effective August 8, 2014, the management fee was increased from 0.75% to 1.20% of Chimera&#x2019;s gross stockholders&#x2019; equity (as defined in the amended and restated management agreement).</font></div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic; TEXT-ALIGN: justify"> Management Agreement</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company and the Manager have entered into a management agreement pursuant to which the Company&#x2019;s management is conducted by the Manager through the authority delegated to it in the Management Agreement and pursuant to the policies established by the Board (the &#x201C;Externalization&#x201D;). The management agreement was effective as of July 1, 2013 and applicable for the entire 2013 calendar year and was subsequently amended on November 5, 2014 and April 11, 2016 (the management agreement, as amended and restated, is referred to as &#x201C;Management Agreement&#x201D;).</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">Pursuant to the terms of the Management Agreement, the Company pays the Manager a monthly management fee in an amount equal to 1/12th of 1.05% of stockholders&#x2019; equity, as defined in the Management Agreement, for its management services.</font> For the quarters ended September 30, 2016 and 2015, the compensation and management fee was $38.7 million <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; BACKGROUND-COLOR: #ffffff"> and $37.5 million, respectively</font>. For the nine months ended September 30, 2016 and 2015, the compensation and management fee was $111.8 million <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; BACKGROUND-COLOR: #ffffff"> and $113.1 million, respectively</font>. At September 30, 2016 and December 31, 2015, the Company had amounts payable to the Manager of $12.7 million and $12.1 million, respectively.</div> </div> </div> <div>&#xA0;</div> <div style="CLEAR: both"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; CLEAR: both"> The Management Agreement provides for a term ending December 31, 2016 with automatic two-year renewals unless at least two-thirds of the Company&#x2019;s independent directors or the holders of a majority of the Company&#x2019;s outstanding shares of common stock elect to terminate the agreement in their sole discretion for any or no reason. At any time during the term or any renewal term the Company may deliver to the Manager written notice of the Company&#x2019;s intention to terminate the Management Agreement. The Company must designate a date not less than one year from the date of the notice on which the Management Agreement will terminate. The Management Agreement also provides that the Manager may terminate the Management Agreement by providing to the Company prior written notice of its intention to terminate the Management Agreement no less than one year prior to the date designated by the Manager on which the Manager would cease to provide services or such earlier date as determined by the Company in its sole discretion.</div> <div>&#xA0;</div> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Following the Externalization, the Company continues to retain employees at certain of the Company&#x2019;s subsidiaries for regulatory or corporate efficiency reasons. All compensation expenses associated with such retained employees reduce the amount paid to the Manager.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Management Agreement may be amended or modified by agreement between the Company and the Manager. There is no termination fee for a termination of the Management Agreement by either the Company or the Manager.</div> </div> </div> </div> </div> 953301855 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <strong><em>Nonaccrual Status</em></strong> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> &#x2013;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">If collection of a loan&#x2019;s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued, but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt, but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment</font> within a reasonable period of time and there is a sustained period of repayment performance by the borrower.</div> </div> <div> <div> <div><br /></div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The Company did not have any impaired loans, nonaccrual loans, or loans in default as all of the loans were performing as of September 30, 2016 and December 31, 2015. Accordingly, no allowance for loan losses was deemed necessary as of September 30, 2016 and December 31, 2015.</div> </div> </div> </div> -0.50 <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> 13. <a id="DERIVATIVEINSTRUMENTS" name="DERIVATIVEINSTRUMENTS"> <!--Anchor--></a>DERIVATIVE INSTRUMENTS</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> In connection with the Company&#x2019;s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, MBS options, U.S. Treasury or Eurodollar futures contracts and certain forward purchase commitments to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by the counterparty, the Company could have difficulty obtaining its cash or Residential Investment Securities pledged as collateral as well as receiving payments in accordance with the terms of the derivative contracts.</div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">The table below summarizes fair value information about our derivative assets and liabilities as of</font> September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">and December 31, 2015:</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <table id="z35ce1f17830846fc8d731633ccbc0ff2" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Derivatives Instruments</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Balance Sheet Location</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left; TEXT-INDENT: 11.05pt"> Assets:</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest rate swaps</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest rate swaps, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest rate swaptions</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,527</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> TBA derivatives</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 59,360</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,622</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Futures contracts</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 26,986</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Purchase commitments</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 48</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 201,174</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 41,708</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Liabilities:</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest rate swaps</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest rate swaps, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,919,492</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest rate swaptions</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> TBA derivatives</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 547</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 17,185</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Futures contracts</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 70,784</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 32,778</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Purchase commitments</div> </td> <td style="WIDTH: 30%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 30%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,992,937</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,727,534</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> <div style="MARGIN-BOTTOM: 8pt">The following table summarizes certain characteristics of the Company&#x2019;s interest rate swaps at September 30, 2016 and December 31, 2015:</div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <table id="z3c685b573d4e4f9896071954c66b8d94" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Current Notional <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Pay Rate <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2) (3)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Receive Rate <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Years to Maturity <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 0 - 3 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,552,383</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.74</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.76</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2.77</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 3 - 6 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,675,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.92</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.88</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.14</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 6 - 10 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 7,363,550</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2.34</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.98</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 7.81</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Greater than 10 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,634,400</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.67</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18.62</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total / Weighted Average</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,225,333</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2.25</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.88</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6.89</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Current Notional <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Pay Rate <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2) (3)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Receive Rate <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Years to Maturity <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 0 - 3 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,240,436</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.85</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.36</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.80</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 3 - 6 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,675,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.82</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.55</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.25</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 6 - 10 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,635,250</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2.44</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.57</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 7.92</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Greater than 10 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,634,400</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.43</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19.37</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total / Weighted Average</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 30,185,086</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2.26</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.53</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 7.02</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div> <table id="z8620b904824f4e86bc0c9f41f3d54fcd" class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 36pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; MARGIN-LEFT: 18pt"> (1)</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> There were no forward starting swaps as of September 30, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015.</div> </td> </tr> </table> </div> <div> <table id="ze1aa931f3fd74392b26c63d6381542c0" class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 36pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; MARGIN-LEFT: 18pt"> (2)</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Excludes forward starting swaps.</div> </td> </tr> </table> </div> <div> <table id="zb87bb94f8be24755bd6d496cd84ec6c6" class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 36pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; MARGIN-LEFT: 18pt"> (3)</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> There were no forward starting swaps as of September 30, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015.</div> </td> </tr> </table> </div> </div> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The following table presents swaptions outstanding as of September 30, 2016. There were no swaptions as of December 31, 2015.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <table id="zc001a8424df346ac864072973dbc935d" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Current Underlying Notional</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Underlying Pay Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Underlying Receive Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Underlying Years to Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Months to Expiration</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; FONT-WEIGHT: bold; TEXT-ALIGN: center" valign="bottom" colspan="18">(dollars in thousands)</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Long</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 950,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(204,238,255)"> &#xA0;1.08%</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 3M LIBOR</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 2.24</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 2.77</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Short</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (200,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 3M LIBOR</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;1.54%</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 10.25</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 2.77</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">The following table summarizes certain characteristics of the Company&#x2019;s TBA derivatives as of</font> September 30, 2016 and December 31, 2015<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">:</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <table id="ze16dad5e7ac84f79b1c137d1b4cf8a9a" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Purchase and sale contracts for derivative TBAs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Implied Cost Basis</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Implied Market Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Net Carrying Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Purchase contracts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 15,950,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 16,671,196</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 16,730,009</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 58,813</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Purchase and sale contracts for derivative TBAs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Implied Cost Basis</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Implied Market Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Net Carrying Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Purchase contracts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 13,761,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 14,177,338</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 14,169,775</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (7,563</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> <div style="MARGIN-BOTTOM: 8pt">The following table summarizes certain characteristics of the Company&#x2019;s futures derivatives as of September 30, 2016 and December 31, 2015:</div> </div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <table id="z5fc54159eb1f40ae9864e3356249e3e8" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional - Long Positions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional - Short Positions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Years to Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2-year swap equivalent Eurodollar contracts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (14,991,375</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2.00</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> U.S. Treasury futures - 5 year</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (1,247,200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.42</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (16,238,575</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2.19</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; 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VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional - Long Positions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional - Short Positions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Years to Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2-year swap equivalent Eurodollar contracts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (7,000,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2.00</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> U.S. Treasury futures - 5 year</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (1,847,200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.42</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> U.S. Treasury futures - 10 year and greater</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (655,600</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6.92</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (9,502,800</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2.81</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> <div style="MARGIN-BOTTOM: 8pt"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company presents derivative contracts on a gross basis on the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. The following tables present information about <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition as of</font> September 30, 2016 and December 31, 2015<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">, respectively.</font></div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <table id="z39ed3416e36549a1979ade3ef606af67" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amounts Eligible for Offset</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Gross Amounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Financial Instruments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Cash Collateral</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Net Amounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Assets:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaptions, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,527</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (1,527</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> TBA derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 59,360</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (406</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 58,954</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Futures contracts, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 26,986</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (26,986</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Purchase commitments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 48</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 48</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Liabilities:</div> </td> <td style="WIDTH: 1%; 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FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 578</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; 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FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (406</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; 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FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Purchase commitments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; 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BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amounts Eligible for Offset</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; 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BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Cash Collateral</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Net Amounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Assets:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (18,040</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,602</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> TBA derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,622</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (7,367</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,255</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Futures contracts, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,443</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (10,868</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,575</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Liabilities:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="14">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (18,040</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (913,576</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 745,955</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> TBA derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 17,185</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (7,367</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,818</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Futures contracts, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 32,778</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (10,868</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (21,910</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> <div style="MARGIN-BOTTOM: 8pt">The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows:</div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <table id="za5c7fd66ea94491bb2db2d5a55d81d06" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Location on Consolidated Statements of Comprehensive Income (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Realized Gains (Losses) on Interest Rate Swaps<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Realized Gains (Losses) on Termination of Interest Rate Swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Unrealized Gains (Losses) on Interest Rate Swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Quarters Ended:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (124,572</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,337</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 256,462</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (162,304</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (822,585</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Nine Months Ended:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (402,809</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (58,727</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (1,148,478</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (465,008</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (226,462</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (587,995</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div style="FONT-SIZE: 8pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> (1) Interest expense related to the Company&#x2019;s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).</div> <div style="FONT-SIZE: 8pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 8pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The effect of other derivative contracts on the Company&#x2019;s Consolidated Statements of Comprehensive Income (Loss) is as follows:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <table id="z35fd8abecdca41e7817147c9b6afdbba" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Quarter Ended September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Derivative Instruments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Realized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Unrealized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net TBA derivatives <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 174,086</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (78,677</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 95,409</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net interest rate swaptions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,180</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 93</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,273</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Futures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (47,035</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 110,218</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 63,183</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Purchase commitments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 162,981</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Quarter Ended September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Derivative Instruments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Realized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Unrealized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net TBA derivatives <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 168,292</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 81,560</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 249,852</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net interest rate swaptions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (11,525</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,519</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Futures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (36,468</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (105,199</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (141,667</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 108,179</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div><font style="FONT-SIZE: 8pt">(1) Includes options on TBA contracts.</font>&#xA0;</div> <div>&#xA0;</div> <table id="z23bb103246ff4a1c9c63bfc2be6961b0" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Nine Months Ended September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Derivative Instruments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Realized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Unrealized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net TBA derivatives <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 492,450</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 66,376</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 558,826</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net interest rate swaptions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,180</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 93</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,273</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Futures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (169,716</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (23,465</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (193,181</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Purchase Commitments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 370,034</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Nine Months Ended September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Derivative Instruments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Realized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Unrealized Gain (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="12"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net TBA derivatives <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 61,846</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 91,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 153,619</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net interest rate swaptions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (41,016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 35,634</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; 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TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (161,179</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (12,942</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt; FONT-SIZE: 8pt">(1) Includes options on TBA contracts.</div> <div style="MARGIN-BOTTOM: 8pt; FONT-SIZE: 8pt"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> Certain of the Company&#x2019;s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders&#x2019; equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company&#x2019;s failure to maintain its REIT status, (iii) the Company&#x2019;s failure to comply with limits on the amount of leverage, and (iv) the Company&#x2019;s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at September 30, 2016 was approximately $2.7 billion, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized.</div> </div> </div> </div> </div> </div> </div> </div> 0 11132226 <div style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> 2.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> BASIS OF PRESENTATION</font></div> <div><br /></div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP").<br /></div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company&#x2019; most recent annual report on Form 10-K. The consolidated financial information as of December 31, 2015 has been derived from audited consolidated financial statements not included herein.</div> <div style="TEXT-ALIGN: justify; MARGIN-TOP: 12pt; FONT-FAMILY: 'Times New Roman', Times, serif; MARGIN-BOTTOM: 12pt; FONT-SIZE: 10pt"> In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">Interim period operating results may not be indicative of the operating results for a full year.</font></div> </div> P1Y8M12D 14700000 486434000 -473601000 73370000 3109000 -1610014000 1082459000 7500000 13226000 2043000 -834257000 1403929000 324863000 48390000000 273091000 25307000 -418536000 6949000 7523000 76862000 370050000 1795000 -72000 858000 1081576000 929573000 926000 821000 -473601000 72576000 8022000 927678000 -415697000 -5344000 3076000 204184000 -13970000 -1166432000 -383000 26200000 72800000 1497273000 -414814000 269111000 24941000 1285207000 1519874000 0 -1148478000 13628516000 370034000 102712000 127489000 3925000 474356000 83149000 2197880000 206031000 16511000 102712000 -2427420000 10446000 22601000 134253000 1381640000 -2839000 6949000 -883000 -21634000 98542000 1315000 194903000 11771000 1253000 48390000000 107648000 -23162000 12750000 612930000 15729000 883000 41697000 58787000 8729912000 102700000 16112000 26254000 111754000 -434458000 857223000 486435000 18429000 4266000 -883000 2207211000 9100000000 415223000 2393000 <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: justify"> Internal CRE Debt and Preferred Equity Investment Ratings</div> <div><br /></div> <div> <table id="zec4f873a39404a44b2f111f87900d873" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="34"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom" colspan="2">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom" rowspan="2">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" rowspan="2" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Percentage of CRE Debt and Preferred Equity Portfolio</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" rowspan="2" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="26"> <div style="FONT-SIZE: 10pt; 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PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Performing</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Performing - Closely Monitored</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; 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BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; 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VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 43.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 92,290</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 243,528</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 132,440</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 468,258</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">Senior securitized mortgages</font><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 17,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 111,396</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Mezzanine loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 468,864</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 43.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 268,190</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 164,357</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 36,317</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 468,864</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Preferred equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.8</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,075,018</div> </td> <td style="WIDTH: 1%; 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BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 425,385</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; 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FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,075,018</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; 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VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="37"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;(1) Excludes Loans held for sale, net.&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="37"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;(2) Assets of consolidated VIE.</div> &#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="34"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" rowspan="2">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" rowspan="2" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Percentage of CRE Debt and Preferred Equity Portfolio</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" rowspan="2" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="26"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Internal Ratings&#xA0;</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Investment Type</div> </td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Outstanding Principal <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Performing</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Performing - Closely Monitored</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Performing - Special Mention</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Substandard</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Doubtful</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Loss</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Total</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Senior mortgages</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 387,314</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 28.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 71,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 283,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 33,166</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 387,314</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">Senior securitized mortgages</font><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 263,072</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 106,770</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 15,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 140,802</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 263,072</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Mezzanine loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 582,592</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 43.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 342,493</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 219,969</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 20,130</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 582,592</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Preferred equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 122,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 81,944</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 40,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 122,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,355,422</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 520,263</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; 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BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 234,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,355,422</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="37"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;(1) Excludes Loans held for sale, net.&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="37"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;(2) Assets of consolidated VIE.</div> </td> </tr> </table> </div> </div> 1795000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The following tables present commercial real estate investments held for investment at September 30, 2016 and December 31, 201<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">5</font>.</div> </div> </div> </div> </div> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> CRE Debt and Preferred Equity Investments</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Outstanding Principal</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Carrying</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Value<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Percentage of Loan Portfolio<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Outstanding Principal</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Carrying</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Value<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Percentage of Loan Portfolio<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Senior mortgages</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 468,258</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 466,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 43.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 387,314</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 385,838</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 28.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Senior securitized mortgages<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 263,072</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 262,703</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Mezzanine loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 468,864</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 466,170</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 43.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 582,592</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 578,503</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 43.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Preferred equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 8,962</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.8</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 122,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 121,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(4)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,075,018</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,070,197</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,355,422</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,348,817</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="FONT-FAMILY: 'Times New Roman', Times, serif; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="24"> <div>(1) Carrying value includes unamortized origination fees of $4.9 million and $6.9 million as of September 30, 2016 and December 31, 2015, respectively.</div> </td> <td style="WIDTH: 1%; 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VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> (3) Assets of consolidated VIEs.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="4"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> (4) Excludes Loans held for sale, net.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div>&#xA0;</div> <div> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="18"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; 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TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Mezzanine Loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Preferred Equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="18"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Beginning balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 385,838</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 262,703</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 578,503</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 121,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,348,817</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Originations &amp; advances (principal)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 159,173</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 46,858</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 206,031</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Principal payments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (78,229</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (134,176</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (160,585</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (113,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (486,434</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Amortization &amp; accretion of (premium) discounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (102</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (192</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (294</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net (increase) decrease in origination fees</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,566</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (282</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,848</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Amortization of net origination fees</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,055</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 369</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,868</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 633</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,925</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net carrying value <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 466,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 466,170</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 8,962</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,070,197</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div>(1) Assets of consolidated VIE.</div> </td> <td style="FONT-FAMILY: 'Times New Roman', Times, serif; 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VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="18"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Senior Mortgages</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Senior Securitized Mortgages<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Mezzanine Loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Preferred Equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="18"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Beginning balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 383,895</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 398,634</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 522,731</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 212,905</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,518,165</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Originations &amp; advances (principal)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 293,925</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 195,312</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 489,237</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Principal payments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (243,270</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (136,469</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (153,693</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (92,210</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (625,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Sales (principal)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (46,945</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (46,945</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Amortization &amp; accretion of (premium) discounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (142</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (232</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 517</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 143</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net (increase) decrease in origination fees</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (3,702</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (279</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (4,806</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (8,787</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Amortization of net origination fees</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,077</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 817</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 691</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 561</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,146</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Transfers</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 18,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 18,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Net carrying value <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 385,838</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 262,703</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 578,503</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 121,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,348,817</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> (1) Assets of consolidated VIE.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> (2) Excludes Loans held for sale, net.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The table below provides additional data on the Company&#x2019;s residential mortgage loans, including loans held in a securitization trust, at September 30, 2016:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Portfolio Range</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Portfolio Weighted Average</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Unpaid principal balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">164 - $1,903</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 716</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2.50% - 4.13</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3.45</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: right"> 3/5/2044 - 7/21/2046</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: right"> 6/10/2045</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> FICO score at loan origination</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">700 - 815</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 765</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Loan-to-value ratio at loan origination</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 23.73% - 80.27</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 70.56</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> </tr> </table> </div> </div> 2358314000 1661650000000 1023672000 423150000 443582000 1848000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The&#xA0;following table summarizes the Company&#x2019;s available-for-sale Residential Investment Securities as of September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">and December 31, 2015</font>, according to their estimated weighted average life classifications:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left; CLEAR: both"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Weighted Average Life</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Amortized Cost</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Amortized Cost</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Less than one year</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 654,108</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 663,561</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 37,862</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 37,850</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Greater than one year through five years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 55,394,787</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 54,543,574</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 20,278,111</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 20,066,435</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Greater than five years through ten years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,480,416</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,337,485</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 46,473,701</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 47,174,319</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Greater than ten years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 76,350</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 75,877</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 443,820</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 436,693</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 75,605,661</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 74,620,497</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 67,233,494</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 67,715,297</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> </div> 1497273000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows:</div> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 50.39%; VERTICAL-ALIGN: top"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> <u>Category</u></div> </td> <td style="WIDTH: 49.61%; VERTICAL-ALIGN: top"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> <u>Term</u></div> </td> </tr> <tr> <td style="WIDTH: 50.39%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Building</div> </td> <td style="WIDTH: 49.61%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> 30 - 40 years</div> </td> </tr> <tr> <td style="WIDTH: 50.39%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Site improvements</div> </td> <td style="WIDTH: 49.61%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> 1 - 28 years</div> </td> </tr> </table> </div> 23168000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: justify"> Rental Income</div> <div>&#xA0;</div> </div> </div> </div> <div>&#xA0;</div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2016 (remaining)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 8,189</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2017</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 31,102</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2018</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 27,504</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2019</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 23,448</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2020</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 18,877</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Later years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 56,266</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 165,386</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> </div> <div> <div style="MARGIN-BOTTOM: 6pt; TEXT-ALIGN: justify"><font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> 8.</font> <a id="COMMERCIALREALESTATEINVES" name="COMMERCIALREALESTATEINVES"><font style="FONT-SIZE: 5.14pt"> <!--Anchor--></font></a><font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold">COMMERCIAL REAL ESTATE INVESTMENTS</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> On December 11, 2015, the Company originated a $335.0 million recapitalization financing with respect to eight class A/B office properties in Orange County, California.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> As of December 31, 2015, such financing was comprised of a $280.0 million senior mortgage loan ($278.6 million, net of origination fees), and mezzanine debt with an initial principal balance of $55.0 million ($52.7 million, net of origination fees) and a future funding component of $30.0 million. The senior loan was held for sale as of December 31, 2015. In April and August 2016, the Company sold $115.0 million ($114.3 million, net of origination fees) and $20.0 million ($19.9 million, net of origination fees) of the senior loan to unrelated third parties at carrying value, accordingly, no gain or loss was recorded in connection with these sales. The balance of the senior loan of $145.0 million ($144.3 million, net of origination fees) remains held for sale as of September 30, 2016.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The following tables present commercial real estate investments held for investment at September 30, 2016 and December 31, 201<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">5</font>.</div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> CRE Debt and Preferred Equity Investments</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> <table id="z12df12bbf2cd4bf3a6550e3fcdcfdeb1" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> September 30, 2016&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Outstanding Principal</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Carrying</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Value<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Percentage of Loan Portfolio<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Outstanding Principal</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Carrying</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Value<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Percentage of Loan Portfolio<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Senior mortgages</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 468,258</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 466,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 43.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 387,314</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 385,838</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 28.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Senior securitized mortgages<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 263,072</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 262,703</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Mezzanine loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 468,864</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 466,170</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 43.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 582,592</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 578,503</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 43.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Preferred equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 8,962</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.8</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 122,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 121,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(4)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,075,018</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,070,197</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,355,422</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,348,817</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="24"> <div>(1) Carrying value includes unamortized origination fees of $4.9 million and $6.9 million as of September 30, 2016 and December 31, 2015, respectively.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="24"> <div>(2) Based on outstanding principal.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 22%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="24"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> (3) Assets of consolidated VIEs.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="24"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> (4) Excludes Loans held for sale, net.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div>&#xA0;</div> <div> <table id="zc18b57ae16cc4b8a94fd62dba4307c20" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="18"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Senior Mortgages</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Senior Securitized Mortgages<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Mezzanine Loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Preferred Equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="18"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Beginning balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 385,838</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 262,703</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 578,503</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 121,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,348,817</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Originations &amp; advances (principal)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 159,173</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 46,858</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 206,031</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Principal payments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (78,229</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (134,176</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (160,585</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (113,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (486,434</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Amortization &amp; accretion of (premium) discounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (102</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (192</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (294</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net (increase) decrease in origination fees</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (1,566</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (282</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (1,848</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Amortization of net origination fees</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,055</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 369</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,868</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 633</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,925</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net carrying value <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 466,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 466,170</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 8,962</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,070,197</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="5"> <div>&#xA0; (1) Assets of consolidated VIE.</div> </td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="5"> <div>&#xA0; 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VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="18"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Senior Mortgages</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Senior Securitized Mortgages<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Mezzanine Loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Preferred Equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="18"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Beginning balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 383,895</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 398,634</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 522,731</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 212,905</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,518,165</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Originations &amp; advances (principal)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 293,925</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 195,312</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 489,237</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Principal payments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (243,270</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (136,469</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (153,693</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (92,210</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (625,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Sales (principal)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (46,945</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (46,945</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Amortization &amp; accretion of (premium) discounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (142</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (232</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 517</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 143</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net (increase) decrease in origination fees</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (3,702</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (279</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (4,806</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (8,787</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Amortization of net origination fees</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,077</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 817</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 691</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 561</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,146</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Transfers</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Net carrying value <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 385,838</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 262,703</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 578,503</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 121,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,348,817</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="5"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;(1) Assets of consolidated VIE.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 35%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="5"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;(2) Excludes Loans held for sale, net.</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> <div>&#xA0;</div> <div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: justify"> Internal CRE Debt and Preferred Equity Investment Ratings</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company&#x2019;s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company&#x2019;s internal risk rating categories include &#x201C;Performing&#x201D;, &#x201C;Performing - Closely Monitored&#x201D;, &#x201C;Performing - Special Mention&#x201D;, &#x201C;Substandard&#x201D;, &#x201C;Doubtful&#x201D; or &#x201C;Loss&#x201D;. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserve management&#x2019;s close attention and if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The presentation of prior period internal risk ratings have been revised to conform to the current period presentation.</div> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The Company did not have any impaired loans, nonaccrual loans, or loans in default as all of the loans were performing as of September 30, 2016 and December 31, 2015. Accordingly, no allowance for loan losses was deemed necessary as of September 30, 2016 and December 31, 2015.</div> </div> <div>&#xA0;</div> <div> <table id="zec4f873a39404a44b2f111f87900d873" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="34"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom" colspan="2">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom" rowspan="2">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" rowspan="2" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Percentage of CRE Debt and Preferred Equity Portfolio</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" rowspan="2" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="26"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Internal Ratings&#xA0;</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Investment Type</div> </td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Outstanding Principal <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Performing</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Performing - Closely Monitored</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Performing - Special Mention</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Substandard</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Doubtful</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Loss</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Total</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Senior mortgages</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 468,258</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 43.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 92,290</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 243,528</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 132,440</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 468,258</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">Senior securitized mortgages</font><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 17,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 111,396</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Mezzanine loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 468,864</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 43.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 268,190</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 164,357</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 36,317</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 468,864</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Preferred equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.8</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,075,018</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 360,480</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; 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BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; 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VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="37"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;(1) Excludes Loans held for sale, net.&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="37"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;(2) Assets of consolidated VIE.</div> &#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="34"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" rowspan="2">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" rowspan="2" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Percentage of CRE Debt and Preferred Equity Portfolio</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" rowspan="2" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="26"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Internal Ratings&#xA0;</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Investment Type</div> </td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Outstanding Principal <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Performing</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Performing - Closely Monitored</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Performing - Special Mention</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Substandard</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Doubtful</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Loss</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Total</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: rgb(255,255,255)" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Senior mortgages</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 387,314</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 28.6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 71,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 283,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 33,166</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 387,314</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">Senior securitized mortgages</font><sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 263,072</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 19.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 106,770</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 15,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 140,802</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 263,072</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Mezzanine loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 582,592</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 43.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 342,493</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 219,969</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 20,130</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 582,592</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Preferred equity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 122,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 81,944</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 40,500</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 122,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,355,422</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 100.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 520,263</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 600,561</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 234,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,355,422</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 7%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="37"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;(1) Excludes Loans held for sale, net.&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> </tr> <tr> <td style="WIDTH: 10%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="37"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;(2) Assets of consolidated VIE.</div> &#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> <div style="MARGIN-BOTTOM: 8pt"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: justify"> Investments in Commercial Real Estate</div> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> There were no acquisitions of new real estate holdings during the quarter and nine months ended <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">September 30, 2016</font><font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">.</font></div> </div> </div> <div style="MARGIN-BOTTOM: 8pt"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The following table summarizes real estate held for investment acquired in 2015:</div> </div> </div> <div style="CLEAR: both"> <table id="z03ef6300118342199bc0dcb76b50ef63" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Date of Acquisition</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Type</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Location</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Original Purchase Price</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Remaining Lease</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Term (Years) <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)&#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-STYLE: italic; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-STYLE: italic; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> July 2015</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Single Tenant Retail</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Ohio</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.1</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> August 2015</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Multi Tenant Retail</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Florida</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,900</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.8</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> October 2015</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Multifamily Property</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Washington, DC</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 75,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> October 2015</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Multi Tenant Retail</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> California</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 37,750</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3.8</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> November 2015</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Multi Tenant Retail</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Texas</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 131,950</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> (1) Does not include extension options.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> In the second quarter of 2016, the Company finalized the purchase price allocation of the eleven multi-tenant retail properties portfolio (&#x201C;Texas Portfolio&#x201D;) acquired in November 2015 for a total purchase price of $132.0 million and recognized $4.2 million of additional depreciation and amortization as a result. The following presents the aggregate final purchase price allocation of the Texas Portfolio:</div> </div> </div> </div> <div>&#xA0;</div> <div> <table id="z9851c2dbfce14b1ba4ee22d230745652" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Texas</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Purchase Price Allocation:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Land</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 32,452</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Buildings</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 82,552</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Site improvements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 5,446</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Tenant Improvements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,835</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Real estate held for investment</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 127,285</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Intangible assets (liabilities):</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Leasehold intangible assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 14,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Above market lease</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 274</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Below market lease</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (10,207</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total purchase price</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 131,950</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> <div style="MARGIN-BOTTOM: 8pt"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The weighted average amortization period for intangible assets and liabilities as of September 30, 2016 is 4.7 years. Above market leases and leasehold intangible assets are included in Intangible assets, net and below market leases are included in Accounts payable and other liabilities in the Consolidated Statements of Financial Condition.</div> </div> </div> <div> <table id="zd6ac6d2cb3e44179b7ba8ac868aa2eda" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Real estate held for investment, at amortized cost</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Land</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 117,023</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 113,494</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Buildings and improvements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 355,899</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 373,603</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Subtotal</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 472,922</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 487,097</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Less: accumulated depreciation</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (32,239</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (16,886</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Total real estate held for investment, at amortized cost, net</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 440,683</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 470,211</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Equity in unconsolidated joint ventures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 59,344</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 65,735</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 66%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Investments in commercial real estate, net</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 500,027</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 535,946</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> Depreciation expense was $5.0 million and $15.7 million for the quarter and nine months ended September 30, 2016, respectively. Depreciation expense was $3.1 million and $8.8 million for the quarter and nine months ended September 30, 2015, respectively. Depreciation expense is included in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).</div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: justify"> Rental Income</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The minimum rental amounts due under leases are generally either subject to scheduled fixed increases or adjustments. The leases generally also require that the tenants reimburse us for certain operating costs. Approximate future minimum rents payments under non-cancelable operating leases in effect at September 30, 2016 for consolidated investments in real estate are as follows:</div> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table id="zd5d2ecc56bc943d1897c5dd2ee560610" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2016 (remaining)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 8,189</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2017</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 31,102</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2018</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 27,504</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2019</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 23,448</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2020</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,877</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Later years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 56,266</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 165,386</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> Mortgage loans payable as of September 30, 2016&#xA0;and December 31, 2015, were as follows:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <table id="z811c6e6099594af08eef4cdb7007446c" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Property</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Mortgage Carrying Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Mortgage Principal</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Interest Rate</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Fixed/Floating Rate</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Maturity Date</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Priority</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Joint Ventures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 285,899</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 289,125</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.03% - 4.61</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 2024 and 2025</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Tennessee</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,350</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.01</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 9/6/2019</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Virginia</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,014</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,025</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3.58</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 6/6/2019</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Arizona</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 16,080</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 16,063</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3.50</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 1/1/2017</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Nevada</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,386</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,383</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> L+200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Floating <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 3/29/2017</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 327,632</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 330,946</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; 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BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Property</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Mortgage Carrying Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Mortgage Principal</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Interest Rate</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Fixed/Floating Rate</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Maturity Date</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Priority</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Joint Ventures</div> </td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 292,658</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 296,325</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 2.30% to 4.61%</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 2016, 2024 and 2025</div> </td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Tennessee</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,228</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 12,350</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.01</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 9/6/2019</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Virginia</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,012</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,025</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3.58</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 6/6/2019</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Arizona</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 16,365</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 16,308</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3.50</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Fixed</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 1/1/2017</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Nevada</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,436</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> L+200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Floating <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> 3/29/2017</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> First liens</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 334,707</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 338,444</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;&#xA0;&#xA0;</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> (1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The following table details future mortgage loan principal payments as of September 30, 2016:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <table id="zaddae1ff1cdf4112a5e4e2d389bf5cd5" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Mortgage Loan Principal Payments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2016 (remaining)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 101</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2017</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,345</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2018</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2019</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 23,375</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2020</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Later years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 289,125</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 330,946</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> </div> </div> </div> </div> </div> </div> </div> 230000 <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">At</font> September 30, 2016 and December 31, 2015<font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates:</font></div> <div>&#xA0;</div> <div> <table id="z6efbb16f051d4c669a7cea3825cc2b09" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Agency Mortgage-backed Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> CRTs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Non-Agency Mortgage-backed Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Commercial Loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Total Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 1 day</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2 to 29 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,761,193</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 250,347</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 496,798</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 26,508,338</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.99</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 30 to 59 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,937,568</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 71,650</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 191,132</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 5,200,350</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.86</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 60 to 89 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,057,659</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 115,939</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,173,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.85</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 90 to 119 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 5,309,103</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 5,309,103</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.79</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Over 120 days<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,297,615</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 295,117</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,592,732</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.39</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 60,363,138</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 321,997</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 803,869</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 295,117</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 61,784,121</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.07</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <table id="z4ee4b8c4427847568762fccdeabd27ce" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Agency Mortgage-backed Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> CRTs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Non-Agency Mortgage-backed Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Commercial Loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Total Repurchase Agreements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 1 day</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> &#xA0;</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 2 to 29 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 20,123,464</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 83,664</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 260,359</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 20,467,487</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.69</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 30 to 59 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 7,898,646</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 59,189</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 65,374</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 8,023,209</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.74</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 60 to 89 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,046,593</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 78,833</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,125,426</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.74</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> 90 to 119 days</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,846,580</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,846,580</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.60</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Over 120 days<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,557,715</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 31,015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 179,428</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,768,158</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.33</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 55,472,998</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 142,853</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 435,581</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 179,428</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 56,230,860</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 0.90</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> %</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> </div> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: justify"> &#xA0;</div> <div style="MARGIN-BOTTOM: 8pt"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The following table summarizes real estate held for investment acquired in 2015:</div> </div> <div style="CLEAR: both"> <table id="z03ef6300118342199bc0dcb76b50ef63" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Date of Acquisition</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Type</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Location</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Original Purchase Price</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Remaining Lease</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Term (Years) <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)&#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-STYLE: italic; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-STYLE: italic; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> July 2015</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Single Tenant Retail</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Ohio</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.1</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> August 2015</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Multi Tenant Retail</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Florida</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 18,900</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.8</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> October 2015</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Multifamily Property</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Washington, DC</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 75,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1.0</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> October 2015</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Multi Tenant Retail</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> California</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 37,750</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3.8</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> November 2015</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Multi Tenant Retail</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: center"> Texas</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 131,950</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4.4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> (1) Does not include extension options.</div> </div> </div> </div> -402809000 <div style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <div style="TEXT-ALIGN: left; FONT-FAMILY: 'Times New Roman', Times, serif; MARGIN-BOTTOM: 6pt; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> 22. RISK MANAGEMENT</div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; MARGIN-BOTTOM: 6pt; FONT-SIZE: 10pt"> The primary risks to the Company are liquidity, investment/market risk and credit risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company&#x2019;s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on Interest Earning Assets and the interest expense incurred in connection with the Interest Bearing Liabilities and hedges, by affecting the spread between the Interest Earning Assets and Interest Bearing Liabilities. Changes in the level of interest rates can also affect the value of the Interest Earning Assets and the Company&#x2019;sability to realize gains from the sale of these assets. A decline in the value of the Interest Earning Assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. <div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> &#xA0;</div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> The Company may seek to mitigate the potential financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges.</div> <div><br /></div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> Weakness in the mortgage market, the shape of the yield curve and changes in the expectations for the path and volatility of future interest rates may adversely affect the performance and market value of the Company&#x2019;s investments. This could negatively impact the Company&#x2019;s book value. Furthermore, if the Company&#x2019;s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario analyses and utilizing a range of hedging strategies.</div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> &#xA0;</div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, excluding</font> CRT <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> securities issued by Freddie Mac and Fannie Mae, are guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities are backed by the full faith and credit of the U.S. government. Principal and interest on Agency debentures are guaranteed by the Agency issuing the debenture. The majority of the Company&#x2019;s Residential Investment Securities have an actual or implied &#x201C;AAA&#x201D; rating.</font></div> <div><br /></div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">The Company faces credit risk on the portions of its</font> portfolio which are not guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments, investments in commercial real estate, commercial mortgage-backed securities, CRT securities, other non-Agency mortgage-backed securities, whole loans, and corporate <font style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt">debt. MSR values may also be adversely impacted if overall costs to service the underlying mortgage loans increase due to borrower performance. The Company is exposed to risk of loss if an issuer, borrower, tenant or counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, maintaining qualifying collateral and periodically assessing the creditworthiness of issuers, borrowers, tenants and counterparties.</font></div> </div> </div> </div> </div> </div> 133021365000 In March 2012, the Company entered into six separate Distribution Agency Agreements ("Distribution Agency Agreements") with each of Merrill Lynch; Pierce, Fenner & Smith Incorporated; Credit Suisse Securities (USA) LLC; Goldman, Sachs & Co.; J.P. Morgan Securities LLC; Morgan Stanley & Co. LLC; and RCap Securities, Inc. (together, the Agents). 441121000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Other-Than-Temporary Impairment</font> &#x2013; Management evaluates available-for-sale securities and held-to-maturity debt securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For available-for-sale securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss), while the balance of losses related to other factors will be recognized as a component of other comprehensive income (loss). If the fair value is less than the cost of a held-to-maturity security, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security. There was no other-than-temporary impairment recognized for the quarters ended September 30, 2016 and 2015.</div> 294000 88062000 500000000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; FONT-STYLE: italic"> Repurchase Agreements</font> &#x2013; The Company finances the acquisition of a significant portion of its Agency mortgage-backed securities with repurchase agreements. The Company examines each of the specified criteria in ASC 860, <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-STYLE: italic"> Transfers and Servicing</font>, at the inception of each transaction and has determined that each of the financings meet the specified criteria in this guidance.</div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap as operating activities in the Consolidated Statements of Cash Flows.</div> </div> 500000000 <div> <div style="MARGIN-BOTTOM: 8pt">The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <table id="za5c7fd66ea94491bb2db2d5a55d81d06" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Location on Consolidated Statements of Comprehensive Income (Loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Realized Gains (Losses) on Interest Rate Swaps<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Realized Gains (Losses) on Termination of Interest Rate Swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold"> Unrealized Gains (Losses) on Interest Rate Swaps</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Quarters Ended:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (124,572</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,337</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 256,462</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (162,304</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (822,585</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Nine Months Ended:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (402,809</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (58,727</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (1,148,478</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> September 30, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (465,008</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (226,462</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (587,995</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div style="FONT-SIZE: 8pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> (1) Interest expense related to the Company&#x2019;s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).</div> </div> </div> </div> </div> 1489268000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The following tables present information about <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition as of</font> September 30, 2016 and December 31, 2015<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">, respectively.</font></div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amounts Eligible for Offset</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Gross Amounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Financial Instruments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Cash Collateral</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Net Amounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Assets:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaptions, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,527</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,527</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> TBA derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 59,360</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (406</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 58,954</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Futures contracts, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 26,986</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (26,986</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Purchase commitments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 48</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 48</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Liabilities:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,919,492</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (113,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,657,612</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,148,627</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaptions, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,527</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 578</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> TBA derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; 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VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Amounts Eligible for Offset</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Gross Amounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; 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BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Net Amounts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Assets:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,642</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (18,040</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,602</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> TBA derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9,622</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (7,367</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,255</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Futures contracts, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,443</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (10,868</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,575</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Liabilities:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="14">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Interest rate swaps, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,677,571</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (18,040</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (913,576</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 745,955</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> TBA derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,185</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (7,367</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9,818</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 32%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Futures contracts, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 32,778</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (10,868</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (21,910</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> 472000 500000000 -24351000 32305000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The following presents the aggregate final purchase price allocation of the Texas Portfolio:</div> </div> <div>&#xA0;</div> <div>&#xA0;</div> <div> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Texas</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Purchase Price Allocation:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Land</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 32,452</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Buildings</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 82,552</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Site improvements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 5,446</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Tenant Improvements</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 6,835</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Real estate held for investment</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 127,285</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Intangible assets (liabilities):</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Leasehold intangible assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 14,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Above market lease</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 274</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Below market lease</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (10,207</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total purchase price</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 131,950</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> P4Y8M12D 0 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="TEXT-ALIGN: left"><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> 5.</font><font style="FONT-SIZE: 5.14pt">&#xA0;</font> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> RESIDENTIAL INVESTMENT SECURITIES</font></div> <div><br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The following tables present the Company&#x2019;s Residential Investment Securities portfolio carried at fair value as of</font> September 30<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">, 2016 and December 31, 2015:</font></div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="27"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: center">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Principal / Notional</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Remaining Premium</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Remaining Discount</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Amortized Cost</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Unrealized Gains<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Unrealized Losses<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Agency</div> </td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="27"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fixed-rate pass-through</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 55,713,247</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,174,800</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 58,886,219</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,102,609</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (46,259</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 59,942,569</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Adjustable-rate pass-through</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 11,760,633</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 409,677</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (4,399</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,165,911</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 77,056</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (14,340</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,228,627</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest-only</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 8,562,837</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,498,193</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,498,193</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 13,145</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (206,429</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,304,909</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total Agency investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 76,036,717</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 5,082,670</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (6,227</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 72,550,323</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,192,810</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (267,028</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Residential Credit</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> CRT</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 641,531</div> </td> <td style="WIDTH: 1%; 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VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (11,742</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 637,122</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 32,188</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (15</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 669,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Legacy<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,075,956</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,634</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (169,677</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 907,913</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 26,767</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (513</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 934,167</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> NPL/RPL</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 347,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 434</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (877</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 346,662</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,037</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (264</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 348,435</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> New issue</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 161,275</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 946</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (359</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 161,862</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,484</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (16</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 166,330</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> New issue interest-only</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 935,395</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 16,615</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 16,615</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (5,286</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 11,329</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total residential credit investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,161,262</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 26,962</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (182,655</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,070,174</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 65,476</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (6,094</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,129,556</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total Residential Investment Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 79,197,979</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 5,109,632</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (188,882</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 74,620,497</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,258,286</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (273,122</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 75,605,661</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; 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VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="27"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Principal / Notional</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Remaining Premium</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Remaining Discount</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Amortized Cost</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Unrealized Gains<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Unrealized Losses<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Agency</div> </td> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="27"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fixed-rate pass-through</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 57,339,705</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,270,521</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (2,832</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 60,607,394</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 400,350</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (824,862</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 60,182,882</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Adjustable-rate pass-through</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,894,192</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 61,781</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (6,427</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,949,546</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 70,849</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (10,317</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,010,078</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> CMO</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 964,095</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 27,269</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (477</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 990,887</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9,137</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (12,945</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 987,079</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Debentures</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 158,802</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (648</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 158,154</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (6,116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 152,038</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Interest-only</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9,499,332</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,634,312</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,634,312</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 18,699</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (114,826</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,538,185</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total Agency investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 70,856,126</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,993,883</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (10,384</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 66,340,293</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 499,035</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (969,066</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 65,870,262</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Residential Credit</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> CRT</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 476,084</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,225</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (12,840</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 465,469</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 250</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (9,209</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 456,510</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Legacy<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 378,527</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (37,150</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 342,150</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 698</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,140</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 341,708</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> NPL/RPL</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 354,945</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,270</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 353,694</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,172</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 352,541</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> New issue</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 197,695</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 566</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 198,261</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,060</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 197,201</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> New issue interest-only</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 811,245</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15,430</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15,430</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (158</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15,272</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total residential credit securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2,218,496</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,013</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (51,260</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,375,004</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 967</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (12,739</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1,363,232</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total Residential Investment Securities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,074,622</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 5,012,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (61,644</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 67,715,297</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 500,002</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (981,805</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 67,233,494</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1) Unrealized gains and losses on Agency securities (other than interest-only securities), are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit investments and Agency interest-only investments are generally reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).</sup></div> <div style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2) Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009.</sup></div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The following tables present the Company&#x2019;s Agency mortgage-backed securities portfolio by issuing Agency concentration as of</font> September 30<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">, 2016 and December 31, 2015:</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 75%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Investment Type</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="7"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> </tr> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fannie Mae</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 48,151,223</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 42,647,075</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Freddie Mac</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 25,246,425</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 22,960,595</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Ginnie Mae</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 78,457</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 110,554</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 65,718,224</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Actual maturities of the Company&#x2019;s Residential Investment Securities portfolio are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on underlying mortgages. The&#xA0;following table summarizes the Company&#x2019;s available-for-sale Residential Investment Securities as of September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">and December 31, 2015</font>, according to their estimated weighted average life classifications:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left; CLEAR: both"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Weighted Average Life</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Amortized Cost</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Amortized Cost</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Less than one year</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 654,108</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 663,561</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 37,862</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 37,850</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Greater than one year through five years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 55,394,787</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 54,543,574</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 20,278,111</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 20,066,435</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Greater than five years through ten years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,480,416</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19,337,485</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 46,473,701</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 47,174,319</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Greater than ten years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 76,350</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 75,877</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 443,820</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 436,693</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 75,605,661</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 74,620,497</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 67,233,494</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 67,715,297</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The weighted average lives of the Agency mortgage-backed securities at</font> September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">and December 31, 2015 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Agency mortgage-backed securities could be materially longer or shorter than projected.</font></div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The following table presents the gross unrealized losses and estimated fair value of the Company&#x2019;s Agency mortgage-backed securities by length of time that such securities have been in a continuous unrealized loss position at</font> September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">and December 31, 2015.</font></div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> September 30, 2016</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: center">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Gross Unrealized Losses<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Number of Securities<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Estimated Fair Value<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Gross Unrealized Losses<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Number of Securities<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: top" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="22"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 28%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Less than 12 Months</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 8,204,957</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (28,676</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 445</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 20,072,072</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (164,259</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 463</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 28%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 12 Months or More</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 6,867,701</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (31,923</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 54</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 21,705,764</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (689,981</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 189</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 28%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15,072,658</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (60,599</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 499</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 41,777,836</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (854,240</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 9%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 652</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> <div>&#xA0;</div> <div style="FONT-SIZE: 8pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> (1) Excludes interest-only mortgage-backed securities.</div> <div>&#xA0;</div> <div>&#xA0;</div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities are &#x201C;AAA&#x201D; rated or carry an implied &#x201C;AAA&#x201D; rating. The investments are not considered to be other-than-temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that the Company will be required to sell the investments before recovery of the amortized cost bases, which may be maturity. Also, the Company is guaranteed payment of the principal amount of the securities by the respective issuing Agency.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> During the quarter and nine months ended September 30, 2016, the Company disposed of $3.8 billion and $9.1 billion of Residential Investment Securities, respectively, resulting in a net realized gain of $14.7 million and $24.9 million, respectively.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> During the quarter and nine months ended September 30, 2015, the Company disposed of $3.7 billion and $21.1 billion of Residential Investment Securities, respectively, resulting in a net realized gain of $4.5 million and $70.8 million, respectively.</div> </div> </div> </div> 8580353000 <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The statement of financial condition of the Company&#x2019;s VIEs that is reflected in the Company&#x2019;s Consolidated Statements of Financial Condition at September 30, 2016 and December 31, 2015 are as follows:</div> <div>&#xA0;</div> <div> <table id="z7729bf06ea5d473f9bd78ffe53f03f83" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> FREMF Trusts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> NLY Commercial Mortgage Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Residential Mortgage Loan Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> MSR Silos</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Cash</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 185</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 31,163</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Senior securitized commercial mortgages carried at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,953,150</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Commercial real estate and debt and preferred equity, held for investment</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 128,896</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Residential mortgages loans carried at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 176,748</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9,631</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Mortgage servicing rights</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 492,169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Accrued interest receivable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 8,519</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 49</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 356</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 8</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,149</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 29,586</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,961,669</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 129,139</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 180,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 562,553</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Securitized debt (non-recourse) at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,661,884</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 50,937</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other secured financing</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,186</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other derivatives, at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 9</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Accrued interest payable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,288</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 127</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 44</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,363</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 44%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,666,172</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 51,108</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 11%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 29,558</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> <table id="z20651340b6bf434fbfe2a2d6a989070e" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> FREMF Trusts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> NLY Commercial Mortgage Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Cash</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 49,025</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Senior securitized commercial mortgages carried at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,554,023</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Commercial real estate and debt and preferred equity, held for investment</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 262,703</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Accrued interest receivable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,994</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 431</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other Assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 169</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total assets</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,559,017</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 312,328</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Securitized debt (non-recourse) at fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,366,878</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Securitized debt (non-recourse) at amortized cost</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 173,833</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Accrued interest payable</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,183</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 191</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 290</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 70%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Total liabilities</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,371,061</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 174,314</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> </div> </div> </div> 128601867000 -58727000 13226000 62284121000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The industry and interest rate characteristics of the portfolio as of</font> September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">are as follows:</font></div> </div> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Industry Dispersion</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Fixed Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Floating Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Airports, Flying Fields and Airport Terminal</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 47,184</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 47,184</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Commercial Fishing</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 40,590</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 40,590</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Computer Programming &amp; Data Processing</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 63,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 63,253</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Drugs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 34,247</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 34,247</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Home Health Care Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 39,339</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 39,339</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Insurance Agents, Brokers &amp; Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,380</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 44,344</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 48,724</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Management &amp; Public Relations Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 39,116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 39,116</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Medical &amp; Dental Laboratories</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,324</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,324</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Miscellaneous Business Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 84,448</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 63,677</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 148,125</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Miscellaneous Health &amp; Allied Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 38,886</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 38,886</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Miscellaneous Nonmetallic Minerals</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 24,682</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 24,682</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Miscellaneous Plastic Products</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 27,075</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 27,075</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Motor Vehicles, Parts &amp; Supplies</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,347</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 12,347</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Offices &amp; Clinics of Doctors of Medicine</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 83,582</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 83,582</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Research, Development &amp; Testing Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,739</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 17,739</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Schools &amp; Educational Services</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 21,042</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 21,042</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Surgical, Medical &amp; Dental Instruments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 13,576</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 13,576</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 55%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 88,828</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 628,003</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 716,831</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> 191005000 <div style="FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt; FONT-WEIGHT: bold"> 14. CONVERTIBLE SENIOR NOTES</div> <div><br /></div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> In 2010, the Company issued $600.0 million in aggregate principal amount of its 4% Convertible Senior Notes for net proceeds of approximately $582.0 million. In 2012, the Company repurchased $492.5 million in aggregate principal amount of its 4% Convertible Senior Notes. In February 2015, the 4% Convertible Senior Notes matured and the Company repaid the remaining 4% Convertible Senior Notes for the face amount of $107.5 million.</div> <div style="TEXT-ALIGN: justify"><br /></div> <div style="TEXT-ALIGN: justify; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-SIZE: 10pt"> In May 2012, the Company issued $750.0 million in aggregate principal amount of its 5% Convertible Senior Notes due 2015 for net proceeds of approximately $727.5 million. In May 2015, the 5% Convertible Senior Notes matured and the Company repaid the 5% Convertible Senior Notes for the face amount of $750.0 million.</div> </div> 1203793000 1662100000000 1.00 71116000 2012-03 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The following tables present the Company&#x2019;s Agency mortgage-backed securities portfolio by issuing Agency concentration as of</font> September 30<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">, 2016 and December 31, 2015:</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 75%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> Investment Type</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="7"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> </tr> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fannie Mae</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 48,151,223</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 42,647,075</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Freddie Mac</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 25,246,425</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 22,960,595</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Ginnie Mae</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 78,457</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 110,554</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 64%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 73,476,105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 65,718,224</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> 106786000 4155000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The table below summarizes the interest income recognition methodology for Residential Investment Securities:</div> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Interest Income</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Methodology</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> Agency</div> </td> <td style="BORDER-TOP: #000000 2px solid; WIDTH: 39.92%; VERTICAL-ALIGN: top"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Fixed-rate pass-through<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Effective yield<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup></div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Adjustable-rate pass-through<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Effective yield<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup></div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Collateralized Mortgage Obligation (&#x201C;CMO&#x201D;)<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Effective yield<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup></div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div>&#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Debentures<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Contractual Cash Flows</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Interest-only<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: justify"> Residential Credit</div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> &#xA0;</td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> CRT<sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> Legacy <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> NPL/RPL <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> New issue <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> New issue interest-only <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center; MARGIN-LEFT: 10pt; TEXT-INDENT: -10pt"> Prospective</div> </td> </tr> <tr> <td style="WIDTH: 60.08%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> <td style="WIDTH: 39.92%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> &#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup> Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss).</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>Changes in fair value are recognized in Net unrealized gains (losses) on investments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss).</div> <div style="MARGIN-BOTTOM: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(3)</sup><font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">&#xA0;</font>Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.</div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The table below presents the fair value and the unpaid principal balance for these loans as of September 30, 2016:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: center" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Fair value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 310,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 77%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Unpaid principal balance</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 20%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 301,957</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify"> The statement of comprehensive income (loss) of the Company&#x2019;s VIEs that is reflected in the Company&#x2019;s Consolidated Statements of Comprehensive Income</div> <div style="TEXT-ALIGN: justify">(Loss) for the quarter and nine months ended September 30, 2016 <font style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif">are as</font> follows:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify; CLEAR: both"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify; CLEAR: both"> <table id="z856d68c83e4649fd90737ef2b03fab71" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Quarter Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> FREMF Trusts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> NLY Commercial Mortgage Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Residential Mortgage Loan Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> MSR Silos</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Net interest income:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,148</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,691</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 932</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 57</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest expense</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 11,375</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 105</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 404</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 22</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Net interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 13,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,586</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 528</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 35</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Realized gain (loss) on disposal of investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (329</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 184</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Unrealized gain (loss) on investments at fair value <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (3,201</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (109</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,218</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (6,773</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (79</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,716</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> General and administration expenses</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 17</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,555</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Net income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,799</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,586</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 28,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> <div style="MARGIN-BOTTOM: 8pt; FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify; CLEAR: both"> <br /></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: justify; CLEAR: both"> &#xA0; <table id="za804324f32624850aa92e2fb66f912d8" style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> For the Nine Months Ended</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> FREMF Trusts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> NLY Commercial Mortgage Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Residential Mortgage Loan Trust</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> MSR Silos</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="14"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Net interest income:</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 69,972</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 8,543</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 932</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 57</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Interest expense</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 29,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2,302</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 404</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 22</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Net interest income</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 40,374</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,241</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 528</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 35</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Realized gain (loss) on disposal of investments</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (329</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 184</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Unrealized gain (loss) on investments at fair value <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 3,784</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (109</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 4,218</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> Other income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (18,861</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (79</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,716</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left"> General and administration expenses</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 2</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (2)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 17</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 1,555</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(255,255,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif; TEXT-ALIGN: left; TEXT-INDENT: 11pt"> Net income (loss)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 25,295</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 6,243</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> (6</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: &quot;Times New Roman&quot;, Times, serif"> 28,598</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: rgb(0,0,0) 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: rgb(204,238,255)" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt">&#xA0;</div> </div> </div> 1608000 16663000 P4Y P4Y P10Y P5Y 0.095 5800000 160585000 1868000 46858000 282000 192000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The table below reflects the Company&#x2019;s aggregate positions by their respective place in the capital structure of the borrowers as of September 30, 2016.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 70%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: top" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> First lien loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 466,099</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Second lien loans</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 161,904</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Second lien notes</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 84,448</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Subordinated notes</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,380</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 80%; VERTICAL-ALIGN: top; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 17%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 716,831</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> P3Y 0.136 0.136 0.063 0.864 0.062 0.463 0.127 0.184 0.111 0.116 0.054 0.437 0.247 1.000 1.000 1.000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> The following table provides the geographic concentrations based on the unpaid principal balances as of September 30, 2016 for the residential mortgage loans, including loans held in a securitization trust:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 80%; BORDER-COLLAPSE: collapse" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 100%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Geographic Concentrations of Residential Mortgage Loans</div> </td> </tr> <tr> <td style="BORDER-TOP: #000000 2px solid; WIDTH: 63.21%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: left"> Property Location</div> </td> <td style="BORDER-TOP: #000000 2px solid; WIDTH: 36.79%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 2px solid"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> % of Balance</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> California</div> </td> <td style="WIDTH: 36.79%; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 48.5%</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Texas</div> </td> <td style="WIDTH: 36.79%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 11.0%</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Illinois</div> </td> <td style="WIDTH: 36.79%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 5.5%</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Florida</div> </td> <td style="WIDTH: 36.79%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 5.3%</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> All other (none individually greater than 5%)</div> </td> <td style="WIDTH: 36.79%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #ffffff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 29.7%</div> </td> </tr> <tr> <td style="WIDTH: 63.21%; VERTICAL-ALIGN: top; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="BORDER-TOP: #000000 2px solid; WIDTH: 36.79%; VERTICAL-ALIGN: top; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 100.0%</div> </td> </tr> </table> </div> </div> 0.055 0.485 0.110 0.053 0.297 1.000 78229000 1055000 159173000 1566000 102000 134176000 369000 113444000 633000 P2Y2M27D 3M LIBOR P2Y9M7D 16671196000 P10Y3M P2Y9M7D 3M LIBOR 1.54 131729000 0.020 0.201 0.104 100 0.000 0.063 0.100 84 0.080 0.432 0.150 146 2000 939000 111000 -414814000 857223000 17157000 4811000 10944000 25875000 -924000 883000 6949000 1793000 996768000 102601000 6949000 1795000 -414814000 1285207000 1519874000 102712000 22601000 857223000 17157000 4811000 10944000 25875000 1519874000 22601000 L+200 Floating 2017-03-29 First liens 2015-10-31 75000000 P1Y 144300000 145000000 2015-10-31 37750000 P3Y9M18D Fixed 2017-01-01 First liens 131950000 82552000 14598000 32452000 5446000 10207000 6835000 2015-11-30 131950000 P4Y4M24D 274000 127285000 2015-07-31 11000000 P4Y1M6D 2015-08-31 18900000 P4Y9M18D P30Y P40Y P1Y P28Y Contractual Cash Flows Effective yield Effective yield Effective yield Prospective Prospective Prospective Prospective Prospective Prospective 0 2014-08-08 Amount equal to 1/12th of 1.05% of stockholders' equity At least two-thirds of the Company's independent directors or the holders of a majority of the Company's outstanding shares of common stock elect to terminate the agreement in their sole discretion for any or no reason. 113100000 Fixed 2024-12-31 First liens Fixed 2025-12-31 93000 4273000 4180000 P6Y10M21D P7Y9M22D P6Y P10Y P2Y9M7D P0Y P3Y P4Y1M21D P3Y P6Y P18Y7M13D P10Y <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">The following table summarizes certain characteristics of the Company&#x2019;s TBA derivatives as of</font> September 30, 2016 and December 31, 2015<font style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif">:</font></div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Purchase and sale contracts for derivative TBAs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Implied Cost Basis</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Implied Market Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Net Carrying Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Purchase contracts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 15,950,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 16,671,196</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 16,730,009</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 58,813</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Purchase and sale contracts for derivative TBAs</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Implied Cost Basis</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Implied Market Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Net Carrying Value</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Purchase contracts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 13,761,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 14,177,338</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 14,169,775</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (7,563</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> </tr> </table> </div> </div> 66376000 558826000 492450000 ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity No This update provides a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis. 2016-01-01 ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments Yes This ASU updates the existing incurred loss model to a current expected credit loss model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, debt securities, trade receivables, net investments in leases, off balance sheet credit exposures and any other financial assets not excluded from the scope. There are also changes to the accounting for available for sale debt securities. 2020-01-01 0.07625 1.430 2017-05-16 17157000 0.07625 0.477 2017-08-27 287500000 4811000 0.07875 1.477 2009-04-05 10944000 0.0750 1.406 2017-09-13 25875000 132000000 4200000 Fixed 2019-09-06 First liens Fixed 2019-06-06 First liens 15700000 -0.58 -0.58 86700000 -520830000 48900000 355820000 1027202000 2045-06-10 0.0345 0.7056 P3Y 2044-03-05 0.0250 0.2373 P8Y 2046-07-21 0.0413 0.8027 P2Y P2Y P5Y P4Y5M1D 0 LIBOR plus 1.74% at closing 0 69972000 40374000 25295000 3784000 0 29598000 2000 200000 -18861000 2800000 8543000 6241000 6243000 2302000 -2000 932000 528000 -6000 -329000 -109000 404000 17000 -79000 57000 35000 28598000 184000 4218000 22000 1555000 25716000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> The following table presents swaptions outstanding as of September 30, 2016. There were no swaptions as of December 31, 2015.</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0" border="0"> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Current Underlying Notional</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Underlying Pay Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Underlying Receive Rate</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Underlying Years to Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Months to Expiration</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: bottom; FONT-WEIGHT: bold; TEXT-ALIGN: center" valign="bottom" colspan="18">(dollars in thousands)</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Long</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 950,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: center; BACKGROUND-COLOR: #cceeff"> 1.08%</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 3M LIBOR</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 2.24</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 2.77</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 16%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Short</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 15%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (200,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 3M LIBOR</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: center; BACKGROUND-COLOR: #ffffff" valign="bottom">1.54%</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> &#xA0;</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 10.25</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 14%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: center"> 2.77</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> </div> </div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The following table summarizes certain characteristics of the Company&#x2019;s interest rate swaps at September 30, 2016 and December 31, 2015:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Current Notional <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Pay Rate <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2) (3)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Receive Rate <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Years to Maturity <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 0 - 3 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4,552,383</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.74</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.76</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2.77</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 3 - 6 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 9,675,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.92</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.88</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4.14</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 6 - 10 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 7,363,550</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2.34</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.98</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 7.81</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Greater than 10 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,634,400</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.67</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 18.62</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total / Weighted Average</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 25,225,333</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2.25</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.88</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 6.89</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Current Notional <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(1)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Pay Rate <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2) (3)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Receive Rate <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Years to Maturity <sup style="FONT-SIZE: smaller; VERTICAL-ALIGN: text-top; LINE-HEIGHT: 1">(2)</sup></div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="16"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 0 - 3 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,240,436</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.85</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.36</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.80</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 3 - 6 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 11,675,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 1.82</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.55</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4.25</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 6 - 10 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 11,635,250</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2.44</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.57</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 7.92</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Greater than 10 years</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3,634,400</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 3.70</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.43</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 19.37</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 40%; VERTICAL-ALIGN: middle; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total / Weighted Average</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 30,185,086</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2.26</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 0.53</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> %</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 12%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 7.02</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> </table> <div style="MARGIN-BOTTOM: 8pt"><br /> <div> <table class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 36pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; MARGIN-LEFT: 18pt"> (1)</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> There were no forward starting swaps as of September 30, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015.</div> </td> </tr> </table> </div> <div> <table class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 36pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; MARGIN-LEFT: 18pt"> (2)</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Excludes forward starting swaps.</div> </td> </tr> </table> </div> <div> <table class="DSPFListTable" style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 100%" cellspacing="0" cellpadding="0"> <tr> <td style="WIDTH: 36pt; VERTICAL-ALIGN: top; align: right"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left; MARGIN-LEFT: 18pt"> (3)</div> </td> <td style="WIDTH: auto; VERTICAL-ALIGN: top"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> There were no forward starting swaps as of September 30, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015.</div> </td> </tr> </table> </div> </div> </div> </div> 1203000 327000 -383000 -493000 <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> The following table summarizes certain characteristics of the Company&#x2019;s futures derivatives as of September 30, 2016 and December 31, 2015:</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> &#xA0;</div> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: normal; TEXT-ALIGN: justify"> <table style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; WIDTH: 90%" cellspacing="0" cellpadding="0" align="center" border="0"> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> September 30, 2016</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional - Long Positions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional - Short Positions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Years to Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom" valign="bottom"> &#xA0;</td> <td style="VERTICAL-ALIGN: middle" valign="bottom" colspan="2"> &#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2-year swap equivalent Eurodollar contracts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (14,991,375</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2.00</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> U.S. Treasury futures - 5 year</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,247,200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4.42</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> Total</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 4px; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (16,238,575</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2.19</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 4px double; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="10"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> December 31, 2015</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional - Long Positions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Notional - Short Positions</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="2"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> Weighted Average Years to Maturity</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="VERTICAL-ALIGN: middle; BACKGROUND-COLOR: #ffffff" valign="bottom" colspan="6"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; FONT-WEIGHT: bold; TEXT-ALIGN: center"> (dollars in thousands)</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> 2-year swap equivalent Eurodollar contracts</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> $</div> </td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (7,000,000</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 2.00</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> U.S. Treasury futures - 5 year</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (1,847,200</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> )</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: right; BACKGROUND-COLOR: #cceeff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> 4.42</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; TEXT-ALIGN: left; BACKGROUND-COLOR: #cceeff" valign="bottom" nowrap="nowrap">&#xA0;</td> </tr> <tr> <td style="WIDTH: 52%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif; TEXT-ALIGN: left"> U.S. Treasury futures - 10 year and greater</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; PADDING-BOTTOM: 2px; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> -</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom" nowrap="nowrap">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: left; BACKGROUND-COLOR: #ffffff" valign="bottom">&#xA0;</td> <td style="WIDTH: 13%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; TEXT-ALIGN: right; BACKGROUND-COLOR: #ffffff" valign="bottom"> <div style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman', Times, serif"> (655,600</div> </td> <td style="WIDTH: 1%; VERTICAL-ALIGN: bottom; BORDER-BOTTOM: #000000 2px solid; 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Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss). Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception. Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009. Excludes interest-only mortgage-backed securities. Based on outstanding principal. Assets of consolidated VIE. Excludes Loans held for sale, net. Does not include extension options. Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates. Excludes forward starting swaps. Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). Includes options on TBA contracts. No individual state greater than 5% Derived from the audited consolidated financial statements at December 31, 2015. Includes cash of consolidated VIEs of $31.3 million and $48.5 million at September 30, 2016 and December 31, 2015, respectively. Includes $96.0 million and $0 at September 30, 2016 and December 31, 2015, respectively, of non-Agency mortgage-backed securities pledged as collateral in a consolidated VIE and eliminated from the Company's Consolidated Statements of Financial Condition. Includes securitized mortgage loans of a consolidated VIE carried at fair value of $176.7 million and $0 at September 30, 2016 and December 31, 2015, respectively. Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $4.0 billion and $2.6 billion at September 30, 2016 and December 31, 2015, respectively. Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $128.9 million and $262.7 million carried at amortized cost, net of an allowance for losses of $0, at September 30, 2016 and December 31, 2015, respectively. Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at September 30, 2016 and December 31, 2015, respectively. Changes in fair value are recognized in Net unrealized gains (losses) on investments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss). Unrealized gains and losses on Agency securities (other than interest-only securities), are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit investments and Agency interest-only investments are generally reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Carrying value includes unamortized origination fees of $4.9 million and $6.9 million as of September 30, 2016 and December 31, 2015, respectively. Assets of consolidated VIEs. Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200). Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets. Includes a held-to-maturity debt security carried at amortized cost of $84.4 million and $74.7 million as of September 30, 2016 and December 31, 2015, respectively. The held-to-maturity debt security had a fair value of $84.6 million and $61.3 million as of September 30, 2016 and December 31, 2015, respectively. There were no forward starting swaps as of September 30, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015. There were no forward starting swaps as of September 30, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015. Includes commercial real estate debt, preferred equity and corporate debt. 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Net Income per Common Share - Additional Information (Detail) link:calculationLink link:presentationLink link:definitionLink 1110 - Disclosure - Long-Term Stock Incentive Plans - Additional Information (Detail) link:calculationLink link:presentationLink link:definitionLink 1111 - Disclosure - Issued and Outstanding Stock Options (Detail) link:calculationLink link:presentationLink link:definitionLink 1112 - Disclosure - Income Taxes - Additional Information (Detail) link:calculationLink link:presentationLink link:definitionLink 1113 - Disclosure - Lease Commitments and Contingencies - Additional Information (Detail) link:calculationLink link:presentationLink link:definitionLink 1114 - Disclosure - Lease Commitments and Contingencies (Detail) link:calculationLink link:presentationLink link:definitionLink 1115 - Disclosure - RCap Regulatory Requirements - Additional Information (Detail) link:calculationLink link:presentationLink link:definitionLink 1116 - Disclosure - Related Party Transactions - 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Document and Entity Information - shares
 9 Months Ended
Sep. 30, 2016
Oct. 31, 2016
Document And Entity Information [Abstract]    
Document Type 10-Q  
Amendment Flag false  
Document Period End Date Sep. 30, 2016  
Document Fiscal Year Focus 2016  
Document Fiscal Period Focus Q3  
Trading Symbol NLY  
Entity Registrant Name ANNALY CAPITAL MANAGEMENT INC  
Entity Central Index Key 0001043219  
Current Fiscal Year End Date --12-31  
Entity Filer Category Large Accelerated Filer  
Entity Common Stock, Shares Outstanding   1,018,869,843
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CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
ASSETS    
Cash and cash equivalents (including cash pledged as collateral of $2,271,856 and $1,584,686, respectively) [1] $ 2,382,188 $ 1,769,258 [2]
Investments, at fair value:    
Mortgage-backed securities, including pledged assets 75,605,661 67,233,494
Agency debentures [2]   152,038
Credit risk transfer securities (including pledged assets of $446,529 and $184,160, respectively) 669,295 456,510 [2]
Residential mortgage loans (including pledged assets of $179,626 and $0, respectively) [3] 310,148  
Mortgage servicing rights 492,169  
Commercial real estate debt investments (including pledged assets of $4,319,077 and $2,911,828, respectively) [4] 4,319,077 2,911,828 [2]
Commercial real estate debt and preferred equity, held for investment (including pledged assets of $583,131 and $578,820, respectively) [5] 1,070,197 1,348,817 [2]
Commercial loans held for sale, net 144,275 278,600 [2]
Investments in commercial real estate 500,027 535,946 [2]
Corporate debt (including pledged assets of $475,453 and $0, respectively) 716,831 488,508 [2]
Interest rate swaps, at fair value 113,253 19,642 [2]
Other derivatives, at fair value 87,921 22,066 [2]
Receivable for investments sold 493,839 121,625 [2]
Accrued interest and dividends receivable 260,583 231,336 [2]
Other assets 301,419 119,422 [2]
Goodwill 71,815 71,815 [2]
Intangible assets, net 39,903 38,536 [2]
Total assets 86,909,306 75,190,893 [2]
Liabilities:    
Repurchase agreements 61,784,121 56,230,860 [2]
Other secured financing 3,804,742 1,845,048 [2]
Securitized debt of consolidated VIEs [6] 3,712,821 2,540,711 [2]
Participation sold 12,976 13,286 [2]
Mortgages payable 327,632 334,707 [2]
Interest rate swaps, at fair value 2,919,492 1,677,571 [2]
Other derivatives, at fair value 73,445 49,963 [2]
Dividends payable 269,111 280,779 [2]
Payable for investments purchased 454,237 107,115 [2]
Accrued interest payable 173,320 151,843 [2]
Accounts payable and other liabilities 115,606 53,088 [2]
Total liabilities 73,647,503 63,284,971 [2]
Stockholders' Equity:    
Common stock, par value $0.01 per share, 1,945,437,500 and 1,956,937,500 authorized, 1,018,857,866 and 935,929,561 issued and outstanding, respectively 10,189 9,359 [2]
Additional paid-in capital 15,578,677 14,675,768 [2]
Accumulated other comprehensive income (loss) 1,119,677 (377,596) [2]
Accumulated deficit (4,655,440) (3,324,616) [2]
Total stockholders' equity 13,253,662 11,895,974 [2]
Noncontrolling interest 8,141 9,948 [2]
Total equity 13,261,803 11,905,922 [2]
Total liabilities and equity 86,909,306 75,190,893 [2]
Agency Mortgage Backed Securities    
Investments, at fair value:    
Mortgage-backed securities, including pledged assets 73,476,105 65,718,224 [2]
Liabilities:    
Repurchase agreements 60,363,138 55,472,998
Non-Agency mortgage-backed securities    
Investments, at fair value:    
Mortgage-backed securities, including pledged assets [7] 1,460,261 906,722 [2]
7.875% Series A Cumulative Redeemable Preferred Stock    
Stockholders' Equity:    
Cumulative Redeemable Preferred Stock 177,088 177,088 [2]
Total equity 177,088 177,088
7.625% Series C Cumulative Redeemable Preferred Stock    
Stockholders' Equity:    
Cumulative Redeemable Preferred Stock 290,514 290,514 [2]
Total equity 290,514 290,514
7.50% Series D Cumulative Redeemable Preferred Stock    
Stockholders' Equity:    
Cumulative Redeemable Preferred Stock 445,457 445,457 [2]
Total equity 445,457 $ 445,457
7.625% Series E Cumulative Redeemable Preferred Stock    
Stockholders' Equity:    
Cumulative Redeemable Preferred Stock 287,500  
Total equity $ 287,500  
[1] Includes cash of consolidated VIEs of $31.3 million and $48.5 million at September 30, 2016 and December 31, 2015, respectively.
[2] Derived from the audited consolidated financial statements at December 31, 2015.
[3] Includes securitized mortgage loans of a consolidated VIE carried at fair value of $176.7 million and $0 at September 30, 2016 and December 31, 2015, respectively.
[4] Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $4.0 billion and $2.6 billion at September 30, 2016 and December 31, 2015, respectively.
[5] Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $128.9 million and $262.7 million carried at amortized cost, net of an allowance for losses of $0, at September 30, 2016 and December 31, 2015, respectively.
[6] Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at September 30, 2016 and December 31, 2015, respectively.
[7] Includes $96.0 million and $0 at September 30, 2016 and December 31, 2015, respectively, of non-Agency mortgage-backed securities pledged as collateral in a consolidated VIE and eliminated from the Company's Consolidated Statements of Financial Condition.
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CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
 [1]
Cash pledged as collateral $ 2,271,856 $ 1,584,686
Credit risk transfer securities, pledged assets 446,529 184,160
Residential mortgage loans, pledged assets 179,626 0
Commercial real estate debt investments, pledged assets 4,319,077 2,911,828
Commercial real estate debt and preferred equity, held for investment, pledged assets [2] 583,131 578,820
Corporate debt, pledged assets $ 475,453 $ 0
Common Stock, par value $ 0.01 $ 0.01
Common Stock, shares authorized 1,945,437,500 1,956,937,500
Common Stock, shares issued 1,018,857,866 935,929,561
Common Stock, shares outstanding 1,018,857,866 935,929,561
Senior Secured mortgages of Consolidated VIE, carrying value $ 128,900 $ 262,700
Senior Secured mortgages of Consolidated VIE, fair value 4,000,000 2,600,000
Cash of Consolidated VIE [3] 2,382,188 1,769,258
Commercial real estate debt and preferred equity, held for investment, allowance for losses 0 0
Securitized debt of a consolidated VIE 3,712,821 2,366,878
FREMF Trust    
Cash of Consolidated VIE 31,300 48,500
Non-Agency mortgage-backed securities    
Mortgage-backed securities, pledged assets $ 1,293,530 $ 744,783
7.875% Series A Cumulative Redeemable Preferred Stock    
Preferred Stock, shares authorized 7,412,500 7,412,500
Preferred Stock, shares issued 7,412,500 7,412,500
Preferred Stock, shares outstanding 7,412,500 7,412,500
7.625% Series C Cumulative Redeemable Preferred Stock    
Preferred Stock, shares authorized 12,650,000 12,650,000
Preferred Stock, shares issued 12,000,000 12,000,000
Preferred Stock, shares outstanding 12,000,000 12,000,000
7.50% Series D Cumulative Redeemable Preferred Stock    
Preferred Stock, shares authorized 18,400,000 18,400,000
Preferred Stock, shares issued 18,400,000 18,400,000
Preferred Stock, shares outstanding 18,400,000 18,400,000
7.625% Series E Cumulative Redeemable Preferred Stock    
Preferred Stock, shares authorized 11,500,000 11,500,000
Preferred Stock, shares issued 11,500,000 11,500,000
Preferred Stock, shares outstanding 11,500,000 11,500,000
Agency Mortgage Backed Securities    
Mortgage-backed securities, pledged assets $ 67,902,771 $ 60,678,548
[1] Derived from the audited consolidated financial statements at December 31, 2015.
[2] Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $128.9 million and $262.7 million carried at amortized cost, net of an allowance for losses of $0, at September 30, 2016 and December 31, 2015, respectively.
[3] Includes cash of consolidated VIEs of $31.3 million and $48.5 million at September 30, 2016 and December 31, 2015, respectively.
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CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Net interest income:        
Interest income $ 558,668 $ 450,726 $ 1,403,929 $ 1,594,117
Interest expense 174,154 110,297 474,356 352,789
Net interest income 384,514 340,429 929,573 1,241,328
Realized and unrealized gains (losses):        
Realized gains (losses) on interest rate swaps [1],[2] (124,572) (162,304) (402,809) (465,008)
Realized gains (losses) on termination of interest rate swaps 1,337   (58,727) (226,462)
Unrealized gains (losses) on interest rate swaps 256,462 (822,585) (1,148,478) (587,995)
Subtotal 133,227 (984,889) (1,610,014) (1,279,465)
Net gains (losses) on disposal of investments 14,447 (7,943) 25,307 58,246
Net gains (losses) on trading assets 162,981 108,175 370,050 (12,961)
Net unrealized gains (losses) on investments measured at fair value through earnings 29,675 (24,501) (24,351) (40,466)
Bargain purchase gain 72,576   72,576  
Impairment of goodwill       (22,966)
Subtotal 279,679 75,731 443,582 (18,147)
Total realized and unrealized gains (losses) 412,906 (909,158) (1,166,432) (1,297,612)
Other income (loss):        
Investment advisory income   3,780   24,848
Dividend income from affiliate       8,636
Other income (loss) 29,271 (13,455) 13,226 (36,754)
Total other income (loss) 29,271 (9,675) 13,226 (3,270)
General and administrative expenses:        
Compensation and management fee 38,709 37,450 111,754 113,093
Other general and administrative expenses 59,028 12,007 83,149 39,311
Total general and administrative expenses 97,737 49,457 194,903 152,404
Income (loss) before income taxes 728,954 (627,861) (418,536) (211,958)
Income taxes (1,926) (370) (2,839) (8,039)
Net income (loss) 730,880 (627,491) (415,697) (203,919)
Net income (loss) attributable to noncontrolling interest (336) (197) (883) (436)
Net income (loss) attributable to Annaly 731,216 (627,294) (414,814) (203,483)
Dividends on preferred stock 22,803 17,992 58,787 53,976
Net income (loss) available (related) to common stockholders $ 708,413 $ (645,286) $ (473,601) $ (257,459)
Net income (loss) per share available (related) to common stockholders:        
Basic $ 0.70 $ (0.68) $ (0.50) $ (0.27)
Diluted $ 0.70 $ (0.68) $ (0.50) $ (0.27)
Weighted average number of common shares outstanding:        
Basic 1,007,607,893 947,795,500 953,301,855 947,732,735
Diluted 1,007,963,406 947,795,500 953,301,855 947,732,735
Dividends declared per share of common stock $ 0.30 $ 0.30 $ 0.9 $ 0.9
Net income (loss) $ 730,880 $ (627,491) $ (415,697) $ (203,919)
Other comprehensive income (loss):        
Unrealized gains (losses) on available-for-sale securities 18,237 609,725 1,519,874 116,154
Reclassification adjustment for net (gains) losses included in net income (loss) (15,606) 8,095 (22,601) (58,182)
Other comprehensive income (loss) 2,631 617,820 1,497,273 57,972
Comprehensive income (loss) 733,511 (9,671) 1,081,576 (145,947)
Comprehensive income (loss) attributable to noncontrolling interest (336) (197) (883) (436)
Comprehensive income (loss) attributable to Annaly 733,847 (9,474) 1,082,459 (145,511)
Dividends on preferred stock 22,803 17,992 58,787 53,976
Comprehensive income (loss) attributable to common stockholders $ 711,044 $ (27,466) $ 1,023,672 $ (199,487)
[1] Consists of interest expense on interest rate swaps.
[2] Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).
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CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($)
$ in Thousands
Total
7.875% Series A Cumulative Redeemable Preferred Stock
7.625% Series C Cumulative Redeemable Preferred Stock
7.50% Series D Cumulative Redeemable Preferred Stock
7.625% Series E Cumulative Redeemable Preferred Stock
Common stock par value
Additional paid-in capital
Accumulated other comprehensive income (loss)
Accumulated deficit
Accumulated deficit
7.875% Series A Cumulative Redeemable Preferred Stock
Accumulated deficit
7.625% Series C Cumulative Redeemable Preferred Stock
Accumulated deficit
7.50% Series D Cumulative Redeemable Preferred Stock
Accumulated deficit
7.625% Series E Cumulative Redeemable Preferred Stock
Total stockholders' equity
Total stockholders' equity
7.875% Series A Cumulative Redeemable Preferred Stock
Total stockholders' equity
7.625% Series C Cumulative Redeemable Preferred Stock
Total stockholders' equity
7.50% Series D Cumulative Redeemable Preferred Stock
Total stockholders' equity
7.625% Series E Cumulative Redeemable Preferred Stock
Noncontrolling interest
Beginning balance at Dec. 31, 2014 $ 13,333,781 $ 177,088 $ 290,514 $ 445,457   $ 9,476 $ 14,786,509 $ 204,883 $ (2,585,436)         $ 13,328,491         $ 5,290
Net income (loss) (203,483)               (203,483)         (203,483)          
Net income (loss) attributable to noncontrolling interest (436)                                   (436)
Unrealized gains (losses) on available-for-sale securities 116,154             116,154           116,154          
Reclassification adjustment for net (gains) losses included in net income (loss) (58,182)             (58,182)           (58,182)          
Stock compensation expense 1,089           1,089             1,089          
Net proceeds from direct purchase and dividend reinvestment 1,724         2 1,722             1,724          
Equity contributions from (distributions to) noncontrolling interest 651                                   651
Common dividends declared, $0.90 per share in 2015 and $0.90 per share in 2016 (852,989)               (852,989)         (852,989)          
Ending balance at Sep. 30, 2015 12,284,333 177,088 290,514 445,457   9,478 14,789,320 262,855 (3,695,884)         12,278,828         5,505
Preferred dividends declared   (10,944) (17,157) (25,875)           $ (10,944) $ (17,157) $ (25,875)     $ (10,944) $ (17,157) $ (25,875)    
Beginning balance at Dec. 31, 2015 11,905,922 [1] 177,088 290,514 445,457   9,359 14,675,768 (377,596) (3,324,616)         11,895,974         9,948
Net income (loss) (414,814)               (414,814)         (414,814)          
Net income (loss) attributable to noncontrolling interest (883)                                   (883)
Unrealized gains (losses) on available-for-sale securities 1,519,874             1,519,874           1,519,874          
Reclassification adjustment for net (gains) losses included in net income (loss) (22,601)             (22,601)           (22,601)          
Stock compensation expense 6,949           6,949             6,949          
Net proceeds from direct purchase and dividend reinvestment 1,795         2 1,793             1,795          
Buyback of common stock (102,712)         (111) (102,601)             (102,712)          
Acquisition of subsidiary 1,285,207       $ 287,500 939 996,768             1,285,207          
Equity contributions from (distributions to) noncontrolling interest (924)                                   (924)
Common dividends declared, $0.90 per share in 2015 and $0.90 per share in 2016 (857,223)               (857,223)         (857,223)          
Ending balance at Sep. 30, 2016 $ 13,261,803 177,088 290,514 445,457 287,500 $ 10,189 $ 15,578,677 $ 1,119,677 $ (4,655,440)         $ 13,253,662         $ 8,141
Preferred dividends declared   $ (10,944) $ (17,157) $ (25,875) $ (4,811)         $ (10,944) $ (17,157) $ (25,875) $ (4,811)   $ (10,944) $ (17,157) $ (25,875) $ (4,811)  
[1] Derived from the audited consolidated financial statements at December 31, 2015.
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CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Dividends declared per share of common stock $ 0.30 $ 0.30 $ 0.9 $ 0.9
7.875% Series A Cumulative Redeemable Preferred Stock        
Preferred series dividends declared, per share     1.477 1.477
7.625% Series C Cumulative Redeemable Preferred Stock        
Preferred series dividends declared, per share     1.430 1.430
7.50% Series D Cumulative Redeemable Preferred Stock        
Preferred series dividends declared, per share     1.406 $ 1.406
7.625% Series E Cumulative Redeemable Preferred Stock        
Preferred series dividends declared, per share     $ 0.477  
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CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended 12 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Dec. 31, 2015
Cash flows from operating activities:          
Net income (loss) $ 730,880 $ (627,491) $ (415,697) $ (203,919)  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:          
Amortization of Residential Investment Securities premiums and discounts, net     834,257 633,937  
Amortization of commercial real estate investment premiums and discounts, net     (2,393) (1,080)  
Amortization of intangibles     10,446 5,095  
Amortization of deferred financing costs     1,315 5,192  
Amortization of net origination fees and costs, net     (3,925) (3,350) $ (4,146)
Amortization of contingent beneficial conversion feature and equity component of Convertible Senior Notes       12,246  
Depreciation expense     16,511 8,773  
Bargain purchase gain (72,576)   (72,576)    
Net gain on sale of commercial real estate     (821)    
Net gain on sale of commercial loans held for sale     72 100  
Net (gains) losses on sales of Residential Investment Securities     (24,941) (70,796)  
Net (gains) losses on sale of residential mortgage loans     383    
Net (gain) loss on sale of investment in affiliate       12,450  
Stock compensation expense     6,949 1,089  
Impairment of goodwill       22,966  
Unrealized (gains) losses on interest rate swaps (256,462) 822,585 1,148,478 587,995  
Net unrealized (gains) losses on investments measured at fair value through earnings (29,675) 24,501 24,351 40,466  
Equity in net income from unconsolidated joint ventures     5,344 414  
Net (gains) losses on trading assets (162,981) (108,175) (370,050) 12,961  
Originations of commercial loans held for sale, net       (476,400)  
Proceeds from sale of commercial loans held for sale     134,253    
Payments on purchase of residential mortgage loans     (73,370)    
Proceeds from repayments from residential mortgage loans     107,648    
Proceeds from repurchase agreements of RCap     1,661,650,000 1,447,650,000  
Payments on repurchase agreements of RCap     (1,662,100,000) (1,452,000,000)  
Proceeds from reverse repurchase agreements of RCap     48,390,000 39,875,000  
Payments on reverse repurchase agreements of RCap     (48,390,000) (39,775,000)  
Net payments on derivatives     23,168 7,288  
Net change in:          
Other assets     (72,800) (29,324)  
Accrued interest and dividends receivable     13,970 52,057  
Receivable for investment advisory income       6,410  
Accrued interest payable     15,729 (34,947)  
Accounts payable and other liabilities     (23,162) 17,417  
Net cash provided by (used in) operating activities     833,139 (3,642,960)  
Cash flows from investing activities:          
Payments on purchases of Residential Investment Securities     (13,628,516) (13,172,943)  
Proceeds from sales of Residential Investment Securities     8,729,912 22,081,011  
Principal payments on Agency mortgage-backed securities     8,580,353 7,811,368  
Purchase of MSRs     (127,489)    
Proceeds from sale of investment in affiliate       126,402  
Payments on purchases of corporate debt     (324,863) (301,739)  
Principal payments on corporate debt     98,542 43,846  
Purchases of commercial real estate debt investments     (76,862) (368,511)  
Sales of commercial real estate debt investments       41,016  
Purchase of securitized loans at fair value     (1,489,268) (2,574,353)  
Origination of commercial real estate investments, net     (204,184) (350,477)  
Proceeds from sale of commercial real estate investments     12,750 227,450  
Principal payments on commercial real estate debt investments     71,116 10,170  
Principal payments on securitized loans at fair value     106,786    
Principal payments on commercial real estate investments     486,435 327,936  
Purchase of investments in real estate     (2,043) (29,900)  
Investment in unconsolidated joint venture     (3,109) (70,602)  
Distributions in excess of cumulative earnings from unconsolidated joint ventures     4,155    
Payments on purchase of residential mortgage loans held for investment     (8,022)    
Proceeds from repayments from residential mortgage loans held for investment     11,771    
Purchase of equity securities     (88,062) (27,519)  
Proceeds from sales of equity securities     16,112 13,119  
Cash acquired in business combination     41,697    
Net cash provided by (used in) investing activities     2,207,211 13,786,274  
Cash flows from financing activities:          
Proceeds from repurchase agreements     128,601,867 156,196,644  
Principal payments on repurchase agreements     (133,021,365) (166,759,206)  
Payments on maturity of convertible senior notes       (857,541)  
Proceeds from other secured financing     2,358,314 687,935  
Payments on other secured financing     (434,458) (327,965)  
Proceeds from issuance of securitized debt     1,381,640 2,382,810  
Principal repayments on securitized debt     (273,091) (84,560)  
Principal repayments on securitized loans       201  
Payment of deferred financing cost     (3,076) (886)  
Net proceeds from direct purchases and dividend reinvestments     1,795 1,724  
Proceeds from mortgages payable       20,450  
Principal payments on participation sold     (230) (220)  
Principal payments on mortgages payable     (7,500) (262)  
Contributions from noncontrolling interests       1,107  
Distributions to noncontrolling interests     (926) (456)  
Net payment on share repurchase     (102,712)    
Dividends paid     (927,678) (906,910)  
Net cash provided by (used in) financing activities     (2,427,420) (9,647,135)  
Net (decrease) increase in cash and cash equivalents     612,930 496,179  
Cash and cash equivalents, beginning of period     1,769,258 [1],[2] 1,741,244 1,741,244
Cash and cash equivalents, end of period 2,382,188 [2] 2,237,423 2,382,188 [2] 2,237,423 1,769,258 [1],[2]
Supplemental disclosure of cash flow information:          
Interest received     2,197,880 2,241,301  
Dividends received     1,253 12,684  
Fees received     4,266    
Investment advisory income received       31,258  
Interest paid (excluding interest paid on interest rate swaps)     441,121 314,568  
Net interest paid on interest rate swaps     415,223 450,750  
Taxes paid     858 1,926  
Noncash investing activities:          
Receivable for investments sold 493,839 127,571 493,839 127,571 121,625 [1]
Payable for investments purchased 454,237 744,378 454,237 744,378 107,115 [1]
Net change in unrealized gains (losses) on available-for-sale securities, net of reclassification adjustment     1,497,273 57,972  
Noncash financing activities:          
Dividends declared, not yet paid $ 269,111 $ 284,348 269,111 $ 284,348 $ 280,779 [1]
Decrease in securitized debt     $ 16,663    
[1] Derived from the audited consolidated financial statements at December 31, 2015.
[2] Includes cash of consolidated VIEs of $31.3 million and $48.5 million at September 30, 2016 and December 31, 2015, respectively.
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DESCRIPTION OF BUSINESS
 9 Months Ended
Sep. 30, 2016
Accounting Policies [Abstract]  
DESCRIPTION OF BUSINESS
1.
DESCRIPTION OF BUSINESS

Annaly Capital Management, Inc. (the “Company” or “Annaly”) is a Maryland corporation that commenced operations on February 18, 1997. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, Agency debentures, credit risk transfer (“CRT”) securities, other securities representing interests in or obligations backed by pools of mortgage loans, residential mortgage loans, mortgage servicing rights, commercial real estate assets and corporate debt. The Company’s principal business objectives are to generate net income for distribution to its stockholders from its investments and capital preservation. The Company is externally managed by Annaly Management Company LLC (the “Manager”).
The Company’s business operations are primarily comprised of the following:

·
Annaly, the parent company, which invests primarily in Agency mortgage-backed securities and related derivatives to hedge these investments. Its portfolio also includes residential credit investments such as CRT and non-Agency mortgage-backed securities.
·
Annaly Commercial Real Estate Group, Inc. (“ACREG,” formerly known as CreXus Investment Corp.), a wholly-owned subsidiary that was acquired during the second quarter of 2013 which specializes in acquiring, financing and managing commercial real estate loans and other commercial real estate debt, commercial mortgage-backed securities and other commercial real estate-related assets.
·
Annaly Middle Market Lending LLC (“MML,” formerly known as Charlesfort Capital Management LLC), a wholly-owned subsidiary which engages in corporate middle market lending transactions.
·
Hatteras Financial Corp. (“Hatteras”), a wholly-owned subsidiary that was acquired during the third quarter of 2016 which, through its wholly-owned subsidiaries, primarily engages in acquiring, investing in, securitizing and managing residential whole mortgage loans and investing in and managing mortgage servicing rights.
·
RCap Securities, Inc. (“RCap”), a wholly-owned subsidiary, which operates as a broker-dealer and is a member of the Financial Industry Regulatory Authority (“FINRA”).
 
The Company has elected to be taxed as a Real Estate Investment Trust (“REIT”) as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”).
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BASIS OF PRESENTATION
 9 Months Ended
Sep. 30, 2016
Accounting Policies [Abstract]  
BASIS OF PRESENTATION
2.  BASIS OF PRESENTATION

The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP").
The accompanying consolidated financial statements and related notes are unaudited and should be read in conjunction with the audited consolidated financial statements included in the Company’ most recent annual report on Form 10-K. The consolidated financial information as of December 31, 2015 has been derived from audited consolidated financial statements not included herein.
In the opinion of management, all normal, recurring adjustments have been included for a fair presentation of this interim financial information. Interim period operating results may not be indicative of the operating results for a full year.
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SIGNIFICANT ACCOUNTING POLICIES
 9 Months Ended
Sep. 30, 2016
Accounting Policies [Abstract]  
SIGNIFICANT ACCOUNTING POLICIES
3.
SIGNIFICANT ACCOUNTING POLICIES
Principles of Consolidation – The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries and consolidated variable interest entities. All intercompany balances and transactions have been eliminated in consolidation. The Company reclassified previously presented financial information so that amounts previously presented conform to the current period presentation.

The Company has evaluated all of its investments in legal entities in order to determine if they are variable interests in Variable Interest Entities ("VIEs"). A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A variable interest is an investment or other interest that will absorb portions of a VIE's expected losses or receive portions of the entity’s expected residual returns. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that (i) has the power to direct the activities that most significantly impact the VIE’s economic performance and (ii) has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE.
 
To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, the Company considers all facts and circumstances, including the Company’s role in establishing the VIE and the Company’s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE.

To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, in the VIE. This assessment requires that the Company apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company.

The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion regarding the VIE to change.

Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. RCap is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company’s interest rate swaps and other derivatives totaled approximately $2.3 billion and $1.6 billion at September 30, 2016 and December 31, 2015, respectively.
 
Fair Value Measurements – The Company reports various financial instruments at fair value. A complete discussion of the methodology utilized by the Company to estimate the fair value of certain financial instruments is included in these Notes to Consolidated Financial Statements.

Revenue Recognition – The revenue recognition policy by asset class is discussed below.

Agency Mortgage-Backed Securities, Agency Debentures, Non-Agency Mortgage-Backed Securities and CRT Securities – The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans and certificates guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). These Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). The Company also invests in Agency debentures issued by the Federal Home Loan Banks, Freddie Mac and Fannie Mae, as well as CRT securities. CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae, Freddie Mac and/or third parties to private investors. The Company also invests in non-Agency mortgage-backed securities, such as those issued in non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations.
Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Investment Securities.” Although the Company generally intends to hold most of its Residential Investment Securities until maturity, it may, from time to time, sell any of its Residential Investment Securities as part of the overall management of its portfolio. Residential Investment Securities classified as available-for-sale are reported at fair value with unrealized gains and losses reported in other comprehensive income (loss) unless the Company has elected the fair value option, where the unrealized gains and losses on these financial instruments are recorded through earnings (e.g., interest-only securities). The fair value of Residential Investment Securities classified as available-for-sale is estimated by management and is compared to independent sources for reasonableness. Residential Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on sales of Residential Investment Securities are recorded on trade date based on the specific identification method.
 
The Company elected the fair value option for interest-only mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities as this election simplifies the accounting. Interest-only securities and inverse interest-only securities are collectively referred to as “interest-only securities.” These interest-only mortgage-backed securities represent the Company’s right to receive a specified proportion of the contractual interest flows of specific mortgage-backed securities. Interest-only mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities are measured at fair value with changes in fair value recorded as Net unrealized gains (losses) on investments measured at fair value through earnings in the Company’s Consolidated Statements of Comprehensive Income (Loss). The interest-only securities are included in Agency mortgage-backed securities at fair value on the accompanying Consolidated Statements of Financial Condition.

The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the Residential Investment Securities and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities), considering estimates of future principal prepayment in the calculation of the effective yield because they are probable and the timing and amount of prepayments can be reasonably estimated. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the investment is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.
Premiums or discounts associated with the purchase of Agency interest-only securities and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis.
Interest income for Agency debentures is recognized by applying the interest method using contractual cash flows without estimating prepayments.
The table below summarizes the interest income recognition methodology for Residential Investment Securities:
 
 
Interest Income
Methodology
Agency
  
Fixed-rate pass-through(1)
Effective yield(3)
Adjustable-rate pass-through(1)
Effective yield(3)
Collateralized Mortgage Obligation (“CMO”)(1)
Effective yield(3)
 
Debentures(1)
Contractual Cash Flows
Interest-only(2)
Prospective
   
Residential Credit
  
CRT(2)
Prospective
Legacy (2)
Prospective
NPL/RPL (2)
Prospective
New issue (2)
Prospective
New issue interest-only (2)
Prospective
   
(1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss).
(2) Changes in fair value are recognized in Net unrealized gains (losses) on investments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss).
(3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.
Residential Mortgage Loans – The Company’s residential mortgage loans are primarily comprised of prime jumbo adjustable-rate whole mortgage loans acquired in connection with the Company’s acquisition of Hatteras (“Hatteras Acquisition”) and subsequent purchases. Additionally, pursuant to the Hatteras Acquisition, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo whole mortgage loans. The Company made elections to account for the investments in residential mortgage loans held in its portfolio and in the securitization trust at fair value as these elections simplify the accounting. Residential mortgage loans are recognized at fair value on the accompanying Consolidated Statements of Financial Condition. Changes in the estimated fair value are presented in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).

Premiums and discounts associated with the purchase of residential mortgage loans and with those held in the securitization trust are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss).

There was no real estate acquired in settlement of residential mortgage loans as of September 30, 2016 or December 31, 2015. The Company would be considered to have received physical possession of residential real estate property collateralizing a residential mortgage loan, so that the loan is derecognized and the real estate property would be recognized, if either (i) the Company obtains legal title to the residential real estate property upon completion of a foreclosure or (ii) the borrower conveys all interest in the residential real estate property to the Company to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement.

Mortgage Servicing Rights (“MSRs”) – MSRs represent the rights associated with servicing contracts obtained in connection with the Hatteras Acquisition or through the subsequent purchase of such rights from third parties with the intention of holding them as investments. The Company and its subsidiaries do not originate or directly service mortgage loans. Rather, the Company utilizes duly licensed subservicers to perform substantially all servicing functions for the loans underlying the MSRs. The Company elected to account for all of its investments in MSRs at fair value; as such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).

Equity Securities – The Company may invest in equity securities that are classified as available-for-sale or trading. Equity securities classified as available-for-sale are reported at fair value, based on market quotes, with unrealized gains and losses reported as a component of other comprehensive income (loss). Equity securities classified as trading are reported at fair value, based on market quotes, with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net gains (losses) on trading assets. Dividends are recorded in earnings based on the declaration date.

Derivative Instruments – The Company may use a variety of derivative instruments to economically hedge some of its exposure to market risks, including interest rate and prepayment risk. These instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA contracts without intent to accept delivery (“TBA derivatives”), options on TBA contracts (“MBS options”), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments. The Company may also invest in other types of mortgage derivatives such as interest-only securities and synthetic total return swaps, such as the Markit IOS Synthetic Total Return Swap Index. Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging, which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes.

Some derivative agreements contain provisions that allow for netting or setting off by counterparty; however, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition.

Interest rate swap agreements - Interest rate swaps are the primary instrument used to mitigate interest rate risk. In particular, the Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared swaps are fair valued using the DCO’s market values.

Interest rate swaptions - Interest rate swaptions are purchased/sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount,  stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid/received for interest rate swaptions is reported as an asset/liability in the Consolidated Statements of Financial Condition. The difference between the premium and the fair value of the swaption is reported in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received/paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid.

The fair value of interest rate swaptions is estimated using internal pricing models and compared to the counterparty market value.

TBA Dollar Rolls - TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).

MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).
Futures Contracts - Futures contracts are derivatives that track the prices of specific assets. Short sales of futures contracts help mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts that are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).
Forward purchase commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing mortgage loans at a particular price, provided the mortgage loans close with the counterparties. Gains and losses are recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).

Repurchase Agreements – The Company finances the acquisition of a significant portion of its Agency mortgage-backed securities with repurchase agreements. The Company examines each of the specified criteria in ASC 860, Transfers and Servicing, at the inception of each transaction and has determined that each of the financings meet the specified criteria in this guidance.

Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap as operating activities in the Consolidated Statements of Cash Flows.

Goodwill and Intangible Assets – The Company’s acquisitions are accounted for using the acquisition method. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain.
The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. An impairment of the goodwill associated with the Company’s acquisition of Fixed Income Discount Advisory Company (“FIDAC”) was recorded during the year ended December 31, 2015.
Finite life intangible assets are amortized over their expected useful lives.

Convertible Senior Notes – The Company recorded the 4% Convertible Senior Notes and 5% Convertible Senior Notes (collectively, the “Convertible Senior Notes”) at their contractual amounts, adjusted by the effects of a beneficial conversion feature and a contingent beneficial conversion feature (collectively, the “Conversion Features”). The Conversion Features’ intrinsic value is included in “Additional paid-in capital” on the Company’s Consolidated Statements of Financial Condition and reduces the recorded liability amount associated with the Convertible Senior Notes. A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common stockholders. The 4% and 5% Convertible Senior Notes matured in February 2015 and May 2015, respectively.

Stock Based Compensation – The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award.

Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. Accordingly, the Company will not be subject to federal income tax to the extent of its distributions to stockholders and as long as certain asset, income and stock ownership tests are met. The Company and certain of its direct and indirect subsidiaries, including FIDAC, RCap and certain subsidiaries of ACREG and Hatteras, have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income.
The provisions of ASC 740, Income Taxes, (“ASC 740”) clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were necessary as of September 30, 2016 and December 31, 2015.
 
Use of Estimates – The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Commercial Real Estate Investments

Commercial Real Estate Debt Investments - The Company’s commercial real estate debt investments are comprised of commercial mortgage-backed securities and loans held by consolidated collateralized financing entities. Commercial mortgage-backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss). Management evaluates commercial mortgage-backed securities for other-than-temporary impairment at least quarterly. See the “Commercial Real Estate Investments” Note for additional information regarding the consolidated collateralized financing entities.

Commercial Real Estate Loans – The Company's commercial real estate loans are comprised of fixed-rate and adjustable-rate loans. The Company designates loans as held for investment if it has the intent and ability to hold the loans until maturity or payoff. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans that are designated as held for investment and are originated or purchased by the Company are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary.
If the Company intends to sell or securitize the loans and the financing vehicle is not expected to be consolidated, they are classified as held for sale. Commercial real estate loans that are designated as held for sale are carried at the lower of amortized cost or fair value and recorded as Commercial Loans held for sale in the accompanying Consolidated Statements of Financial Condition. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of commercial real estate loans held for sale on an individual loan basis. The Company has elected the fair value option for multi-family mortgage loans held in securitization trusts that it was required to consolidate. Preferred equity interests are designated as held for investment and are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary. See “Commercial Real Estate Investments” Note for additional information.
Investments in Commercial Real Estate – Investments in commercial real estate are carried at historical cost less accumulated depreciation. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance that are not reimbursed by tenants are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life.

Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows:
 
Category
 
Term
Building
30 - 40 years
Site improvements
1 - 28 years

The Company follows the acquisition method of accounting for acquisitions of operating real estate held for investment, where the purchase price of operating real estate is allocated to tangible assets such as land, building, site improvements and other identified intangibles such as above/below market and in-place leases.

The Company applies the equity method of accounting for its investments in joint ventures where it is not considered to have a controlling financial interest. Under the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method.

The Company evaluates whether real estate acquired in connection with a foreclosure (“REO”) or Uniform Commercial Code (“UCC”)/deed in lieu of foreclosure (herein collectively referred to as a foreclosure) constitutes a business and whether business combination accounting is applicable. Upon foreclosure of a property, the excess of the carrying value of a loan, if any, over the estimated fair value of the property, less estimated costs to sell, is charged to provision for loan losses.

Investments in commercial real estate, including REO, that do not meet the criteria to be classified as held for sale are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded.

The Company's real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property's value is considered impaired if the Company's estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property.

Revenue Recognition – Commercial Real Estate Investments - Interest income is accrued based on the outstanding principal amount of the commercial real estate loans and preferred equity interests held for investment (collectively referred to as “CRE Debt and Preferred Equity Investments”) and their contractual terms. Premiums and discounts associated with the purchase of CRE Debt and Preferred Equity Investments are amortized or accreted into interest income over the projected lives of the CRE Debt and Preferred Equity Investments using the interest method.

Corporate Debt
Corporate Loans – The Company’s investments in corporate loans are designated as held for investment when the Company has the intent and ability to hold the investment until maturity or payoff. These investments are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method. These investments typically take the form of senior secured loans primarily in first lien and second lien loans. The Company’s senior secured loans generally have stated maturities of three to eight years. In connection with these senior secured loans the Company receives a security interest in certain of the assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to the least amount of credit risk given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. To date, the majority of the Company’s investments have been funded term loans versus debt securities.
Corporate Debt Securities – The Company’s investments in corporate debt securities are designated as held-to-maturity when the Company has the intent and ability to hold the investments until maturity. These investments are carried at their principal balance outstanding plus any premiums or discounts less other-than-temporary impairment. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method.
Impairment of Securities and Loans
Other-Than-Temporary Impairment – Management evaluates available-for-sale securities and held-to-maturity debt securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For available-for-sale securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss), while the balance of losses related to other factors will be recognized as a component of other comprehensive income (loss). If the fair value is less than the cost of a held-to-maturity security, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security. There was no other-than-temporary impairment recognized for the quarters ended September 30, 2016 and 2015.
Allowance for Losses – The Company evaluates the need for a loss reserve on its CRE Debt and Preferred Equity Investments and its corporate loans. A provision for losses related to CRE Debt and Preferred Equity Investments and corporate loans, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality, may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectable. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages if applicable and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date.
The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics upon either the origination or the acquisition of a new investment but generally does not update the loan-to-value metrics in the course of quarterly surveillance. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance its respective assets at the maturity of each loan. Management also reviews economic trends, both macro and those affecting the property specifically, and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations.
In connection with the quarterly surveillance review process, CRE Debt and Preferred Equity Investments are assigned an internal risk rating. Effective December 31, 2015, the loan risk ratings were enhanced to reflect guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The initial internal risk ratings (“Initial Ratings”) are based on loan-to-values and the NOI debt yields of the underlying collateral of the Company’s CRE Debt and Preferred Equity Investments and based upon leverage and cash flow coverages of the borrowers’ debt and operating obligations. The final internal risk ratings are influenced by other quantitative and qualitative factors that can result in an adjustment to the Initial Ratings, subject to review and approval by the respective committee. The internal risk rating categories include “Performing”, “Performing - Closely Monitored”, “Performing - Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserve management’s close attention and if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The presentation of prior period internal risk ratings have been revised to conform to the current period presentation.
Nonaccrual Status – If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued, but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt, but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower.

The Company did not have any impaired loans, nonaccrual loans, or loans in default as all of the loans were performing as of September 30, 2016 and December 31, 2015. Accordingly, no allowance for loan losses was deemed necessary as of September 30, 2016 and December 31, 2015.

Broker Dealer Activities

Reverse Repurchase Agreements – RCap enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Margin calls are made by RCap as necessary based on the daily valuation of the underlying collateral as compared to the contract price. RCap generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. RCap’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and RCap requires counterparties to deposit additional collateral when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give RCap the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. Substantially all of RCap’s reverse repurchase activity is with affiliated entities.

Recent Accounting Pronouncements

The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption.
 
Standard
Description
Effective Date
Effect on the financial statements or other significant matters
Standards that are not yet adopted
      
ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments
This ASU updates the existing incurred loss model to a current expected credit loss model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, debt securities, trade receivables, net investments in leases, off balance sheet credit exposures and any other financial assets not excluded from the scope. There are also changes to the accounting for available for sale debt securities.
 January 1, 2020 (early adoption permitted)
The Company is assessing the impact to the consolidated financial statements.
Standard
Description
Effective Date
Effect on the financial statements or other significant matters
Standards that were adopted
      
ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity
This update provides a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis.
 January 1, 2016 (early adoption permitted)
The Company early adopted this ASU in the first quarter of 2015 and applied the guidance to commercial mortgage backed securitization transactions. See "Variable Interest Entity" footnote for further disclosure.
       
XML 23 R11.htm IDEA: XBRL DOCUMENT v3.5.0.2
ACQUISITION OF HATTERAS
 9 Months Ended
Sep. 30, 2016
Business Combinations [Abstract]  
ACQUISITION OF HATTERAS
4.  ACQUISITION OF HATTERAS

As previously disclosed in the Company’s filings with the SEC, on July 12, 2016 the Company completed its acquisition of Hatteras, an externally managed mortgage REIT that invested primarily in single-family residential mortgage real estate assets, for aggregate consideration to Hatteras common shareholders of $1.5 billion, consisting of $1.0 billion in equity consideration and $521.1 million in cash consideration. The Company issued 93.9 million shares of common shares as part of the consideration for the Hatteras Acquisition, which includes replacement share-based payment awards.

In addition, as part of the Hatteras Acquisition, each share of Hatteras 7.625% Series A Cumulative Redeemable Preferred Stock, par value $0.001 per share (“Hatteras Preferred Share”), that was outstanding as of immediately prior to the completion of the Hatteras Acquisition was converted into one share of a newly-designated series of the Company’s preferred stock, par value $0.01 per share, which the Company classified and designated as 7.625% Series E Cumulative Redeemable Preferred Stock, and which has rights, preferences, privileges and voting powers substantially the same as a Hatteras Preferred Share.

Hatteras’ portfolio of adjustable rate mortgage-backed securities is believed to be complementary to the Company’s existing portfolio. The combined capital base is believed to support continued growth of the Company’s businesses and the acquisition is believed to create efficiency and growth opportunities.

The following table summarizes the aggregate consideration and preliminary fair value of the assets acquired and liabilities assumed recognized at the acquisition date, which is subject to change if new information becomes available:
 
Purchase Price Allocation (dollars in thousands)
      
       
Consideration transferred:
      
Cash
  
$
521,082
  
Common Equity
    
997,707
  
         
Preferred Shares:
        
Exchange of Hatteras preferred stock for Annaly preferred stock
    
278,252
  
Preferred stock fair value adjustment
    
9,248
  
Preferred Shares
    
287,500
  
         
Total Consideration
  
$
1,806,289
  
         
Net Assets:
        
Cash
  
$
562,780
  
Agency mortgage-backed securities, at fair value
    
10,863,070
  
Credit risk transfer securities, at fair value
    
116,770
  
Residential mortgage loans
    
360,447
  
Mortgage servicing rights
    
355,820
  
Other derivatives, at fair value
    
8,677
  
Principal receivable
    
438,005
  
Accrued interest and dividend receivable
    
83,814
  
Other assets
    
57,250
  
Total Assets Acquired
  
$
12,846,633
  
         
Repurchase agreements
  
$
10,422,757
  
Other secured financing
    
35,769
  
Securitized debt of consolidated VIEs
    
54,135
  
Other derivatives, at fair value
    
349,922
  
Dividends payable
    
670
  
Payable for investments purchased
    
2,643
  
Accrued interest payable
    
4,833
  
Accounts payable and other liabilities
    
97,039
  
Total Liabilities Assumed
    
10,967,768
  
Net Assets Acquired
  
$
1,878,865
  
         
Bargain Purchase Gain
  
$
72,576
  
For time-based restricted stock awards granted by Hatteras that fully vested as of the Hatteras Acquisition closing date, the fair value of the Company’s common stock issued in the satisfaction of these awards was included in equity consideration transferred as no post acquisition service was required. For time-based restricted stock awards granted by Hatteras that did not fully vest as of the acquisition date and require post-acquisition service, the fair value of the Company’s common stock issued as replacement awards has been allocated between the pre- and post-acquisition service period, with the amount allocated to the pre-acquisition period included in the equity consideration transferred. The amount allocated to the post-acquisition service period for the time-based restricted stock awards was $5.8 million and expensed during the third quarter of 2016 in Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss). Also, in connection with the Hatteras Acquisition, the Company entered into consulting agreements with certain former employees of Hatteras. During the third quarter of 2016, the Company recognized the full amount of the fees related to the consulting agreements totaling $19.9 million in Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss).
 
Under the acquisition method of accounting, merger-related transaction costs (such as advisory, legal, valuation, consulting and other professional fees) are not included as components of consideration transferred but are expensed in the periods in which the costs are incurred. Transaction costs of $48.9 million were incurred during the nine months ended September 30, 2016 and were included in Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss).

The fair value and unpaid principal balance of residential mortgage loans acquired in connection with the Hatteras acquisition were $360.4 million and $350.5 million, respectively.
The bargain purchase gain is the result of the mortgage REIT sector facing significant headwinds for a variety of reasons, including uncertainty regarding the outlook for interest rates and the financial markets generally. Consequently, in recent years, the price per share of Hatteras common stock has traded at a substantial discount to Hatteras’ book value per share, which made raising equity capital to fund new investments dilutive to stockholders. Because of these circumstances, Hatteras was unable to raise equity capital on acceptable terms and significantly increase its size and scale through capital market transactions. The bargain purchase is recognized in Realized and unrealized gains (losses) in the Consolidated Statements of Comprehensive Income (Loss).

The Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2016 includes Net interest income and Net income (loss) of $35.5 million and $86.7 million, respectively, attributable to the Hatteras Acquisition. The following unaudited pro forma summary presents consolidated information of the Company, assuming the Hatteras Acquisition had occurred as of January 1, 2015 for purposes of the 2016 and 2015 pro forma disclosures presented. They include certain adjustments for the periods presented to exclude deferred swap net losses of Hatteras from net interest expense to conform to the Company’s presentation, recalculate the management fee based upon pro forma stockholders’ equity and the Company’s management fee rate, eliminate Hatteras common stock outstanding and record the issuance of the Company’s common stock to Hatteras stockholders and reflect direct costs incurred by the Company and the bargain purchase gain as if the Hatteras Acquisition occured as of January 1, 2015. These pro forma results have been prepared for comparative purposes only and do not purport to be indicative of what operating results would have been had the Hatteras Acquisition occurred on January 1, 2015 and may not be indicative of future operating results:
   
For the Quarters Ended
    
For the Nine Months Ended
  
   
September 30, 2016
    
September 30, 2015
    
September 30, 2015
    
September 30, 2015
  
   
(dollars in thousands, except per share data)
  
Net interest income
  
$
395,396
    
$
397,602
    
$
1,027,202
    
$
1,434,947
  
Net income (loss)
  
$
708,191
    
$
(710,720
)
  
$
(520,830
)
  
$
(272,007
)
Basic earnings per common share
  
$
0.67
    
$
(0.70
)
  
$
(0.58
)
  
$
(0.33
)
Diluted earnings per common share
  
$
0.67
    
$
(0.70
)
  
$
(0.58
)
  
$
(0.33
)
 
For additional details regarding the terms and conditions of the Hatteras Acquisition and related matters, please refer to the Company’s other filings with the SEC that were made in connection with the Hatteras Acquisition, including the Prospectus/Offer to Exchange filed with the SEC pursuant to Rule 424(b)(3) on July 8, 2016 and the Current Report on Form 8-K filed with the SEC on July 12, 2016.
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RESIDENTIAL INVESTMENT SECURITIES
 9 Months Ended
Sep. 30, 2016
Text Block [Abstract]  
RESIDENTIAL INVESTMENT SECURITIES
5.  RESIDENTIAL INVESTMENT SECURITIES

The following tables present the Company’s Residential Investment Securities portfolio carried at fair value as of September 30, 2016 and December 31, 2015:
 
   
September 30, 2016
   
Principal / Notional
    
Remaining Premium
    
Remaining Discount
    
Amortized Cost
    
Unrealized Gains(1)
    
Unrealized Losses(1)
    
Estimated Fair Value
  
Agency
  
(dollars in thousands)
Fixed-rate pass-through
  
$
55,713,247
    
$
3,174,800
    
$
(1,828
)
  
$
58,886,219
    
$
1,102,609
    
$
(46,259
)
  
$
59,942,569
  
Adjustable-rate pass-through
    
11,760,633
      
409,677
      
(4,399
)
    
12,165,911
      
77,056
      
(14,340
)
    
12,228,627
  
Interest-only
    
8,562,837
      
1,498,193
      
-
      
1,498,193
      
13,145
      
(206,429
)
    
1,304,909
  
Total Agency investments
  
$
76,036,717
    
$
5,082,670
    
$
(6,227
)
  
$
72,550,323
    
$
1,192,810
    
$
(267,028
)
  
$
73,476,105
  
                                                         
Residential Credit
                                                        
CRT
  
$
641,531
    
$
7,333
    
$
(11,742
)
  
$
637,122
    
$
32,188
    
$
(15
)
  
$
669,295
  
Legacy(2)
    
1,075,956
      
1,634
      
(169,677
)
    
907,913
      
26,767
      
(513
)
    
934,167
  
NPL/RPL
    
347,105
      
434
      
(877
)
    
346,662
      
2,037
      
(264
)
    
348,435
  
New issue
    
161,275
      
946
      
(359
)
    
161,862
      
4,484
      
(16
)
    
166,330
  
New issue interest-only
    
935,395
      
16,615
      
-
      
16,615
      
-
      
(5,286
)
    
11,329
  
Total residential credit investments
  
$
3,161,262
    
$
26,962
    
$
(182,655
)
  
$
2,070,174
    
$
65,476
    
$
(6,094
)
  
$
2,129,556
  
                                                         
Total Residential Investment Securities
  
$
79,197,979
    
$
5,109,632
    
$
(188,882
)
  
$
74,620,497
    
$
1,258,286
    
$
(273,122
)
  
$
75,605,661
  
                                                         
                                                         
   
December 31, 2015
   
Principal / Notional
    
Remaining Premium
    
Remaining Discount
    
Amortized Cost
    
Unrealized Gains(1)
    
Unrealized Losses(1)
    
Estimated Fair Value
  
Agency
  
(dollars in thousands)
Fixed-rate pass-through
  
$
57,339,705
    
$
3,270,521
    
$
(2,832
)
  
$
60,607,394
    
$
400,350
    
$
(824,862
)
  
$
60,182,882
  
Adjustable-rate pass-through
    
2,894,192
      
61,781
      
(6,427
)
    
2,949,546
      
70,849
      
(10,317
)
    
3,010,078
  
CMO
    
964,095
      
27,269
      
(477
)
    
990,887
      
9,137
      
(12,945
)
    
987,079
  
Debentures
    
158,802
      
-
      
(648
)
    
158,154
      
-
      
(6,116
)
    
152,038
  
Interest-only
    
9,499,332
      
1,634,312
      
-
      
1,634,312
      
18,699
      
(114,826
)
    
1,538,185
  
Total Agency investments
  
$
70,856,126
    
$
4,993,883
    
$
(10,384
)
  
$
66,340,293
    
$
499,035
    
$
(969,066
)
  
$
65,870,262
  
                                                         
Residential Credit
                                                        
CRT
  
$
476,084
    
$
2,225
    
$
(12,840
)
  
$
465,469
    
$
250
    
$
(9,209
)
  
$
456,510
  
Legacy(2)
    
378,527
      
773
      
(37,150
)
    
342,150
      
698
      
(1,140
)
    
341,708
  
NPL/RPL
    
354,945
      
19
      
(1,270
)
    
353,694
      
19
      
(1,172
)
    
352,541
  
New issue
    
197,695
      
566
      
-
      
198,261
      
-
      
(1,060
)
    
197,201
  
New issue interest-only
    
811,245
      
15,430
      
-
      
15,430
      
-
      
(158
)
    
15,272
  
Total residential credit securities
  
$
2,218,496
    
$
19,013
    
$
(51,260
)
  
$
1,375,004
    
$
967
    
$
(12,739
)
  
$
1,363,232
  
                                                         
Total Residential Investment Securities
  
$
73,074,622
    
$
5,012,896
    
$
(61,644
)
  
$
67,715,297
    
$
500,002
    
$
(981,805
)
  
$
67,233,494
  
 
(1) Unrealized gains and losses on Agency securities (other than interest-only securities), are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit investments and Agency interest-only investments are generally reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).
(2) Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009.
 
The following tables present the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration as of September 30, 2016 and December 31, 2015:
 
Investment Type
  
September 30, 2016
    
December 31, 2015
  
   
(dollars in thousands)
Fannie Mae
  
$
48,151,223
    
$
42,647,075
  
Freddie Mac
    
25,246,425
      
22,960,595
  
Ginnie Mae
    
78,457
      
110,554
  
Total
  
$
73,476,105
    
$
65,718,224
  
 
 
Actual maturities of the Company’s Residential Investment Securities portfolio are generally shorter than stated contractual maturities because actual maturities of the portfolio are affected by periodic payments and prepayments of principal on underlying mortgages. The following table summarizes the Company’s available-for-sale Residential Investment Securities as of September 30, 2016 and December 31, 2015, according to their estimated weighted average life classifications:
 
 
   
September 30, 2016
    
December 31, 2015
  
Weighted Average Life
  
Estimated Fair Value
    
Amortized Cost
    
Estimated Fair Value
    
Amortized Cost
  
   
(dollars in thousands)
  
Less than one year
  
$
654,108
    
$
663,561
    
$
37,862
    
$
37,850
  
Greater than one year through five years
    
55,394,787
      
54,543,574
      
20,278,111
      
20,066,435
  
Greater than five years through ten years
    
19,480,416
      
19,337,485
      
46,473,701
      
47,174,319
  
Greater than ten years
    
76,350
      
75,877
      
443,820
      
436,693
  
Total
  
$
75,605,661
    
$
74,620,497
    
$
67,233,494
    
$
67,715,297
  
 
 
The weighted average lives of the Agency mortgage-backed securities at September 30, 2016 and December 31, 2015 in the table above are based upon projected principal prepayment rates. The actual weighted average lives of the Agency mortgage-backed securities could be materially longer or shorter than projected.
 
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2016 and December 31, 2015.
 
   
September 30, 2016
    
December 31, 2015
  
   
Estimated Fair Value(1)
    
Gross Unrealized Losses(1)
    
Number of Securities(1)
    
Estimated Fair Value(1)
    
Gross Unrealized Losses(1)
    
Number of Securities(1)
  
   
(dollars in thousands)
  
Less than 12 Months
  
$
8,204,957
    
$
(28,676
)
    
445
    
$
20,072,072
    
$
(164,259
)
    
463
  
12 Months or More
    
6,867,701
      
(31,923
)
    
54
      
21,705,764
      
(689,981
)
    
189
  
Total
  
$
15,072,658
    
$
(60,599
)
    
499
    
$
41,777,836
    
$
(854,240
)
    
652
  
 
(1) Excludes interest-only mortgage-backed securities.
 
 
The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency mortgage-backed securities are “AAA” rated or carry an implied “AAA” rating. The investments are not considered to be other-than-temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments, and it is not more likely than not that the Company will be required to sell the investments before recovery of the amortized cost bases, which may be maturity. Also, the Company is guaranteed payment of the principal amount of the securities by the respective issuing Agency.
 
During the quarter and nine months ended September 30, 2016, the Company disposed of $3.8 billion and $9.1 billion of Residential Investment Securities, respectively, resulting in a net realized gain of $14.7 million and $24.9 million, respectively.
During the quarter and nine months ended September 30, 2015, the Company disposed of $3.7 billion and $21.1 billion of Residential Investment Securities, respectively, resulting in a net realized gain of $4.5 million and $70.8 million, respectively.
XML 25 R13.htm IDEA: XBRL DOCUMENT v3.5.0.2
RESIDENTIAL MORTGAGE LOANS
 9 Months Ended
Sep. 30, 2016
Mortgage Loans on Real Estate [Abstract]  
RESIDENTIAL MORTGAGE LOANS
6.  RESIDENTIAL MORTGAGE LOANS
The table below presents the fair value and the unpaid principal balance for these loans as of September 30, 2016:
 
   
(dollars in thousands)
  
Fair value
  
$
310,148
  
Unpaid principal balance
  
$
301,957
  
 
The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the quarter and nine months ended September 30, 2016 for these investments:
 
   
(dollars in thousands)
  
Net gains (losses) on disposal of investments
  
$
(383
)
Net unrealized gains (losses) on investments measured at fair value through earnings
    
(493
 ) 
Net interest income
    
1,203
  
Total included in net income (loss)
  
$
327
  
 
None of the change in the fair value of the residential mortgage loans was attributable to changes in credit risk based on current delinquencies.

The following table provides the geographic concentrations based on the unpaid principal balances as of September 30, 2016 for the residential mortgage loans, including loans held in a securitization trust:
 
Geographic Concentrations of Residential Mortgage Loans
Property Location
% of Balance
California
48.5%
Texas
11.0%
Illinois
5.5%
Florida
5.3%
All other (none individually greater than 5%)
29.7%
Total
100.0%
 
The table below provides additional data on the Company’s residential mortgage loans, including loans held in a securitization trust, at September 30, 2016:
 
   
September 30, 2016
  
   
Portfolio Range
    
Portfolio Weighted Average
  
   
(dollars in thousands)
  
Unpaid principal balance
  
$
164 - $1,903
    
$
716
  
Interest rate
    
2.50% - 4.13
%
    
3.45
%
Maturity
  
3/5/2044 - 7/21/2046
    
6/10/2045
  
FICO score at loan origination
    
700 - 815
      
765
  
Loan-to-value ratio at loan origination
    
23.73% - 80.27
%
    
70.56
%
XML 26 R14.htm IDEA: XBRL DOCUMENT v3.5.0.2
MORTGAGE SERVICING RIGHTS
 9 Months Ended
Sep. 30, 2016
Transfers and Servicing [Abstract]  
MORTGAGE SERVICING RIGHTS
7.  MORTGAGE SERVICING RIGHTS
In connection with the Hatteras Acquisition, the Company obtained an MSR portfolio and began investing in MSRs through Hatteras’ wholly-owned subsidiary during the third quarter of 2016. The Company elected to carry all investments in MSRs at fair value.

The following table presents activity related to MSRs for the quarter and nine months ended September 30, 2016:
 
   
September 30, 2016
  
   
(dollars in thousands)
  
Fair value, beginning of period
  
$
-
  
Obtained through Hatteras Acquisition
    
355,820
  
Purchases
    
131,729
  
Change in fair value due to:
        
Changes in valuation inputs or assumptions (1)
    
26,254
  
Other changes, including realization of expected cash flows
    
(21,634
)
Fair value, end of period
  
$
492,169
  
         
(1) Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.
  
 
For the three and nine months ended September 30, 2016, the Company recognized $26.2 million of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).
XML 27 R15.htm IDEA: XBRL DOCUMENT v3.5.0.2
COMMERCIAL REAL ESTATE INVESTMENTS
 9 Months Ended
Sep. 30, 2016
Text Block [Abstract]  
COMMERCIAL REAL ESTATE INVESTMENTS
8. COMMERCIAL REAL ESTATE INVESTMENTS
On December 11, 2015, the Company originated a $335.0 million recapitalization financing with respect to eight class A/B office properties in Orange County, California.

As of December 31, 2015, such financing was comprised of a $280.0 million senior mortgage loan ($278.6 million, net of origination fees), and mezzanine debt with an initial principal balance of $55.0 million ($52.7 million, net of origination fees) and a future funding component of $30.0 million. The senior loan was held for sale as of December 31, 2015. In April and August 2016, the Company sold $115.0 million ($114.3 million, net of origination fees) and $20.0 million ($19.9 million, net of origination fees) of the senior loan to unrelated third parties at carrying value, accordingly, no gain or loss was recorded in connection with these sales. The balance of the senior loan of $145.0 million ($144.3 million, net of origination fees) remains held for sale as of September 30, 2016.

The following tables present commercial real estate investments held for investment at September 30, 2016 and December 31, 2015.
 
CRE Debt and Preferred Equity Investments
 
   
September 30, 2016     
    
December 31, 2015     
  
   
Outstanding Principal
    
Carrying
Value(1)
    
Percentage of Loan Portfolio(2)
    
Outstanding Principal
    
Carrying
Value(1)
    
Percentage of Loan Portfolio(2)
  
   
(dollars in thousands)
                          
Senior mortgages
  
$
468,258
    
$
466,169
      
43.6
%
  
$
387,314
    
$
385,838
      
28.6
%
Senior securitized mortgages(3)
    
128,896
      
128,896
      
12.0
%
    
263,072
      
262,703
      
19.4
%
Mezzanine loans
    
468,864
      
466,170
      
43.6
%
    
582,592
      
578,503
      
43.0
%
Preferred equity
    
9,000
      
8,962
      
0.8
%
    
122,444
      
121,773
      
9.0
%
Total (4)
  
$
1,075,018
    
$
1,070,197
      
100.0
%
  
$
1,355,422
    
$
1,348,817
      
100.0
%
                                                 
(1) Carrying value includes unamortized origination fees of $4.9 million and $6.9 million as of September 30, 2016 and December 31, 2015, respectively.
  
(2) Based on outstanding principal.
  
(3) Assets of consolidated VIEs.
  
(4) Excludes Loans held for sale, net.
  
 
   
September 30, 2016           
  
   
Senior Mortgages
    
Senior Securitized Mortgages(1)
    
Mezzanine Loans
    
Preferred Equity
    
Total
  
   
(dollars in thousands)        
  
Beginning balance
  
$
385,838
    
$
262,703
    
$
578,503
    
$
121,773
    
$
1,348,817
  
Originations & advances (principal)
    
159,173
      
-
      
46,858
      
-
      
206,031
  
Principal payments
    
(78,229
)
    
(134,176
)
    
(160,585
)
    
(113,444
)
    
(486,434
)
Amortization & accretion of (premium) discounts
    
(102
)
    
-
      
(192
)
    
-
      
(294
)
Net (increase) decrease in origination fees
    
(1,566
)
    
-
      
(282
)
    
-
      
(1,848
)
Amortization of net origination fees
    
1,055
      
369
      
1,868
      
633
      
3,925
  
Net carrying value (2)
  
$
466,169
    
$
128,896
    
$
466,170
    
$
8,962
    
$
1,070,197
  
                                         
  (1) Assets of consolidated VIE.
                                
  (2) Excludes Loans held for sale, net.
                                
                                         
                                         
                                         
   
December 31, 2015              
  
   
Senior Mortgages
    
Senior Securitized Mortgages(1)
    
Mezzanine Loans
    
Preferred Equity
    
Total
  
   
(dollars in thousands)            
  
Beginning balance
  
$
383,895
    
$
398,634
    
$
522,731
    
$
212,905
    
$
1,518,165
  
Originations & advances (principal)
    
293,925
      
-
      
195,312
      
-
      
489,237
  
Principal payments
    
(243,270
)
    
(136,469
)
    
(153,693
)
    
(92,210
)
    
(625,642
)
Sales (principal)
    
(46,945
)
    
-
      
-
      
-
      
(46,945
)
Amortization & accretion of (premium) discounts
    
(142
)
    
-
      
(232
)
    
517
      
143
  
Net (increase) decrease in origination fees
    
(3,702
)
    
(279
)
    
(4,806
)
    
-
      
(8,787
)
Amortization of net origination fees
    
2,077
      
817
      
691
      
561
      
4,146
  
Transfers
    
-
      
-
      
18,500
      
-
      
18,500
  
Net carrying value (2)
  
$
385,838
    
$
262,703
    
$
578,503
    
$
121,773
    
$
1,348,817
  
                                         
  (1) Assets of consolidated VIE.
                                
  (2) Excludes Loans held for sale, net.
                                
 
Internal CRE Debt and Preferred Equity Investment Ratings

The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating categories include “Performing”, “Performing - Closely Monitored”, “Performing - Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserve management’s close attention and if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The presentation of prior period internal risk ratings have been revised to conform to the current period presentation.
 
The Company did not have any impaired loans, nonaccrual loans, or loans in default as all of the loans were performing as of September 30, 2016 and December 31, 2015. Accordingly, no allowance for loan losses was deemed necessary as of September 30, 2016 and December 31, 2015.
 
   
September 30, 2016
  
         
Percentage of CRE Debt and Preferred Equity Portfolio
    
Internal Ratings 
  
Investment Type
  
Outstanding Principal (1)
    
Performing
    
Performing - Closely Monitored
    
Performing - Special Mention
    
Substandard
    
Doubtful
    
Loss
    
Total
  
   
(dollars in thousands)
                    
Senior mortgages
  
$
468,258
      
43.6
%
  
$
92,290
    
$
243,528
    
$
132,440
    
$
-
    
$
-
    
$
-
    
$
468,258
  
Senior securitized mortgages(2)
    
128,896
      
12.0
%
    
-
      
17,500
      
111,396
      
-
      
-
      
-
      
128,896
  
Mezzanine loans
    
468,864
      
43.6
%
    
268,190
      
164,357
      
36,317
      
-
      
-
      
-
      
468,864
  
Preferred equity
    
9,000
      
0.8
%
    
-
      
-
      
9,000
      
-
      
-
      
-
      
9,000
  
   
$
1,075,018
      
100.0
%
  
$
360,480
    
$
425,385
    
$
289,153
    
$
-
    
$
-
    
$
-
    
$
1,075,018
  
                                                                         
  (1) Excludes Loans held for sale, net.                                  
  (2) Assets of consolidated VIE.
                                    
 
                                                                        
   
December 31, 2015
  
           
Percentage of CRE Debt and Preferred Equity Portfolio
    
Internal Ratings 
  
Investment Type
  
Outstanding Principal (1)
    
Performing
    
Performing - Closely Monitored
    
Performing - Special Mention
    
Substandard
    
Doubtful
    
Loss
    
Total
  
   
(dollars in thousands)
                          
Senior mortgages
  
$
387,314
      
28.6
%
  
$
71,000
    
$
283,148
    
$
33,166
    
$
-
    
$
-
    
$
-
    
$
387,314
  
Senior securitized mortgages(2)
    
263,072
      
19.4
%
    
106,770
      
15,500
      
140,802
      
-
      
-
      
-
      
263,072
  
Mezzanine loans
    
582,592
      
43.0
%
    
342,493
      
219,969
      
20,130
      
-
      
-
      
-
      
582,592
  
Preferred equity
    
122,444
      
9.0
%
    
-
      
81,944
      
40,500
      
-
      
-
      
-
      
122,444
  
   
$
1,355,422
      
100.0
%
  
$
520,263
    
$
600,561
    
$
234,598
    
$
-
    
$
-
    
$
-
    
$
1,355,422
  
                                                                         
  (1) Excludes Loans held for sale, net.                                  
  (2) Assets of consolidated VIE.
                                    
 
Investments in Commercial Real Estate
 
There were no acquisitions of new real estate holdings during the quarter and nine months ended September 30, 2016.
The following table summarizes real estate held for investment acquired in 2015:
Date of Acquisition
Type
Location
  
Original Purchase Price
    
Remaining Lease
Term (Years) (1)
  
(dollars in thousands) 
  
 
 
 
            
July 2015
Single Tenant Retail
Ohio
  
$
11,000
      
4.1
  
August 2015
Multi Tenant Retail
Florida
  
$
18,900
      
4.8
  
October 2015
Multifamily Property
Washington, DC
  
$
75,000
      
1.0
  
October 2015
Multi Tenant Retail
California
  
$
37,750
      
3.8
  
November 2015
Multi Tenant Retail
Texas
  
$
131,950
      
4.4
  

(1) Does not include extension options.
 
In the second quarter of 2016, the Company finalized the purchase price allocation of the eleven multi-tenant retail properties portfolio (“Texas Portfolio”) acquired in November 2015 for a total purchase price of $132.0 million and recognized $4.2 million of additional depreciation and amortization as a result. The following presents the aggregate final purchase price allocation of the Texas Portfolio:
 
 
  
Texas
  
 
  
(dollars in thousands)
  
Purchase Price Allocation:
      
Land
  
$
32,452
  
Buildings
    
82,552
  
Site improvements
    
5,446
  
Tenant Improvements
    
6,835
  
Real estate held for investment
    
127,285
  
 
        
Intangible assets (liabilities):
        
Leasehold intangible assets
    
14,598
  
Above market lease
    
274
  
Below market lease
    
(10,207
)
Total purchase price
  
$
131,950
  
 
The weighted average amortization period for intangible assets and liabilities as of September 30, 2016 is 4.7 years. Above market leases and leasehold intangible assets are included in Intangible assets, net and below market leases are included in Accounts payable and other liabilities in the Consolidated Statements of Financial Condition.
   
September 30, 2016
    
December 31, 2015
  
   
(dollars in thousands)
  
Real estate held for investment, at amortized cost
            
Land
  
$
117,023
    
$
113,494
  
Buildings and improvements
    
355,899
      
373,603
  
Subtotal
    
472,922
      
487,097
  
Less: accumulated depreciation
    
(32,239
)
    
(16,886
)
Total real estate held for investment, at amortized cost, net
    
440,683
      
470,211
  
Equity in unconsolidated joint ventures
    
59,344
      
65,735
  
Investments in commercial real estate, net
  
$
500,027
    
$
535,946
  

Depreciation expense was $5.0 million and $15.7 million for the quarter and nine months ended September 30, 2016, respectively. Depreciation expense was $3.1 million and $8.8 million for the quarter and nine months ended September 30, 2015, respectively. Depreciation expense is included in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).
Rental Income

The minimum rental amounts due under leases are generally either subject to scheduled fixed increases or adjustments. The leases generally also require that the tenants reimburse us for certain operating costs. Approximate future minimum rents payments under non-cancelable operating leases in effect at September 30, 2016 for consolidated investments in real estate are as follows:
 
 
  
September 30, 2016
  
 
  
(dollars in thousands)
  
2016 (remaining)
  
$
8,189
  
2017
    
31,102
  
2018
    
27,504
  
2019
    
23,448
  
2020
    
18,877
  
Later years
    
56,266
  
 
  
$
165,386
  

Mortgage loans payable as of September 30, 2016 and December 31, 2015, were as follows:
 
September 30, 2016
Property
  
Mortgage Carrying Value
    
Mortgage Principal
    
Interest Rate
  
Fixed/Floating Rate
Maturity Date
Priority
(dollars in thousands)
Joint Ventures
  
$
285,899
    
$
289,125
      
4.03% - 4.61
%
Fixed
2024 and 2025
First liens
Tennessee
    
12,253
      
12,350
      
4.01
%
Fixed
9/6/2019
First liens
Virginia
    
11,014
      
11,025
      
3.58
%
Fixed
6/6/2019
First liens
Arizona
    
16,080
      
16,063
      
3.50
%
Fixed
1/1/2017
First liens
Nevada
    
2,386
      
2,383
      
L+200
 
Floating (1)
3/29/2017
First liens
 
  
$
327,632
    
$
330,946
          
 
 
    
 
                        
 
 
       
(1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).
 
                        
 
 
       
 
                        
 
 
       
December 31, 2015
Property
  
Mortgage Carrying Value
    
Mortgage Principal
    
Interest Rate
  
Fixed/Floating Rate
Maturity Date
Priority
(dollars in thousands)
Joint Ventures
  
$
292,658
    
$
296,325
    
2.30% to 4.61%
  
Fixed
2016, 2024 and 2025
First liens
Tennessee
    
12,228
      
12,350
      
4.01
%
Fixed
9/6/2019
First liens
Virginia
    
11,012
      
11,025
      
3.58
%
Fixed
6/6/2019
First liens
Arizona
    
16,365
      
16,308
      
3.50
%
Fixed
1/1/2017
First liens
Nevada
    
2,444
      
2,436
      
L+200
 
Floating (1)
3/29/2017
First liens
 
  
$
334,707
    
$
338,444
          
 
 
    
 
                        
 
 
       
(1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).

The following table details future mortgage loan principal payments as of September 30, 2016:
 
 
  
Mortgage Loan Principal Payments
  
 
  
(dollars in thousands)
  
2016 (remaining)
  
$
101
  
2017
    
18,345
  
2018
    
-
  
2019
    
23,375
  
2020
    
-
  
Later years
    
289,125
  
 
  
$
330,946
  
 
XML 28 R16.htm IDEA: XBRL DOCUMENT v3.5.0.2
CORPORATE DEBT
 9 Months Ended
Sep. 30, 2016
Investments, Debt and Equity Securities [Abstract]  
CORPORATE DEBT
9.  CORPORATE DEBT

The Company invests in corporate loans and corporate debt securities through the MML subsidiary.
 
The industry and interest rate characteristics of the portfolio as of September 30, 2016 are as follows:
 
 
 
  
Industry Dispersion
  
 
  
Fixed Rate
    
Floating Rate
    
Total
  
 
  
(dollars in thousands)
  
 
                  
Airports, Flying Fields and Airport Terminal
  
$
-
    
$
47,184
    
$
47,184
  
Commercial Fishing
    
-
      
40,590
      
40,590
  
Computer Programming & Data Processing
    
-
      
63,253
      
63,253
  
Drugs
    
-
      
34,247
      
34,247
  
Home Health Care Services
    
-
      
39,339
      
39,339
  
Insurance Agents, Brokers & Services
    
4,380
      
44,344
      
48,724
  
Management & Public Relations Services
    
-
      
39,116
      
39,116
  
Medical & Dental Laboratories
    
-
      
17,324
      
17,324
  
Miscellaneous Business Services
    
84,448
      
63,677
      
148,125
  
Miscellaneous Health & Allied Services
    
-
      
38,886
      
38,886
  
Miscellaneous Nonmetallic Minerals
    
-
      
24,682
      
24,682
  
Miscellaneous Plastic Products
    
-
      
27,075
      
27,075
  
Motor Vehicles, Parts & Supplies
    
-
      
12,347
      
12,347
  
Offices & Clinics of Doctors of Medicine
    
-
      
83,582
      
83,582
  
Research, Development & Testing Services
    
-
      
17,739
      
17,739
  
Schools & Educational Services
    
-
      
21,042
      
21,042
  
Surgical, Medical & Dental Instruments
    
-
      
13,576
      
13,576
  
Total
  
$
88,828
    
$
628,003
    
$
716,831
  

The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers as of September 30, 2016.
 
   
September 30, 2016
  
   
(dollars in thousands)
  
       
First lien loans
  
$
466,099
  
Second lien loans
    
161,904
  
Second lien notes
    
84,448
  
Subordinated notes
    
4,380
  
Total
  
$
716,831
  
XML 29 R17.htm IDEA: XBRL DOCUMENT v3.5.0.2
VARIABLE INTEREST ENTITIES
 9 Months Ended
Sep. 30, 2016
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
VARIABLE INTEREST ENTITIES
10.  VARIABLE INTEREST ENTITIES

In January 2014, the Company closed on NLY Commercial Mortgage Trust 2014-FL1 (the “NLY Commercial Mortgage Trust”), a $399.5 million securitization financing transaction which provides permanent, non-recourse financing collateralized by floating-rate first mortgage debt investments originated or co-originated by the Company and is not subject to margin calls. A total of $260.7 million of investment grade bonds were issued by NLY Commercial Mortgage Trust, representing an advance rate of 65.3% at a weighted average coupon of LIBOR plus 1.74% at closing. The Company used the proceeds to originate commercial real estate investments. The Company retained bonds rated below investment grade and the interest-only bond issued by the Trust, which are referred to as the subordinate bonds.

The Company incurred approximately $4.3 million of costs in connection with the securitization that have been capitalized and are being amortized to interest expense. Deferred financing costs are included in Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition. As of September 30, 2016, the underlying securitized debt was fully paid off, and accordingly, the respective origination fees were fully amortized.
 
The Company is considered to be the primary beneficiary of NLY Commercial Mortgage Trust as a result of its ability to remove the special servicer without cause and through its ownership of subordinated certificates. The Company did not elect the fair value option for the loans in this VIE in order to consistently account for loans it originated that are held for investment.

In February 2015, the Company purchased the junior-most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KLSF (“FREMF 2015-KLSF”) for $102.1 million. The underlying portfolio is a pool of 11 floating rate multifamily mortgage loans with a cut-off principal balance of $1.4 billion. The Company is required to consolidate the FREMF 2015-KLSF Trust’s assets and liabilities of $1.4 billion and $1.3 billion, respectively, at September 30, 2016.

In April 2015, the Company purchased the junior-most tranche, Class C Certificate of the Freddie Mac securitization, FREMF Mortgage Trust 2015-KF07 (“FREMF 2015-KF07”) for $89.4 million. The underlying portfolio is a pool of 40 floating rate multifamily mortgage loans with a cut-off principal balance of $1.2 billion. The Company is required to consolidate the FREMF 2015-KF07 Trust’s assets and liabilities of $1.1 billion and $1.0 billion, respectively, at September 30, 2016.

In February 2016, the Company purchased the junior-most tranche, Class C Certificate of the Freddie Mac securitization, FREM Mortgage Trust 2016-KLH1 (“FREM 2016-KLH1”) for $107.6 million, net of a $4.4 million discount to face value of $112.0 million. The underlying portfolio is a pool of 28 floating rate multifamily mortgage loans with a cut-off principal balance of $1.5 billion. The Company is required to consolidate the FREM 2016-KLH1 Trust’s assets and liabilities of $1.5 billion and $1.4 billion, respectively, at September 30, 2016. FREMF 2015-KLSF, FREMF 2015-KF07 and FREM 2016-KLH1 are collectively referred to herein as the FREMF Trusts.

The FREMF Trusts are structured as pass-through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The FREMF Trusts are VIEs and the Company is considered to be the primary beneficiary as a result of its ability to replace the special servicer without cause through its ownership of the Class C Certificates and its current designation as the directing certificate holder. The Company’s exposure to the obligations of the VIEs is generally limited to the Company’s investment in the FREMF Trusts of $291.3 million at September 30, 2016. Assets of the FREMF Trusts may only be used to settle obligations of the FREMF Trusts. Creditors of the FREMF Trusts have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the FREMF Trusts. No gain or loss was recognized upon initial consolidation of the FREMF Trusts, but $0.2 million and $0.8 million of related costs were expensed upon consolidation and are reflected in the Consolidated Statements of Comprehensive Income (Loss). The FREMF Trusts’ assets are included in Commercial real estate debt investments and the FREMF Trusts’ liabilities are included in Securitized debt of consolidated VIEs in the accompanying Consolidated Statements of Financial Condition.

Upon consolidation, the Company elected the fair value option for the financial assets and liabilities of the FREMF Trusts in order to avoid an accounting mismatch, and to more accurately represent the economics of its interest in the entities. The fair value option requires that changes in fair value be reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss). The Company has adopted ASU 2014-13 and applied the practical expedient fair value measurement whereby the Company determines whether the fair value of the financial assets or financial liabilities is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the financial liabilities of the FREMF Trusts is more observable, since the prices for these liabilities are available from third-party pricing services utilized for multifamily mortgage-backed securities, while the fair value of the individual assets of the trusts are inherently less capable of precise measurement given their illiquid nature and the limitations on available information related to these assets. Given that the Company’s methodology for valuing the financial assets of the FREMF Trusts is an aggregate fair value derived from the fair value of the financial liabilities, the Company has determined that the fair value of each of the financial assets in their entirety should be classified in Level 2 of the fair value measurement hierarchy.

The FREMF Trusts mortgage loans had an unpaid principal balance of $3.9 billion at September 30, 2016. As of September 30, 2016 there are no loans 90 days or more past due or on nonaccrual status. There is no gain or loss attributable to instrument-specific credit risk of the underlying loans or securitized debt securities as of September 30, 2016 based upon the Company’s process of monitoring events of default on the underlying mortgage loans.
 
The Company consolidates a residential mortgage trust that issued residential mortgaged-backed securities that are collateralized by residential mortgage whole loans that had been transferred to the trust by one of the Company’s subsidiaries. The Company owns most of the mortgaged-backed securities issued by this VIE, including the subordinate securities, and a subsidiary of the Company continues to be the servicer. As such, the Company is deemed to be the primary beneficiary of the residential mortgage trust and consolidates the entity. The Company has elected the fair value option for the financial assets and liabilities of this VIE, but has elected not to apply the practical expedient under ASU 2014-13 as prices of both the financial liabilities and financial assets of the residential mortgage trust are available from third-party pricing services. The contractual principal amount of the residential mortgage trust’s debt was $50.5 million as of September 30, 2016.

In June 2016, a consolidated subsidiary of the Company (the “Borrower”) entered into a $300.0 million credit facility with a third party financial institution. The Borrower was determined to be a VIE and the Company was determined to be the primary beneficiary due to its role as collateral manager and because it holds a variable interest in the entity that could be potentially significant to the entity. The Company has transferred corporate loans with a carrying amount of $475.5 million at September 30, 2016 that are pledged as collateral for the credit facility. The transfers did not qualify for sale accounting and are reflected as an intercompany secured borrowing that is eliminated upon consolidation. As of September 30, 2016, the Borrower had an intercompany receivable of $212.2 million, which eliminates upon consolidation and an Other secured financing of $212.2 million to the third party financial institution.

The Company also owns variable interests in an entity that invests in MSRs and has structured its operations, funding and capitalization into three pools of assets and liabilities referred to as “silos.” Owners of variable interests in a given silo are entitled to all of the returns and risk of loss on the investments and operations of that silo and have no substantive recourse to the assets of any other silo. While the Company has power over all silos because it holds 100% of the voting interests in the entity, it has variable interests only in two of the silos. The Company is the primary beneficiary of those two silos because it holds 100% of their variable interests.

The Company’s exposure to the obligations of its VIEs is generally limited to the Company’s investment in the VIEs of $ 1.1 billion at September 30, 2016. Assets of the VIEs may only be used to settle obligations of the VIE Trusts. Creditors of the VIE Trusts have no recourse to the general credit of the Company. The Company is not contractually required to provide and has not provided any form of financial support to the VIEs. No gain or loss was recognized upon initial consolidation of the VIEs. Interest income and expense are recognized using the effective interest method.

The statement of financial condition of the Company’s VIEs that is reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2016 and December 31, 2015 are as follows:
 
 
  
September 30, 2016
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
    
MSR Silos
  
 
  
(dollars in thousands)
  
Assets
                        
Cash
  
$
-
    
$
185
    
$
-
    
$
31,163
  
Senior securitized commercial mortgages carried at fair value
    
3,953,150
      
-
      
-
      
-
  
Commercial real estate and debt and preferred equity, held for investment
    
-
      
128,896
      
-
      
-
  
Residential mortgages loans carried at fair value
    
-
      
-
      
176,748
      
9,631
  
Mortgage servicing rights
    
-
      
-
      
-
      
492,169
  
Accrued interest receivable
    
8,519
      
49
      
356
      
4
  
Other assets
    
-
      
9
      
3,149
      
29,586
  
Total assets
  
$
3,961,669
    
$
129,139
    
$
180,253
    
$
562,553
  
 
                                
Liabilities
                                
Securitized debt (non-recourse) at fair value
  
$
3,661,884
    
$
-
    
$
50,937
    
$
-
  
Other secured financing
    
-
      
-
      
-
      
4,186
  
Other derivatives, at fair value
    
-
      
-
      
-
      
9
  
Accrued interest payable
    
4,288
      
200
      
127
      
-
  
Other liabilities
    
-
      
-
      
44
      
25,363
  
Total liabilities
  
$
3,666,172
    
$
200
    
$
51,108
    
$
29,558
  
 
 
  
December 31, 2015
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
  
 
  
(dollars in thousands)
  
Assets
            
Cash
  
$
-
    
$
49,025
  
Senior securitized commercial mortgages carried at fair value
    
2,554,023
      
-
  
Commercial real estate and debt and preferred equity, held for investment
    
-
      
262,703
  
Accrued interest receivable
    
4,994
      
431
  
Other Assets
    
-
      
169
  
Total assets
  
$
2,559,017
    
$
312,328
  
                 
Liabilities
                
Securitized debt (non-recourse) at fair value
  
$
2,366,878
    
$
-
  
Securitized debt (non-recourse) at amortized cost
    
-
      
173,833
  
Accrued interest payable
    
4,183
      
191
  
Other liabilities
    
-
      
290
  
Total liabilities
  
$
2,371,061
    
$
174,314
  
 
The statement of comprehensive income (loss) of the Company’s VIEs that is reflected in the Company’s Consolidated Statements of Comprehensive Income
(Loss) for the quarter and nine months ended September 30, 2016 are as follows:
 
 
  
For the Quarter Ended
  
 
  
September 30, 2016
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
    
MSR Silos
  
 
  
(dollars in thousands)
  
Net interest income:
                        
Interest income
  
$
25,148
    
$
1,691
    
$
932
    
$
57
  
Interest expense
    
11,375
      
105
      
404
      
22
  
Net interest income
    
13,773
      
1,586
      
528
      
35
  
 
                                
Realized gain (loss) on disposal of investments
    
-
      
-
      
(329
)
    
184
  
Unrealized gain (loss) on investments at fair value (1)
    
(3,201
)
    
-
      
(109
)
    
4,218
  
Other income (loss)
    
(6,773
)
    
-
      
(79
)
    
25,716
  
General and administration expenses
    
-
      
-
      
17
      
1,555
  
Net income (loss)
  
$
3,799
    
$
1,586
    
$
(6
)
  
$
28,598
  

 
 
  
For the Nine Months Ended
  
 
  
September 30, 2016
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
    
MSR Silos
  
 
  
(dollars in thousands)
  
Net interest income:
                        
Interest income
  
$
69,972
    
$
8,543
    
$
932
    
$
57
  
Interest expense
    
29,598
      
2,302
      
404
      
22
  
Net interest income
    
40,374
      
6,241
      
528
      
35
  
 
                                
Realized gain (loss) on disposal of investments
    
-
      
-
      
(329
)
    
184
  
Unrealized gain (loss) on investments at fair value (1)
    
3,784
      
-
      
(109
)
    
4,218
  
Other income (loss)
    
(18,861
)
    
-
      
(79
)
    
25,716
  
General and administration expenses
    
2
      
(2)
      
17
      
1,555
  
Net income (loss)
  
$
25,295
    
$
6,243
    
$
(6
)
  
$
28,598
  
 
The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs as of September 30, 2016 are as follows:
 
Securitized Loans at Fair Value Geographic Concentration of Credit Risk
  
                                             
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
  
Property Location
  
Principal Balance
    
% of Balance
    
Property Location
  
Principal Balance
    
% of Balance
    
Property Location
  
Principal Balance
    
% of Balance
  
(dollars in thousands)
  
Texas
  
$
724,035
      
18.4
%
  
Illinois
  
$
111,396
      
86.4
%
  
California
  
$
80,023
      
46.3
%
North Carolina
    
537,375
      
13.6
%
  
Oklahoma
    
17,500
      
13.6
%
  
Texas
    
19,114
      
11.1
%
Maryland
    
499,495
      
12.7
%
  
 
                  
Washington
    
10,734
      
6.3
%
Florida
    
456,516
      
11.6
%
  
 
                  
Illinois
    
10,799
      
6.2
%
Other (1)
    
1,723,146
      
43.7
%
  
 
                  
Florida
    
9,392
      
5.4
%
 
                  
 
                  
Other (1)
    
42,664
      
24.7
%
Total
  
$
3,940,567
      
100.0
%
  
Total
  
$
128,896
      
100.0
%
   Total   
$
172,726
      
100.0
%
                                                         
(1) No individual state greater than 5%  
XML 30 R18.htm IDEA: XBRL DOCUMENT v3.5.0.2
FAIR VALUE MEASUREMENTS
 9 Months Ended
Sep. 30, 2016
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS
11.  FAIR VALUE MEASUREMENTS

The Company follows fair value guidance in accordance with GAAP to account for its investments. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

GAAP requires classification of financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows:

Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets.

Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.

Level 3 – inputs to the valuation methodology are unobservable and significant to overall fair value.
The Company designates its financial instruments as trading, available for sale or held to maturity depending upon the type of instrument and the Company’s intent and ability to hold such instrument to maturity. Instruments classified as available for sale and trading are reported at fair value on a recurring basis.

The following is a description of the valuation methodologies used for instruments carried at fair value. These methodologies are applied to assets and liabilities across the three-level fair value hierarchy, with the observability of inputs determining the appropriate level.

Futures contracts are valued using quoted prices for identical instruments in active markets. Residential Investment Securities, interest rate swaps, swaptions and other derivatives are valued using quoted prices or internally estimated prices for similar assets using internal models. The Company incorporates common market pricing methods, including a spread measurement to the Treasury curve as well as underlying characteristics of the particular security including coupon, prepayment speeds, periodic and life caps, rate reset period and expected life of the security in its estimates of fair value. Fair value estimates for residential mortgage loans are generated by a discounted cash flow model and are primarily based on observable market-based inputs including discount rates, prepayment speeds, delinquency levels, and credit losses. Management reviews and indirectly corroborates its estimates of the fair value derived using internal models by comparing its results to independent prices provided by dealers in the securities, third party pricing services and/or other applicable market data. Certain liquid asset classes, such as Agency fixed-rate pass-throughs, may be priced using independent sources such as quoted prices for TBA securities.
Residential Investment Securities, residential mortgage loans, interest rate swap and swaption markets and MBS options are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Residential Investment Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options markets and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Residential Investment Securities, residential mortgage loans, interest rate swaps, swaptions, TBA derivatives and MBS options as Level 2 inputs in the fair value hierarchy. Additionally, as discussed in the “Commercial Real Estate Investments” Note, Commercial real estate debt investments carried at fair value are classified as Level 2.

The fair value of securitized debt of consolidated VIEs is determined using the average of external vendor pricing services.
The Company classifies its investments in MSRs as Level 3 in the fair value measurements hierarchy. Fair value estimates for these investments are obtained from internal models, which use significant unobservable inputs in their valuations. These valuations primarily utilize discounted cash flow models that incorporate unobservable market data inputs including prepayment rates, delinquency levels, costs to service and discount rates. Model valuations are then compared to external valuations obtained from third-party pricing providers. Management reviews the valuations received from third-party pricing providers and uses them as a point of comparison to its internally modeled values. The valuation of MSRs requires significant judgment by management and the third-party pricing providers. Assumptions used for which there is a lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements.

The following table presents the estimated fair values of investments measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented.
 
   
Level 1
    
Level 2
    
Level 3
    
Total
  
September 30, 2016
  
(dollars in thousands)
  
Assets:
                        
Agency mortgage-backed securities
  
$
-
      
73,476,105
    
$
-
    
$
73,476,105
  
Credit risk transfer securities
    
-
      
669,295
      
-
      
669,295
  
Non-Agency mortgage-backed securities
    
-
      
1,460,261
      
-
      
1,460,261
  
Residential mortgage loans
    
-
      
310,148
      
-
      
310,148
  
Mortgage servicing rights
    
-
      
-
      
492,169
      
492,169
  
Commercial real estate debt investments
    
-
      
4,319,077
      
-
      
4,319,077
  
Interest rate swaps
    
-
      
113,253
      
-
      
113,253
  
Other derivatives
    
26,985
      
60,936
      
-
      
87,921
  
Total assets
  
$
26,985
    
$
80,409,075
    
$
492,169
    
$
80,928,229
  
Liabilities:
                                
Securitized debt of consolidated VIEs
  
$
-
    
$
3,712,821
    
$
-
    
$
3,712,821
  
Interest rate swaps
    
-
      
2,919,492
      
-
      
2,919,492
  
Other derivatives
    
70,784
      
2,661
      
-
      
73,445
  
Total liabilities
  
$
70,784
    
$
6,634,974
    
$
-
    
$
6,705,758
  
 
                                
 
                                
   
Level 1
    
Level 2
    
Level 3
    
Total
  
December 31, 2015
  
(dollars in thousands)
  
Assets:
                                
Agency mortgage-backed securities
  
$
-
    
$
65,718,224
    
$
-
    
$
65,718,224
  
Agency debentures
    
-
      
152,038
      
-
      
152,038
  
Credit risk transfer securities
    
-
      
456,510
      
-
      
456,510
  
Non-Agency mortgage-backed securities
    
-
      
906,722
      
-
      
906,722
  
Commercial real estate debt investments
    
-
      
2,911,828
      
-
      
2,911,828
  
Interest rate swaps
    
-
      
19,642
      
-
      
19,642
  
Other derivatives
    
12,443
      
9,623
      
-
      
22,066
  
Total assets
  
$
12,443
    
$
70,174,587
    
$
-
    
$
70,187,030
  
Liabilities:
                                
Securitized debt of consolidated VIEs
  
$
-
    
$
2,366,878
    
$
-
    
$
2,366,878
  
Interest rate swaps
    
-
      
1,677,571
      
-
      
1,677,571
  
Other derivatives
    
32,778
      
17,185
      
-
      
49,963
  
Total liabilities
  
$
32,778
    
$
4,061,634
    
$
-
    
$
4,094,412
  
 
Quantitative Information about Level 3 Fair Value Measurements

The Company considers unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The following paragraph provides a general description of sensitivities of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements. The effect of a change in a particular assumption in the sensitivity analysis below is considered independently of changes in any other assumptions. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply.
For MSRs, in general, increases in the discount, prepayment or delinquency rates or in annual servicing costs in isolation would result in a lower fair value measurement. A decline in interest rates could lead to higher-than-expected prepayments of mortgages underlying the Company’s investments in MSRs, which in turn could result in a decline in the estimated fair value of MSRs. Refer to the Note titled “Mortgage Servicing Rights” for additional information.

The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.
 
September 30, 2016
  
     
Range
  
Valuation Technique 
Unobservable Input(1)
  
(Weighted Average )
  
Discounted cash flow 
Discount rate
    
10.0% -15.0% (10.4
%)
 
Prepayment rate
    
6.3% - 43.2% (20.1
%)
 
Delinquency rate
    
0.0% - 8.0% (2.0
%)
 
Cost to service
  
 
$84 - $146 ($100)
 

(1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.
Fair Value Information about Financial Instruments Not Carried At Fair Value

GAAP requires disclosure of fair value information about financial instruments, whether or not recognized in the financial statements, for which it is practical to estimate the value. In cases where quoted market prices are not available, fair values are based upon discounted cash flows using market yields, methodologies that incorporate market-based transactions or other valuation methodologies. Considerable judgment is necessary to interpret market data and develop estimated fair values. Accordingly, fair values are not necessarily indicative of the amount the Company would realize on disposition of the financial instruments. The use of different market assumptions or estimation methodologies could have a material effect on the estimated fair value amounts.

The carrying value of short-term instruments, including cash and cash equivalents, reverse repurchase agreements, repurchase agreements and other secured financing whose term is less than twelve months, generally approximates fair value due to the short-term nature of the instruments.

The estimated fair value of commercial real estate debt and preferred equity investments takes into consideration changes in credit spreads and interest rates from the date of origination or purchase to the reporting date. The fair value also reflects consideration of asset-specific maturity dates and other items that could have an impact on the fair value as of the reporting date.

Estimates of fair value of corporate debt require the use of judgments and inputs including, but not limited to, the enterprise value of the borrower (i.e., an estimate of the total fair value of the borrower's debt and equity), the nature and realizable value of any collateral, the borrower’s ability to make payments when due and its earnings history. Management also considers factors that affect the macro and local economic markets in which the borrower operates.

The fair value of repurchase agreements with remaining maturities greater than one year or with embedded optionality are valued as structured notes, with term to maturity, LIBOR rates and the Treasury curve being primary determinants of estimated fair value.

The fair value of mortgages payable is calculated using the estimated yield of a new par loan to value the remaining terms in place. A par loan is created using the identical terms of the existing loan; however, the coupon is derived by using the original spread against the interpolated Treasury. The fair value of mortgages payable also reflects consideration of the value of the underlying collateral and changes in credit risk from the time the debt was originated.

The carrying value of the participation sold is based on the loan’s amortized cost. The fair value of the participation sold is based on the fair value of the underlying related commercial loan.

The following table summarizes the estimated fair value for financial assets and liabilities as of September 30, 2016 and December 31, 2015.
 
         
September 30, 2016
    
December 31, 2015
  
   
Level in Fair Value Hierarchy
    
Carrying Value
    
Fair Value
    
Carrying Value
    
Fair Value
  
Financial assets:
        
(dollars in thousands)
  
Cash and cash equivalents
    
1
    
$
2,382,188
    
$
2,382,188
    
$
1,769,258
    
$
1,769,258
  
Agency mortgage-backed securities
    
2
      
73,476,105
      
73,476,105
      
65,718,224
      
65,718,224
  
Agency debentures
    
2
      
-
      
-
      
152,038
      
152,038
  
Credit risk transfer securities
    
2
      
669,295
      
669,295
      
456,510
      
456,510
  
Non-Agency mortgage-backed securities
    
2
      
1,460,261
      
1,460,261
      
906,722
      
906,722
  
Residential mortgage loans
    
2
      
310,148
      
310,148
      
-
      
-
  
Mortgage servicing rights
    
3
      
492,169
      
492,169
      
-
      
-
  
Commercial real estate debt investments
    
2
      
4,319,077
      
4,319,077
      
2,911,828
      
2,911,828
  
Commercial real estate debt and preferred equity, held for investment
    
3
      
1,070,197
      
1,069,089
      
1,348,817
      
1,350,968
  
Commercial loans held for sale, net
    
3
      
144,275
      
144,275
      
278,600
      
278,600
  
Corporate debt (1)
    
2
      
716,831
      
714,672
      
488,508
      
470,894
  
Interest rate swaps
    
2
      
113,253
      
113,253
      
19,642
      
19,642
  
Other derivatives
    
1,2
      
87,921
      
87,921
      
22,066
      
22,066
  
 
                                        
Financial liabilities:
                                        
Repurchase agreements
    
1,2
    
$
61,784,121
    
$
61,857,552
    
$
56,230,860
    
$
56,361,623
  
Other secured financing
    
1,2
      
3,804,742
      
3,806,477
      
1,845,048
      
1,846,095
  
Securitized debt of consolidated VIEs
    
2
      
3,712,821
      
3,712,821
      
2,540,711
      
2,541,193
  
Participation sold
    
2
      
12,976
      
12,908
      
13,286
      
13,138
  
Mortgage payable
    
3
      
327,632
      
346,718
      
334,707
      
339,849
  
Interest rate swaps
    
2
      
2,919,492
      
2,919,492
      
1,677,571
      
1,677,571
  
Other derivatives
    
1,2
      
73,445
      
73,445
      
49,963
      
49,963
  

(1) Includes a held-to-maturity debt security carried at amortized cost of $84.4 million and $74.7 million as of September 30, 2016 and December 31, 2015, respectively. The held-to-maturity debt security had a fair value of $84.6 million and $61.3 million as of September 30, 2016 and December 31, 2015, respectively.
XML 31 R19.htm IDEA: XBRL DOCUMENT v3.5.0.2
SECURED FINANCING
 9 Months Ended
Sep. 30, 2016
Debt Disclosure [Abstract]  
SECURED FINANCING
12.  SECURED FINANCING

The Company had outstanding $61.8 billion and $56.2 billion of repurchase agreements with weighted average borrowing rates of 1.71% and 1.83%, after giving effect to the Company’s interest rate swaps used to hedge cost of funds, and weighted average remaining maturities of 128 days and 151 days as of September 30, 2016 and December 31, 2015, respectively.

At September 30, 2016 and December 31, 2015, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates:
 
   
September 30, 2016
  
   
Agency Mortgage-backed Securities
    
CRTs
    
Non-Agency Mortgage-backed Securities
    
Commercial Loans
    
Total Repurchase Agreements
    
Weighted Average Rate
  
   
(dollars in thousands)
  
1 day
  
$
-
    
$
-
    
$
-
    
$
-
    
$
-
      
-
 
2 to 29 days
    
25,761,193
      
250,347
      
496,798
      
-
      
26,508,338
      
0.99
%
30 to 59 days
    
4,937,568
      
71,650
      
191,132
      
-
      
5,200,350
      
0.86
%
60 to 89 days
    
6,057,659
      
-
      
115,939
      
-
      
6,173,598
      
0.85
%
90 to 119 days
    
5,309,103
      
-
      
-
      
-
      
5,309,103
      
0.79
%
Over 120 days(1)
    
18,297,615
      
-
      
-
      
295,117
      
18,592,732
      
1.39
%
Total
  
$
60,363,138
    
$
321,997
    
$
803,869
    
$
295,117
    
$
61,784,121
      
1.07
%

   
December 31, 2015
  
 
  
Agency Mortgage-backed Securities
    
CRTs
    
Non-Agency Mortgage-backed Securities
    
Commercial Loans
    
Total Repurchase Agreements
    
Weighted Average Rate
  
 
  
(dollars in thousands)
  
1 day
  
$
-
    
$
-
    
$
-
    
$
-
    
$
-
      
-
 
2 to 29 days
    
20,123,464
      
83,664
      
260,359
      
-
      
20,467,487
      
0.69
%
30 to 59 days
    
7,898,646
      
59,189
      
65,374
      
-
      
8,023,209
      
0.74
%
60 to 89 days
    
4,046,593
      
-
      
78,833
      
-
      
4,125,426
      
0.74
%
90 to 119 days
    
4,846,580
      
-
      
-
      
-
      
4,846,580
      
0.60
%
Over 120 days(1)
    
18,557,715
      
-
      
31,015
      
179,428
      
18,768,158
      
1.33
%
Total
  
$
55,472,998
    
$
142,853
    
$
435,581
    
$
179,428
    
$
56,230,860
      
0.90
%
 
Repurchase agreements and reverse repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements permit netting. The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of September 30, 2016 and December 31, 2015. Refer to “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.
   
September 30, 2016
    
December 31, 2015
  
   
Reverse Repurchase Agreements
    
Repurchase Agreements
    
Reverse Repurchase Agreements
    
Repurchase Agreements
  
   
(dollars in thousands)
  
Gross Amounts
  
$
500,000
    
$
62,284,121
    
$
-
    
$
56,230,860
  
Amounts Offset
    
(500,000
)
    
(500,000
)
    
-
      
-
  
Netted Amounts
  
$
-
    
$
61,784,121
    
$
-
    
$
56,230,860
  
 
The Company also finances a portion of its financial assets with advances from the Federal Home Loan Bank of Des Moines (“FHLB Des Moines”). Borrowings from FHLB Des Moines are reported in Other secured financing in the Company’s Consolidated Statements of Financial Condition. As of September 30, 2016, $3.6 billion matures beyond three years. As of December 31, 2015, $402.8 million matures within 90 days and $1.4 billion extends beyond three years. The weighted average rate of the advances from the FHLB Des Moines was 0.65% and 0.59% at September 30, 2016 and December 31, 2015, respectively.
Financial instruments pledged as collateral under secured financing arrangements and interest rate swaps had an estimated fair value and accrued interest of $71.1 billion and $214.3 million, respectively, at September  30, 2016 and $62.3 billion and $171.7 million, respectively, at December 31, 2015.
XML 32 R20.htm IDEA: XBRL DOCUMENT v3.5.0.2
DERIVATIVE INSTRUMENTS
 9 Months Ended
Sep. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE INSTRUMENTS
13. DERIVATIVE INSTRUMENTS

In connection with the Company’s investment/market rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts, which include interest rate swaps, swaptions and futures contracts. The Company may also enter into TBA derivatives, MBS options, U.S. Treasury or Eurodollar futures contracts and certain forward purchase commitments to economically hedge its exposure to market risks. The purpose of using derivatives is to manage overall portfolio risk with the potential to generate additional income for distribution to stockholders. These derivatives are subject to changes in market values resulting from changes in interest rates, volatility, Agency mortgage-backed security spreads to U.S. Treasuries and market liquidity. The use of derivatives also creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the stated contract. Additionally, the Company may have to pledge cash or assets as collateral for the derivative transactions, the amount of which may vary based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by the counterparty, the Company could have difficulty obtaining its cash or Residential Investment Securities pledged as collateral as well as receiving payments in accordance with the terms of the derivative contracts.
The table below summarizes fair value information about our derivative assets and liabilities as of September 30, 2016 and December 31, 2015:
 
Derivatives Instruments
Balance Sheet Location
  
September 30, 2016
    
December 31, 2015
  
Assets:
    
(dollars in thousands)
  
Interest rate swaps
Interest rate swaps, at fair value
  
$
113,253
    
$
19,642
  
Interest rate swaptions
Other derivatives, at fair value
    
1,527
      
-
  
TBA derivatives
Other derivatives, at fair value
    
59,360
      
9,622
  
Futures contracts
Other derivatives, at fair value
    
26,986
      
12,444
  
Purchase commitments
Other derivatives, at fair value
    
48
      
-
  
      
$
201,174
    
$
41,708
  
                   
Liabilities:
                  
Interest rate swaps
Interest rate swaps, at fair value
  
$
2,919,492
    
$
1,677,571
  
Interest rate swaptions
Other derivatives, at fair value
    
2,105
      
-
  
TBA derivatives
Other derivatives, at fair value
    
547
      
17,185
  
Futures contracts
Other derivatives, at fair value
    
70,784
      
32,778
  
Purchase commitments
Other derivatives, at fair value
    
9
      
-
  
      
$
2,992,937
    
$
1,727,534
  
 
The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2016 and December 31, 2015:
 
September 30, 2016
  
Maturity
  
Current Notional (1)
    
Weighted Average Pay Rate (2) (3)
    
Weighted Average Receive Rate (2)
    
Weighted Average Years to Maturity (2)
  
(dollars in thousands)
  
0 - 3 years
  
$
4,552,383
      
1.74
%
    
0.76
%
    
2.77
  
3 - 6 years
    
9,675,000
      
1.92
%
    
0.88
%
    
4.14
  
6 - 10 years
    
7,363,550
      
2.34
%
    
0.98
%
    
7.81
  
Greater than 10 years
    
3,634,400
      
3.70
%
    
0.67
%
    
18.62
  
Total / Weighted Average
  
$
25,225,333
      
2.25
%
    
0.88
%
    
6.89
  
                                 
                                 
December 31, 2015
  
Maturity
  
Current Notional (1)
    
Weighted Average Pay Rate (2) (3)
    
Weighted Average Receive Rate (2)
    
Weighted Average Years to Maturity (2)
  
(dollars in thousands)
  
0 - 3 years
  
$
3,240,436
      
1.85
%
    
0.36
%
    
1.80
  
3 - 6 years
    
11,675,000
      
1.82
%
    
0.55
%
    
4.25
  
6 - 10 years
    
11,635,250
      
2.44
%
    
0.57
%
    
7.92
  
Greater than 10 years
    
3,634,400
      
3.70
%
    
0.43
%
    
19.37
  
Total / Weighted Average
  
$
30,185,086
      
2.26
%
    
0.53
%
    
7.02
  

(1)
There were no forward starting swaps as of September 30, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015.
(2)
Excludes forward starting swaps.
(3)
There were no forward starting swaps as of September 30, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015.
The following table presents swaptions outstanding as of September 30, 2016. There were no swaptions as of December 31, 2015.
 
September 30, 2016
  
Current Underlying Notional
    
Weighted Average Underlying Pay Rate
    
Weighted Average Underlying Receive Rate
    
Weighted Average Underlying Years to Maturity
    
Weighted Average Months to Expiration
  
(dollars in thousands)  
Long
  
$
950,000
      1.08%
 
  
3M LIBOR
      
2.24
      
2.77
  
Short
  
$
(200,000
)
  
3M LIBOR
      1.54%
 
    
10.25
      
2.77
  

The following table summarizes certain characteristics of the Company’s TBA derivatives as of September 30, 2016 and December 31, 2015:
 
September 30, 2016
  
Purchase and sale contracts for derivative TBAs
  
Notional
    
Implied Cost Basis
    
Implied Market Value
    
Net Carrying Value
  
(dollars in thousands)
  
Purchase contracts
  
$
15,950,000
    
$
16,671,196
    
$
16,730,009
    
$
58,813
  
                                 
December 31, 2015
  
Purchase and sale contracts for derivative TBAs
  
Notional
    
Implied Cost Basis
    
Implied Market Value
    
Net Carrying Value
  
(dollars in thousands)
  
Purchase contracts
  
$
13,761,000
    
$
14,177,338
    
$
14,169,775
    
$
(7,563
)
 
The following table summarizes certain characteristics of the Company’s futures derivatives as of September 30, 2016 and December 31, 2015:
 
   
September 30, 2016
  
   
Notional - Long Positions
    
Notional - Short Positions
    
Weighted Average Years to Maturity
  
   
(dollars in thousands)
        
2-year swap equivalent Eurodollar contracts
  
$
-
    
$
(14,991,375
)
    
2.00
  
U.S. Treasury futures - 5 year
    
-
      
(1,247,200
)
    
4.42
  
Total
  
$
-
    
$
(16,238,575
)
    
2.19
  
                         
                         
                         
   
December 31, 2015
  
   
Notional - Long Positions
    
Notional - Short Positions
    
Weighted Average Years to Maturity
  
   
(dollars in thousands)
          
2-year swap equivalent Eurodollar contracts
  
$
-
    
$
(7,000,000
)
    
2.00
  
U.S. Treasury futures - 5 year
    
-
      
(1,847,200
)
    
4.42
  
U.S. Treasury futures - 10 year and greater
    
-
      
(655,600
)
    
6.92
  
Total
  
$
-
    
$
(9,502,800
)
    
2.81
  
 
The Company presents derivative contracts on a gross basis on the Consolidated Statements of Financial Condition. Derivative contracts may contain legally enforceable provisions that allow for netting or setting off receivables and payables with each counterparty. The following tables present information about derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition as of September 30, 2016 and December 31, 2015, respectively.
September 30, 2016
        
Amounts Eligible for Offset
        
 
  
Gross Amounts
    
Financial Instruments
    
Cash Collateral
    
Net Amounts
  
Assets:
  
(dollars in thousands)
  
Interest rate swaps, at fair value
  
$
113,253
    
$
(113,253
)
  
$
-
    
$
-
  
Interest rate swaptions, at fair value
    
1,527
      
(1,527
)
    
-
      
-
  
TBA derivatives, at fair value
    
59,360
      
(406
)
    
-
      
58,954
  
Futures contracts, at fair value
    
26,986
      
(26,986
)
    
-
      
-
  
Purchase commitments
    
48
      
-
      
-
      
48
  
 
                                
Liabilities:
                                
Interest rate swaps, at fair value
  
$
2,919,492
    
$
(113,253
)
  
$
(1,657,612
)
  
$
1,148,627
  
Interest rate swaptions, at fair value
    
2,105
      
(1,527
)
    
-
      
578
  
TBA derivatives, at fair value
    
547
      
(406
)
    
-
      
141
  
Futures contracts, at fair value
    
70,784
      
(26,986
)
    
(43,798
)
    
-
  
Purchase commitments
    
9
      
-
      
-
      
9
  
 
                                
 
                                
December 31, 2015
          
Amounts Eligible for Offset
          
 
  
Gross Amounts
    
Financial Instruments
    
Cash Collateral
    
Net Amounts
  
Assets:
  
(dollars in thousands)
  
Interest rate swaps, at fair value
  
$
19,642
    
$
(18,040
)
  
$
-
    
$
1,602
  
TBA derivatives, at fair value
    
9,622
      
(7,367
)
    
-
      
2,255
  
Futures contracts, at fair value
    
12,443
      
(10,868
)
    
-
      
1,575
  
 
                                
Liabilities:
      
Interest rate swaps, at fair value
  
$
1,677,571
    
$
(18,040
)
  
$
(913,576
)
  
$
745,955
  
TBA derivatives, at fair value
    
17,185
      
(7,367
)
    
-
      
9,818
  
Futures contracts, at fair value
    
32,778
      
(10,868
)
    
(21,910
)
    
-
  
 
The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows:
 
   
Location on Consolidated Statements of Comprehensive Income (Loss)
  
   
Realized Gains (Losses) on Interest Rate Swaps(1)
    
Realized Gains (Losses) on Termination of Interest Rate Swaps
    
Unrealized Gains (Losses) on Interest Rate Swaps
  
   
(dollars in thousands)
  
Quarters Ended:
                  
September 30, 2016
  
$
(124,572
)
  
$
1,337
    
$
256,462
  
September 30, 2015
  
$
(162,304
)
  
$
-
    
$
(822,585
)
Nine Months Ended:
                        
September 30, 2016
  
$
(402,809
)
  
$
(58,727
)
  
$
(1,148,478
)
September 30, 2015
  
$
(465,008
)
  
$
(226,462
)
  
$
(587,995
)

(1) Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).
 
The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
 
Quarter Ended September 30, 2016
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
Net TBA derivatives (1)
  
$
174,086
    
$
(78,677
)
  
$
95,409
  
Net interest rate swaptions
    
4,180
      
93
      
4,273
  
Futures
    
(47,035
)
    
110,218
      
63,183
  
Purchase commitments
    
-
      
116
      
116
  
                   
$
162,981
  
                         
Quarter Ended September 30, 2015
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
                         
Net TBA derivatives (1)
  
$
168,292
    
$
81,560
    
$
249,852
  
Net interest rate swaptions
    
(11,525
)
    
11,519
      
(6
)
Futures
    
(36,468
)
    
(105,199
)
    
(141,667
)
 
                  
$
108,179
  
(1) Includes options on TBA contracts. 
 
Nine Months Ended September 30, 2016
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
Net TBA derivatives (1)
    
492,450
      
66,376
    
$
558,826
  
Net interest rate swaptions
    
4,180
      
93
      
4,273
  
Futures
    
(169,716
)
    
(23,465
)
    
(193,181
)
Purchase Commitments
    
-
      
116
      
116
  
                   
$
370,034
  
                         
Nine Months Ended September 30, 2015
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
Net TBA derivatives (1)
  
$
61,846
    
$
91,773
    
$
153,619
  
Net interest rate swaptions
    
(41,016
)
    
35,634
      
(5,382
)
Futures
    
(51,205
)
    
(109,974
)
    
(161,179
)
 
                  
$
(12,942
)
(1) Includes options on TBA contracts.
Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. The aggregate fair value of all derivative instruments with the aforementioned features that are in a net liability position at September 30, 2016 was approximately $2.7 billion, which represents the maximum amount the Company would be required to pay upon termination. This amount is fully collateralized.
XML 33 R21.htm IDEA: XBRL DOCUMENT v3.5.0.2
CONVERTIBLE SENIOR NOTES
 9 Months Ended
Sep. 30, 2016
Text Block [Abstract]  
CONVERTIBLE SENIOR NOTES
14. CONVERTIBLE SENIOR NOTES

In 2010, the Company issued $600.0 million in aggregate principal amount of its 4% Convertible Senior Notes for net proceeds of approximately $582.0 million. In 2012, the Company repurchased $492.5 million in aggregate principal amount of its 4% Convertible Senior Notes. In February 2015, the 4% Convertible Senior Notes matured and the Company repaid the remaining 4% Convertible Senior Notes for the face amount of $107.5 million.

In May 2012, the Company issued $750.0 million in aggregate principal amount of its 5% Convertible Senior Notes due 2015 for net proceeds of approximately $727.5 million. In May 2015, the 5% Convertible Senior Notes matured and the Company repaid the 5% Convertible Senior Notes for the face amount of $750.0 million.
XML 34 R22.htm IDEA: XBRL DOCUMENT v3.5.0.2
COMMON STOCK AND PREFERRED STOCK
 9 Months Ended
Sep. 30, 2016
Equity [Abstract]  
COMMON STOCK AND PREFERRED STOCK
15. COMMON STOCK AND PREFERRED STOCK

The Company’s authorized shares of capital stock, par value of $0.01 per share, consists of 1,945,437,500 shares classified as common stock, 7,412,500 shares classified as 7.875% Series A Cumulative Redeemable Preferred Stock, 4,600,000 shares classified as 6.00% Series B Cumulative Convertible Preferred Stock, 12,650,000 shares classified as 7.625% Series C Cumulative Redeemable Preferred Stock, 18,400,000 shares classified as 7.50% Series D Cumulative Redeemable Preferred Stock and 11,500,000 shares classified as 7.625% Series E Cumulative Redeemable Preferred Stock.

(A)
Common Stock

At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 1,018,857,866 and 935,929,561 shares of common stock, respectively, with a par value of $0.01 per share.

In July 2016, the Company issued 93.9 million shares of common shares as part of the consideration for the Hatteras Acquisition.

No options were exercised during the nine months ended September 30, 2016 and 2015.

During the nine months ended September 30, 2016, the Company raised $1.8 million, by issuing 172,000 shares, through the Direct Purchase and Dividend Reinvestment Program. During the nine months ended September 30, 2015, the Company raised $1.7 million, by issuing 168,000 shares, through the Direct Purchase and Dividend Reinvestment Program.

In August 2015, the Company announced that its board of directors (“Board”) had authorized the repurchase of up to $1.0 billion of its outstanding common shares through December 31, 2016 (“Repurchase Program”). During the nine months ended September 30, 2016, the Company repurchased 11,132,226 shares of its common stock under the Repurchase Program for an aggregate amount of $102.7 million. All common shares purchased were part of a publicly announced plan in open-market transactions.

In March 2012, the Company entered into six separate Distribution Agency Agreements (“Distribution Agency Agreements”) with each of Merrill Lynch; Pierce, Fenner & Smith Incorporated; Credit Suisse Securities (USA) LLC; Goldman, Sachs & Co.; J.P. Morgan Securities LLC; Morgan Stanley & Co. LLC; and RCap Securities, Inc. (together, the Agents). Pursuant to the terms of the Distribution Agency Agreements, the Company may sell from time to time through the Agents, as its sales agents, up to 125,000,000 shares of the Company’s common stock. The Company did not make any sales under the Distribution Agency Agreements during the nine months ended September 30, 2016 and 2015.

(B) Preferred Stock

At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 7,412,500 shares of Series A Cumulative Redeemable Preferred Stock (“Series A Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series A Preferred Stock is entitled to a dividend at a rate of 7.875% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series A
 
Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company's option commencing on April 5, 2009 (subject to the Company's right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve its qualification as a REIT). Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series A Preferred Stock.

At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 12,000,000 shares of Series C Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series C Preferred Stock is entitled to a dividend at a rate of 7.625% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series C Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on May 16, 2017 (subject to the Company’s right under limited circumstances to redeem the Series C Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series C Preferred Stock.

At September 30, 2016 and December 31, 2015, the Company had issued and outstanding 18,400,000 shares of Series D Cumulative Redeemable Preferred Stock (“Series D Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series D Preferred Stock is entitled to a dividend at a rate of 7.50% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series D Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on September 13, 2017 (subject to the Company’s right under limited circumstances to redeem the Series D Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series D Preferred Stock.

At September 30, 2016, the Company had issued and outstanding 11,500,000 shares of Series E Cumulative Redeemable Preferred Stock (“Series E Preferred Stock”), with a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The Series E Preferred Stock is entitled to a dividend at a rate of 7.625% per year based on the $25.00 liquidation preference before the common stock is entitled to receive any dividends. The Series E Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on August 27, 2017 (subject to the Company’s right under limited circumstances to redeem the Series E Preferred Stock earlier in order to preserve its qualification as a REIT or under limited circumstances related to a change of control of the Company). The Series E Preferred Stock was issued in July 2016 as part of the Hatteras Acquisition, refer to the “Acquisition of Hatteras” Note for additional information. Through September 30, 2016, the Company had declared and paid all required quarterly dividends on the Series E Preferred Stock.

The 7.875% Series A Preferred Stock, 7.625% Series C Preferred Stock, 7.50% Series D Preferred Stock and 7.625% Series E Preferred Stock rank senior to the common stock of the Company.

(C) Distributions to Stockholders

The following table provides a summary of the Company’s dividend distribution activity for the periods presented:
 
 
 
  
For the Nine Months Ended:
  
 
  
September 30, 2016
    
September 30, 2015
  
 
  
(dollars in thousands, except per share data)
  
Distributions declared to common stockholders
  
$
857,223
    
$
852,989
  
Distributions declared per common share
  
$
0.90
    
$
0.90
  
Distributions paid to common stockholders after period end
  
$
269,111
    
$
284,348
  
Distributions paid per common share after period end
  
$
0.26
    
$
0.30
  
Date of distributions paid to common stockholders after period end
  
October 31, 2016
    
October 30, 2015
  
Dividends declared to Series A Preferred stockholders
  
$
10,944
    
$
10,944
  
Dividends declared per Series A Preferred share
  
$
1.477
    
$
1.477
  
Dividends declared to Series C Preferred stockholders
  
$
17,157
    
$
17,157
  
Dividends declared per Series C Preferred share
  
$
1.430
    
$
1.430
  
Dividends declared to Series D Preferred stockholders
  
$
25,875
    
$
25,875
  
Dividends declared per Series D Preferred share
  
$
1.406
    
$
1.406
  
Dividends declared to Series E Preferred stockholders
  
$
4,811
    
$
-
  
Dividends declared per Series E Preferred share
  
$
0.477
    
$
-
  
XML 35 R23.htm IDEA: XBRL DOCUMENT v3.5.0.2
INTEREST INCOME AND INTEREST EXPENSE
 9 Months Ended
Sep. 30, 2016
Banking and Thrift, Interest [Abstract]  
INTEREST INCOME AND INTEREST EXPENSE
16.  INTEREST INCOME AND INTEREST EXPENSE
The table below presents the components of the Company’s interest income and interest expense for the quarters and nine months ended September 30, 2016 and 2015.
 
 
  
For the Quarters Ended September 30,
    
For the Nine Months Ended September 30,
  
 
  
2016
    
2015
    
2016
    
2015
  
Interest income:
  
(dollars in thousands)
  
Residential Investment Securities
  
$
493,226
    
$
399,702
    
$
1,203,793
    
$
1,448,434
  
Residential mortgage loans
    
1,608
      
-
      
1,608
      
-
  
Commercial investment portfolio(1)
    
61,240
      
50,204
      
191,005
      
142,969
  
Reverse repurchase agreements
    
2,594
      
820
      
7,523
      
2,714
  
Total interest income
    
558,668
      
450,726
      
1,403,929
      
1,594,117
  
Interest expense:
                                
Repurchase agreements
    
154,083
      
103,823
      
423,150
      
307,796
  
Convertible Senior Notes
    
-
      
-
      
-
      
29,740
  
Securitized debt of consolidated VIEs
    
12,046
      
6,111
      
32,305
      
14,468
  
Participation sold
    
157
      
161
      
472
      
479
  
Other
    
7,868
      
202
      
18,429
      
306
  
Total interest expense
    
174,154
      
110,297
      
474,356
      
352,789
  
Net interest income
  
$
384,514
    
$
340,429
    
$
929,573
    
$
1,241,328
  
 
                                
(1) Includes commercial real estate debt, preferred equity and corporate debt.
XML 36 R24.htm IDEA: XBRL DOCUMENT v3.5.0.2
GOODWILL
 9 Months Ended
Sep. 30, 2016
Goodwill and Intangible Assets Disclosure [Abstract]  
GOODWILL
17.  GOODWILL
At September 30, 2016 and December 31, 2015, goodwill totaled $71.8 million.
XML 37 R25.htm IDEA: XBRL DOCUMENT v3.5.0.2
NET INCOME (LOSS) PER COMMON SHARE
 9 Months Ended
Sep. 30, 2016
Earnings Per Share [Abstract]  
NET INCOME (LOSS) PER COMMON SHARE
18.  NET INCOME (LOSS) PER COMMON SHARE
 
The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the quarters and nine months ended September 30, 2016 and 2015.
 
   
For the Quarters Ended
    
For the Nine Months Ended
  
   
September 30, 2016
    
September 30, 2015
    
September 30, 2016
    
September 30, 2015
  
   
(dollars in thousands, except per share data)
  
Net income (loss)
  
$
730,880
    
$
(627,491
)
  
$
(415,697
)
  
$
(203,919
)
Less: Net income (loss) attributable to noncontrolling interest
    
(336
)
    
(197
)
    
(883
)
    
(436
)
Net income (loss) attributable to Annaly
    
731,216
      
(627,294
)
    
(414,814
)
    
(203,483
)
Less: Preferred stock dividends
    
22,803
      
17,992
      
58,787
      
53,976
  
Net income (loss) available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary
    
708,413
      
(645,286
)
    
(473,601
)
    
(257,459
)
Add: Interest on Convertible Senior Notes, if dilutive
    
-
      
-
      
-
      
-
  
Net income (loss) available to common stockholders, as adjusted
  
$
708,413
    
$
(645,286
)
  
$
(473,601
)
  
$
(257,459
)
Weighted average shares of common stock outstanding-basic
    
1,007,607,893
      
947,795,500
      
953,301,855
      
947,732,735
  
Add: Effect of stock awards and Convertible Senior Notes, if dilutive
    
355,513
      
-
      
-
      
-
  
Weighted average shares of common stock outstanding-diluted
    
1,007,963,406
      
947,795,500
      
953,301,855
      
947,732,735
  
Net income (loss) per share available (related) to common share:
                                
Basic
  
$
0.70
    
$
(0.68
)
  
$
(0.50
)
  
$
(0.27
)
Diluted
  
$
0.70
    
$
(0.68
)
  
$
(0.50
)
  
$
(0.27
)

Options to purchase 1.1 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the quarter and nine months ended September 30, 2016.
 
Options to purchase 1.7 million shares of common stock were outstanding and considered anti-dilutive as their exercise price and option expense exceeded the average stock price for the quarter and nine months ended September 30, 2015.
XML 38 R26.htm IDEA: XBRL DOCUMENT v3.5.0.2
LONG-TERM STOCK INCENTIVE PLAN
 9 Months Ended
Sep. 30, 2016
Disclosure of Compensation Related Costs, Share-based Payments [Abstract]  
LONG-TERM STOCK INCENTIVE PLAN
19. LONG-TERM STOCK INCENTIVE PLAN

The Company adopted the 2010 Equity Incentive Plan (the “Plan”), which authorizes the Compensation Committee of the Board to grant options, stock appreciation rights, dividend equivalent rights, or other share-based awards, including restricted shares up to an aggregate of 25,000,000 shares, subject to adjustments as provided in the 2010 Equity Incentive Plan. The Company had previously adopted a long term stock incentive plan for executive officers, key employees and non-employee directors (the “Prior Plan”). The Prior Plan authorized the Compensation Committee of the Board to grant awards, including non-qualified options as well as incentive stock options as defined under Section 422 of the Code. The Prior Plan authorized the granting of options or other awards for an aggregate of the greater of 500,000 shares or 9.5% of the diluted outstanding shares of the Company’s common stock, up to a ceiling of 8,932,921 shares. No further awards will be made under the Prior Plan, although existing awards remain effective.

Stock options were issued at the market price on the date of grant, subject to an immediate or four year vesting in four equal installments with a contractual term of 5 or 10 years.
 
The following table sets forth activity related to the Company’s stock options awarded under the Plan:
 
   
For the Nine Months Ended
  
   
September 30, 2016
    
September 30, 2015
  
   
Number of Shares
    
Weighted Average Exercise Price
    
Number of Shares
    
Weighted Average Exercise Price
  
Options outstanding at the beginning of period
    
1,168,775
    
$
15.34
      
2,259,335
    
$
15.35
  
Granted
    
-
      
-
      
-
      
-
  
Exercised
    
-
      
-
      
-
      
-
  
Forfeited
    
(6,400
)
    
14.69
      
(266,399
)
    
15.24
  
Expired
    
(36,750
)
    
12.90
      
(294,750
)
    
17.07
  
Options outstanding at the end of period
    
1,125,625
    
$
15.43
      
1,698,186
    
$
15.07
  
Options exercisable at the end of period
    
1,125,625
    
$
15.43
      
1,698,186
    
$
15.07
  

The weighted average remaining contractual term was approximately 1.7 years and 2.8 years for stock options outstanding and exercisable as of September 30, 2016 and 2015, respectively.

As of September 30, 2016 and 2015, there was no unrecognized compensation cost related to nonvested share-based compensation awards.
XML 39 R27.htm IDEA: XBRL DOCUMENT v3.5.0.2
INCOME TAXES
 9 Months Ended
Sep. 30, 2016
Income Tax Disclosure [Abstract]  
INCOME TAXES
20.  INCOME TAXES

For the quarter ended September 30, 2016 the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is generally the Company’s policy to distribute 100% of its REIT taxable income.

The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise or business taxes. The Company’s TRSs are subject to federal, state and local taxes.

During the quarter and nine months ended September 30, 2016, the Company recorded $1.9 million and $2.8 million, respectively, of income tax benefit for losses attributable to its TRSs. During the quarter and nine months ended September 30, 2015, the Company recorded a net income tax benefit of $0.4 million and $8.0 million, respectively, for losses attributable to its TRSs.
 
The Company’s federal, state and local tax returns from 2013 and forward remain open for examination.
XML 40 R28.htm IDEA: XBRL DOCUMENT v3.5.0.2
LEASE COMMITMENTS AND CONTINGENCIES
 9 Months Ended
Sep. 30, 2016
Commitments and Contingencies Disclosure [Abstract]  
LEASE COMMITMENTS AND CONTINGENCIES
21.  LEASE COMMITMENTS AND CONTINGENCIES
Commitments

The Company had a non-cancelable lease for office space which commenced in May 2002 and expired in December 2014. In September 2014, the Company entered into a non-cancelable lease for office space which commenced in July 2014 and expires in September 2025. FIDAC had a lease for office space which commenced in October 2010 and expired in February 2016, which was not renewed. The lease expense for each of the quarters ended September 30, 2016 and 2015 was $0.8 million. The Company’s aggregate future minimum lease payments totaled $33.8 million. The following table details the future lease payments.
 
 
Years Ending December 31,
  
Lease Commitments
  
   
(dollars in thousands)
  
2016 (remaining)
  
$
924
  
2017
    
3,697
  
2018
    
3,641
  
2019
    
3,565
  
2020
    
3,652
  
Later years
    
18,343
  
   
$
33,822
  

Contingencies
 
From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business. There were no material contingencies as of September 30, 2016 and December 31, 2015.
XML 41 R29.htm IDEA: XBRL DOCUMENT v3.5.0.2
RISK MANAGEMENT
 9 Months Ended
Sep. 30, 2016
Text Block [Abstract]  
RISK MANAGEMENT
22. RISK MANAGEMENT
The primary risks to the Company are liquidity, investment/market risk and credit risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on Interest Earning Assets and the interest expense incurred in connection with the Interest Bearing Liabilities and hedges, by affecting the spread between the Interest Earning Assets and Interest Bearing Liabilities. Changes in the level of interest rates can also affect the value of the Interest Earning Assets and the Company’sability to realize gains from the sale of these assets. A decline in the value of the Interest Earning Assets pledged as collateral for borrowings under repurchase agreements and derivative contracts could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels.
 
The Company may seek to mitigate the potential financial impact by entering into interest rate agreements such as interest rate swaps, interest rate swaptions and other hedges.

Weakness in the mortgage market, the shape of the yield curve and changes in the expectations for the path and volatility of future interest rates may adversely affect the performance and market value of the Company’s investments. This could negatively impact the Company’s book value. Furthermore, if the Company’s lenders are unwilling or unable to provide additional financing, the Company could be forced to sell its investments at an inopportune time when prices are depressed. The Company has established policies and procedures for mitigating risks, including conducting scenario analyses and utilizing a range of hedging strategies.
 
The payment of principal and interest on the Freddie Mac and Fannie Mae Agency mortgage-backed securities, excluding CRT securities issued by Freddie Mac and Fannie Mae, are guaranteed by those respective agencies and the payment of principal and interest on Ginnie Mae Agency mortgage-backed securities are backed by the full faith and credit of the U.S. government. Principal and interest on Agency debentures are guaranteed by the Agency issuing the debenture. The majority of the Company’s Residential Investment Securities have an actual or implied “AAA” rating.

The Company faces credit risk on the portions of its portfolio which are not guaranteed by the respective Agency or by the full faith and credit of the U.S. government. The Company is exposed to credit risk on CRE Debt and Preferred Equity Investments, investments in commercial real estate, commercial mortgage-backed securities, CRT securities, other non-Agency mortgage-backed securities, whole loans, and corporate debt. MSR values may also be adversely impacted if overall costs to service the underlying mortgage loans increase due to borrower performance. The Company is exposed to risk of loss if an issuer, borrower, tenant or counterparty fails to perform its obligations under contractual terms. The Company has established policies and procedures for mitigating credit risk, including reviewing and establishing limits for credit exposure, limiting transactions with specific counterparties, maintaining qualifying collateral and periodically assessing the creditworthiness of issuers, borrowers, tenants and counterparties.
XML 42 R30.htm IDEA: XBRL DOCUMENT v3.5.0.2
RCAP REGULATORY REQUIREMENTS
 9 Months Ended
Sep. 30, 2016
Brokers and Dealers [Abstract]  
RCAP REGULATORY REQUIREMENTS
23.  RCAP REGULATORY REQUIREMENTS

RCap is subject to regulations of the securities business that include but are not limited to trade practices, use and safekeeping of funds and securities, capital structure, recordkeeping and conduct of directors, officers and employees.

As a self-clearing, registered broker dealer, RCap is required to maintain minimum net capital by FINRA. As of September 30, 2016 RCap had a minimum net capital requirement of $0.3 million. RCap consistently operates with capital in excess of its regulatory capital requirements. RCap’s regulatory net capital as defined by SEC Rule 15c3-1, as of September 30, 2016 was $391.2 million with excess net capital of $390.9 million.
XML 43 R31.htm IDEA: XBRL DOCUMENT v3.5.0.2
RELATED PARTY TRANSACTIONS
 9 Months Ended
Sep. 30, 2016
Related Party Transactions [Abstract]  
RELATED PARTY TRANSACTIONS
24.  RELATED PARTY TRANSACTIONS
Investment in Affiliate and Advisory Fees

In August 2015, FIDAC entered into an agreement with Chimera Investment Corporation (“Chimera”) to internalize the management of Chimera. As part of the agreement, the companies agreed to terminate the management agreement between FIDAC and Chimera effective August 5, 2015.

In connection with the transaction, Annaly and Chimera entered into a share repurchase agreement pursuant to which Chimera purchased the Company’s approximate 9.0 million shares of Chimera at an aggregate price of $126.4 million. The share repurchase agreement closed in August 2015.

For the quarter and nine months ended September 30, 2016, the Company did not record any advisory fees. For the quarter and nine months ended September 30, 2015, the Company recorded advisory fees from Chimera totaling $3.8 million and $24.8 million, respectively. In August 2014, the management agreement between FIDAC and Chimera was amended and restated to amend certain of the terms and conditions of the prior agreement. Among other amendments to the terms of the prior agreement, effective August 8, 2014, the management fee was increased from 0.75% to 1.20% of Chimera’s gross stockholders’ equity (as defined in the amended and restated management agreement).

Management Agreement

The Company and the Manager have entered into a management agreement pursuant to which the Company’s management is conducted by the Manager through the authority delegated to it in the Management Agreement and pursuant to the policies established by the Board (the “Externalization”). The management agreement was effective as of July 1, 2013 and applicable for the entire 2013 calendar year and was subsequently amended on November 5, 2014 and April 11, 2016 (the management agreement, as amended and restated, is referred to as “Management Agreement”).

Pursuant to the terms of the Management Agreement, the Company pays the Manager a monthly management fee in an amount equal to 1/12th of 1.05% of stockholders’ equity, as defined in the Management Agreement, for its management services. For the quarters ended September 30, 2016 and 2015, the compensation and management fee was $38.7 million and $37.5 million, respectively. For the nine months ended September 30, 2016 and 2015, the compensation and management fee was $111.8 million and $113.1 million, respectively. At September 30, 2016 and December 31, 2015, the Company had amounts payable to the Manager of $12.7 million and $12.1 million, respectively.
 
The Management Agreement provides for a term ending December 31, 2016 with automatic two-year renewals unless at least two-thirds of the Company’s independent directors or the holders of a majority of the Company’s outstanding shares of common stock elect to terminate the agreement in their sole discretion for any or no reason. At any time during the term or any renewal term the Company may deliver to the Manager written notice of the Company’s intention to terminate the Management Agreement. The Company must designate a date not less than one year from the date of the notice on which the Management Agreement will terminate. The Management Agreement also provides that the Manager may terminate the Management Agreement by providing to the Company prior written notice of its intention to terminate the Management Agreement no less than one year prior to the date designated by the Manager on which the Manager would cease to provide services or such earlier date as determined by the Company in its sole discretion.
 
Following the Externalization, the Company continues to retain employees at certain of the Company’s subsidiaries for regulatory or corporate efficiency reasons. All compensation expenses associated with such retained employees reduce the amount paid to the Manager.

The Management Agreement may be amended or modified by agreement between the Company and the Manager. There is no termination fee for a termination of the Management Agreement by either the Company or the Manager.
XML 44 R32.htm IDEA: XBRL DOCUMENT v3.5.0.2
SIGNIFICANT ACCOUNTING POLICIES (Policies)
 9 Months Ended
Sep. 30, 2016
Accounting Policies [Abstract]  
Principles of Consolidation
Principles of Consolidation – The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries and consolidated variable interest entities. All intercompany balances and transactions have been eliminated in consolidation. The Company reclassified previously presented financial information so that amounts previously presented conform to the current period presentation.

The Company has evaluated all of its investments in legal entities in order to determine if they are variable interests in Variable Interest Entities ("VIEs"). A VIE is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A variable interest is an investment or other interest that will absorb portions of a VIE's expected losses or receive portions of the entity’s expected residual returns. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that (i) has the power to direct the activities that most significantly impact the VIE’s economic performance and (ii) has the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE.
 
To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, the Company considers all facts and circumstances, including the Company’s role in establishing the VIE and the Company’s ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE.

To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Company applies significant judgment and considers all of its economic interests, including debt and equity investments and other arrangements deemed to be variable interests, both explicit and implicit, in the VIE. This assessment requires that the Company apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company.

The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE causes the Company’s consolidation conclusion regarding the VIE to change.
Cash and Cash Equivalents
Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. The Company also maintains collateral in the form of cash on margin with counterparties to its interest rate swaps and other derivatives. RCap is a member of various clearing organizations with which it maintains cash required to conduct its day-to-day clearance activities. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company’s interest rate swaps and other derivatives totaled approximately $2.3 billion and $1.6 billion at September 30, 2016 and December 31, 2015, respectively.
Fair Value Measurements
Fair Value Measurements – The Company reports various financial instruments at fair value. A complete discussion of the methodology utilized by the Company to estimate the fair value of certain financial instruments is included in these Notes to Consolidated Financial Statements.
Revenue Recognition
Revenue Recognition – The revenue recognition policy by asset class is discussed below.

Agency Mortgage-Backed Securities, Agency Debentures, Non-Agency Mortgage-Backed Securities and CRT Securities – The Company invests in mortgage pass-through certificates, collateralized mortgage obligations and other mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans and certificates guaranteed by the Government National Mortgage Association (“Ginnie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”) or the Federal National Mortgage Association (“Fannie Mae”) (collectively, “Agency mortgage-backed securities”). These Agency mortgage-backed securities may include forward contracts for Agency mortgage-backed securities purchases or sales of a generic pool, on a to-be-announced basis (“TBA securities”). The Company also invests in Agency debentures issued by the Federal Home Loan Banks, Freddie Mac and Fannie Mae, as well as CRT securities. CRT securities are risk sharing instruments issued by Fannie Mae and Freddie Mac, and similarly structured transactions arranged by third party market participants. CRT securities are designed to synthetically transfer mortgage credit risk from Fannie Mae, Freddie Mac and/or third parties to private investors. The Company also invests in non-Agency mortgage-backed securities, such as those issued in non-performing loan (“NPL”) and re-performing loan (“RPL”) securitizations.
Agency mortgage-backed securities, Agency debentures, non-Agency mortgage-backed securities and CRT securities are referred to herein as “Residential Investment Securities.” Although the Company generally intends to hold most of its Residential Investment Securities until maturity, it may, from time to time, sell any of its Residential Investment Securities as part of the overall management of its portfolio. Residential Investment Securities classified as available-for-sale are reported at fair value with unrealized gains and losses reported in other comprehensive income (loss) unless the Company has elected the fair value option, where the unrealized gains and losses on these financial instruments are recorded through earnings (e.g., interest-only securities). The fair value of Residential Investment Securities classified as available-for-sale is estimated by management and is compared to independent sources for reasonableness. Residential Investment Securities transactions are recorded on trade date, including TBA securities that meet the regular-way securities scope exception from derivative accounting. Gains and losses on sales of Residential Investment Securities are recorded on trade date based on the specific identification method.
 
The Company elected the fair value option for interest-only mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities as this election simplifies the accounting. Interest-only securities and inverse interest-only securities are collectively referred to as “interest-only securities.” These interest-only mortgage-backed securities represent the Company’s right to receive a specified proportion of the contractual interest flows of specific mortgage-backed securities. Interest-only mortgage-backed securities, non-Agency mortgage-backed securities and CRT securities are measured at fair value with changes in fair value recorded as Net unrealized gains (losses) on investments measured at fair value through earnings in the Company’s Consolidated Statements of Comprehensive Income (Loss). The interest-only securities are included in Agency mortgage-backed securities at fair value on the accompanying Consolidated Statements of Financial Condition.

The Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the Residential Investment Securities and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities), considering estimates of future principal prepayment in the calculation of the effective yield because they are probable and the timing and amount of prepayments can be reasonably estimated. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the investment is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.
Premiums or discounts associated with the purchase of Agency interest-only securities and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis.
Interest income for Agency debentures is recognized by applying the interest method using contractual cash flows without estimating prepayments.
The table below summarizes the interest income recognition methodology for Residential Investment Securities:
 
 
Interest Income
Methodology
Agency
  
Fixed-rate pass-through(1)
Effective yield(3)
Adjustable-rate pass-through(1)
Effective yield(3)
Collateralized Mortgage Obligation (“CMO”)(1)
Effective yield(3)
 
Debentures(1)
Contractual Cash Flows
Interest-only(2)
Prospective
   
Residential Credit
  
CRT(2)
Prospective
Legacy (2)
Prospective
NPL/RPL (2)
Prospective
New issue (2)
Prospective
New issue interest-only (2)
Prospective
   
(1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss).
(2) Changes in fair value are recognized in Net unrealized gains (losses) on investments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss).
(3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.
Residential Mortgage Loans
Residential Mortgage Loans – The Company’s residential mortgage loans are primarily comprised of prime jumbo adjustable-rate whole mortgage loans acquired in connection with the Company’s acquisition of Hatteras (“Hatteras Acquisition”) and subsequent purchases. Additionally, pursuant to the Hatteras Acquisition, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo whole mortgage loans. The Company made elections to account for the investments in residential mortgage loans held in its portfolio and in the securitization trust at fair value as these elections simplify the accounting. Residential mortgage loans are recognized at fair value on the accompanying Consolidated Statements of Financial Condition. Changes in the estimated fair value are presented in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).

Premiums and discounts associated with the purchase of residential mortgage loans and with those held in the securitization trust are primarily amortized or accreted into interest income over their estimated remaining lives using the effective interest rates inherent in the estimated cash flows from the mortgage loans. Amortization of premiums and accretion of discounts are presented in Interest income in the Consolidated Statements of Comprehensive Income (Loss).

There was no real estate acquired in settlement of residential mortgage loans as of September 30, 2016 or December 31, 2015. The Company would be considered to have received physical possession of residential real estate property collateralizing a residential mortgage loan, so that the loan is derecognized and the real estate property would be recognized, if either (i) the Company obtains legal title to the residential real estate property upon completion of a foreclosure or (ii) the borrower conveys all interest in the residential real estate property to the Company to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement.
Mortgage Servicing Rights ("MSRs")
Mortgage Servicing Rights (“MSRs”) – MSRs represent the rights associated with servicing contracts obtained in connection with the Hatteras Acquisition or through the subsequent purchase of such rights from third parties with the intention of holding them as investments. The Company and its subsidiaries do not originate or directly service mortgage loans. Rather, the Company utilizes duly licensed subservicers to perform substantially all servicing functions for the loans underlying the MSRs. The Company elected to account for all of its investments in MSRs at fair value; as such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).
Equity Securities
Equity Securities – The Company may invest in equity securities that are classified as available-for-sale or trading. Equity securities classified as available-for-sale are reported at fair value, based on market quotes, with unrealized gains and losses reported as a component of other comprehensive income (loss). Equity securities classified as trading are reported at fair value, based on market quotes, with unrealized gains and losses reported in the Consolidated Statements of Comprehensive Income (Loss) as Net gains (losses) on trading assets. Dividends are recorded in earnings based on the declaration date.
Derivative Instruments
Derivative Instruments – The Company may use a variety of derivative instruments to economically hedge some of its exposure to market risks, including interest rate and prepayment risk. These instruments include, but are not limited to, interest rate swaps, options to enter into interest rate swaps (“swaptions”), TBA contracts without intent to accept delivery (“TBA derivatives”), options on TBA contracts (“MBS options”), U.S. Treasury and Eurodollar futures contracts and certain forward purchase commitments. The Company may also invest in other types of mortgage derivatives such as interest-only securities and synthetic total return swaps, such as the Markit IOS Synthetic Total Return Swap Index. Derivatives are accounted for in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 815, Derivatives and Hedging, which requires recognition of all derivatives as either assets or liabilities at fair value in the Consolidated Statements of Financial Condition with changes in fair value recognized in the Consolidated Statements of Comprehensive Income (Loss). None of the Company’s derivative transactions have been designated as hedging instruments for accounting purposes.

Some derivative agreements contain provisions that allow for netting or setting off by counterparty; however, the Company elected to present related assets and liabilities on a gross basis in the Consolidated Statements of Financial Condition.

Interest rate swap agreements - Interest rate swaps are the primary instrument used to mitigate interest rate risk. In particular, the Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Swap agreements may or may not be cleared through a derivatives clearing organization (“DCO”). Uncleared swaps are fair valued using internal pricing models and compared to the counterparty market values. Centrally cleared swaps are fair valued using the DCO’s market values.

Interest rate swaptions - Interest rate swaptions are purchased/sold to mitigate the potential impact of increases or decreases in interest rates. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount,  stated term and pay and receive interest rates in the future. They are not centrally cleared. The premium paid/received for interest rate swaptions is reported as an asset/liability in the Consolidated Statements of Financial Condition. The difference between the premium and the fair value of the swaption is reported in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss). If a swaption expires unexercised, the realized gain (loss) on the swaption would be equal to the premium received/paid. If the Company sells or exercises a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash received or the fair value of the underlying interest rate swap received and the premium paid.

The fair value of interest rate swaptions is estimated using internal pricing models and compared to the counterparty market value.

TBA Dollar Rolls - TBA dollar roll transactions are accounted for as a series of derivative transactions. The fair value of TBA derivatives is based on methods similar to those used to value Agency mortgage-backed securities with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).

MBS Options – MBS options are generally options on TBA contracts, which help manage mortgage market risks and volatility while providing the potential to enhance returns. MBS options are over-the-counter traded instruments and those written on current-coupon mortgage-backed securities are typically the most liquid. MBS options are measured at fair value using internal pricing models and compared to the counterparty market value at the valuation date with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).
Futures Contracts - Futures contracts are derivatives that track the prices of specific assets. Short sales of futures contracts help mitigate the potential impact of changes in interest rates on the portfolio performance. The Company maintains margin accounts that are settled daily with Futures Commission Merchants (“FCMs”). The margin requirement varies based on the market value of the open positions and the equity retained in the account. Futures contracts are fair valued based on exchange pricing with gains and losses recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).
Forward purchase commitments – The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing mortgage loans at a particular price, provided the mortgage loans close with the counterparties. Gains and losses are recorded in Net gains (losses) on trading assets in the Consolidated Statements of Comprehensive Income (Loss).
Repurchase Agreements
Repurchase Agreements – The Company finances the acquisition of a significant portion of its Agency mortgage-backed securities with repurchase agreements. The Company examines each of the specified criteria in ASC 860, Transfers and Servicing, at the inception of each transaction and has determined that each of the financings meet the specified criteria in this guidance.

Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Consolidated Statements of Financial Condition when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities in the Consolidated Statements of Cash Flows. The Company reports cash flows on reverse repurchase and repurchase agreements entered into by RCap as operating activities in the Consolidated Statements of Cash Flows.
Goodwill and Intangible Assets
Goodwill and Intangible Assets – The Company’s acquisitions are accounted for using the acquisition method. Under the acquisition method, net assets and results of operations of acquired companies are included in the consolidated financial statements from the date of acquisition. The purchase prices are allocated to the assets acquired, including identifiable intangible assets, and the liabilities assumed based on their estimated fair values at the date of acquisition. The excess of purchase price over the fair value of the net assets acquired is recognized as goodwill. Conversely, any excess of the fair value of the net assets acquired over the purchase price is recognized as a bargain purchase gain.
The Company tests goodwill for impairment on an annual basis and at interim periods when events or circumstances may make it more likely than not that an impairment has occurred. If a qualitative analysis indicates that there may be an impairment, a quantitative analysis is performed. The quantitative impairment test for goodwill utilizes a two-step approach, whereby the Company compares the carrying value of each identified reporting unit to its fair value. If the carrying value of the reporting unit is greater than its fair value, the second step is performed, where the implied fair value of goodwill is compared to its carrying value. The Company recognizes an impairment charge for the amount by which the carrying amount of goodwill exceeds its fair value. An impairment of the goodwill associated with the Company’s acquisition of Fixed Income Discount Advisory Company (“FIDAC”) was recorded during the year ended December 31, 2015.
Finite life intangible assets are amortized over their expected useful lives.
Convertible Senior Notes
Convertible Senior Notes – The Company recorded the 4% Convertible Senior Notes and 5% Convertible Senior Notes (collectively, the “Convertible Senior Notes”) at their contractual amounts, adjusted by the effects of a beneficial conversion feature and a contingent beneficial conversion feature (collectively, the “Conversion Features”). The Conversion Features’ intrinsic value is included in “Additional paid-in capital” on the Company’s Consolidated Statements of Financial Condition and reduces the recorded liability amount associated with the Convertible Senior Notes. A Conversion Feature may be recognized as a result of adjustments to the conversion price for dividends declared to common stockholders. The 4% and 5% Convertible Senior Notes matured in February 2015 and May 2015, respectively.
Stock Based Compensation
Stock Based Compensation – The Company is required to measure and recognize in the consolidated financial statements the compensation cost relating to share-based payment transactions. The Company recognizes compensation expense on a straight-line basis over the requisite service period for the entire award.
Income Taxes
Income Taxes – The Company has elected to be taxed as a REIT and intends to comply with the provisions of the Code, with respect thereto. Accordingly, the Company will not be subject to federal income tax to the extent of its distributions to stockholders and as long as certain asset, income and stock ownership tests are met. The Company and certain of its direct and indirect subsidiaries, including FIDAC, RCap and certain subsidiaries of ACREG and Hatteras, have made separate joint elections to treat these subsidiaries as taxable REIT subsidiaries (“TRSs”). As such, each of these TRSs is taxable as a domestic C corporation and subject to federal, state and local income taxes based upon their taxable income.
The provisions of ASC 740, Income Taxes, (“ASC 740”) clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for uncertain tax positions taken or expected to be taken on a tax return. ASC 740 also requires that interest and penalties related to unrecognized tax benefits be recognized in the financial statements. The Company does not have any unrecognized tax benefits that would affect its financial position. Thus, no accruals for penalties and interest were necessary as of September 30, 2016 and December 31, 2015.
Use of Estimates
Use of Estimates – The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
Commercial Real Estate Investments
Commercial Real Estate Investments

Commercial Real Estate Debt Investments - The Company’s commercial real estate debt investments are comprised of commercial mortgage-backed securities and loans held by consolidated collateralized financing entities. Commercial mortgage-backed securities are classified as available-for-sale and reported at fair value with unrealized gains and losses reported as a component of other comprehensive income (loss). Management evaluates commercial mortgage-backed securities for other-than-temporary impairment at least quarterly. See the “Commercial Real Estate Investments” Note for additional information regarding the consolidated collateralized financing entities.

Commercial Real Estate Loans – The Company's commercial real estate loans are comprised of fixed-rate and adjustable-rate loans. The Company designates loans as held for investment if it has the intent and ability to hold the loans until maturity or payoff. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans that are designated as held for investment and are originated or purchased by the Company are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary.
If the Company intends to sell or securitize the loans and the financing vehicle is not expected to be consolidated, they are classified as held for sale. Commercial real estate loans that are designated as held for sale are carried at the lower of amortized cost or fair value and recorded as Commercial Loans held for sale in the accompanying Consolidated Statements of Financial Condition. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of commercial real estate loans held for sale on an individual loan basis. The Company has elected the fair value option for multi-family mortgage loans held in securitization trusts that it was required to consolidate. Preferred equity interests are designated as held for investment and are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less a reserve for estimated losses if necessary. See “Commercial Real Estate Investments” Note for additional information.
Investments in Commercial Real Estate – Investments in commercial real estate are carried at historical cost less accumulated depreciation. Historical cost includes all costs necessary to bring the asset to the condition and location necessary for its intended use, including financing during the construction period. Costs directly related to acquisitions deemed to be business combinations are expensed. Ordinary repairs and maintenance that are not reimbursed by tenants are expensed as incurred. Major replacements and improvements that extend the useful life of the asset are capitalized and depreciated over their useful life.

Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows:
 
Category
 
Term
Building
30 - 40 years
Site improvements
1 - 28 years

The Company follows the acquisition method of accounting for acquisitions of operating real estate held for investment, where the purchase price of operating real estate is allocated to tangible assets such as land, building, site improvements and other identified intangibles such as above/below market and in-place leases.

The Company applies the equity method of accounting for its investments in joint ventures where it is not considered to have a controlling financial interest. Under the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method.

The Company evaluates whether real estate acquired in connection with a foreclosure (“REO”) or Uniform Commercial Code (“UCC”)/deed in lieu of foreclosure (herein collectively referred to as a foreclosure) constitutes a business and whether business combination accounting is applicable. Upon foreclosure of a property, the excess of the carrying value of a loan, if any, over the estimated fair value of the property, less estimated costs to sell, is charged to provision for loan losses.

Investments in commercial real estate, including REO, that do not meet the criteria to be classified as held for sale are separately presented in the Consolidated Statements of Financial Condition as held for investment. Real estate held for sale is reported at the lower of its carrying value or its estimated fair value less estimated costs to sell. Once a property is determined to be held for sale, depreciation is no longer recorded.

The Company's real estate portfolio (REO and real estate held for investment) is reviewed on a quarterly basis, or more frequently as necessary, to assess whether there are any indicators that the value of its operating real estate may be impaired or that its carrying value may not be recoverable. A property's value is considered impaired if the Company's estimate of the aggregate future undiscounted cash flows to be generated by the property is less than the carrying value of the property. In conducting this review, the Company considers U.S. macroeconomic factors, including real estate sector conditions, together with asset specific and other factors. To the extent impairment has occurred and is considered to be other than temporary, the loss will be measured as the excess of the carrying amount of the property over the calculated fair value of the property.

Revenue Recognition – Commercial Real Estate Investments - Interest income is accrued based on the outstanding principal amount of the commercial real estate loans and preferred equity interests held for investment (collectively referred to as “CRE Debt and Preferred Equity Investments”) and their contractual terms. Premiums and discounts associated with the purchase of CRE Debt and Preferred Equity Investments are amortized or accreted into interest income over the projected lives of the CRE Debt and Preferred Equity Investments using the interest method.
Corporate Debt
Corporate Debt
Corporate Loans – The Company’s investments in corporate loans are designated as held for investment when the Company has the intent and ability to hold the investment until maturity or payoff. These investments are carried at their principal balance outstanding plus any premiums or discounts less allowances for loan losses. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method. These investments typically take the form of senior secured loans primarily in first lien and second lien loans. The Company’s senior secured loans generally have stated maturities of three to eight years. In connection with these senior secured loans the Company receives a security interest in certain of the assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to the least amount of credit risk given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. To date, the majority of the Company’s investments have been funded term loans versus debt securities.
Corporate Debt Securities – The Company’s investments in corporate debt securities are designated as held-to-maturity when the Company has the intent and ability to hold the investments until maturity. These investments are carried at their principal balance outstanding plus any premiums or discounts less other-than-temporary impairment. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the interest method.
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment – Management evaluates available-for-sale securities and held-to-maturity debt securities for other-than-temporary impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an available-for-sale security is less than its amortized cost, the security is considered impaired. For available-for-sale securities that are impaired, the Company determines if it (1) has the intent to sell the security, (2) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (3) does not expect to recover the entire amortized cost basis of the security. Further, the security is analyzed for credit loss (the difference between the present value of cash flows expected to be collected and the amortized cost basis). The credit loss, if any, will then be recognized in the Consolidated Statements of Comprehensive Income (Loss), while the balance of losses related to other factors will be recognized as a component of other comprehensive income (loss). If the fair value is less than the cost of a held-to-maturity security, the Company performs an analysis to determine whether it expects to recover the entire cost basis of the security. There was no other-than-temporary impairment recognized for the quarters ended September 30, 2016 and 2015.
Allowance for Losses
Allowance for Losses – The Company evaluates the need for a loss reserve on its CRE Debt and Preferred Equity Investments and its corporate loans. A provision for losses related to CRE Debt and Preferred Equity Investments and corporate loans, including those accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality, may be established when it is probable the Company will not collect amounts contractually due or all amounts previously estimated to be collectable. Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the CRE Debt and Preferred Equity Investments as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages if applicable and analyzes current results relative to budgets and sensitivities performed at inception of the investment. Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date.
The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment. The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies. Management reviews loan-to-value metrics upon either the origination or the acquisition of a new investment but generally does not update the loan-to-value metrics in the course of quarterly surveillance. Management generally reviews the most recent financial information produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s CRE Debt and Preferred Equity Investments, and may consider other factors management deems important. Management also reviews market pricing to determine each borrower’s ability to refinance its respective assets at the maturity of each loan. Management also reviews economic trends, both macro and those affecting the property specifically, and the supply and demand of competing projects in the sub-market in which each subject property is located. Management monitors the financial condition and operating results of its corporate borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations.
In connection with the quarterly surveillance review process, CRE Debt and Preferred Equity Investments are assigned an internal risk rating. Effective December 31, 2015, the loan risk ratings were enhanced to reflect guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The initial internal risk ratings (“Initial Ratings”) are based on loan-to-values and the NOI debt yields of the underlying collateral of the Company’s CRE Debt and Preferred Equity Investments and based upon leverage and cash flow coverages of the borrowers’ debt and operating obligations. The final internal risk ratings are influenced by other quantitative and qualitative factors that can result in an adjustment to the Initial Ratings, subject to review and approval by the respective committee. The internal risk rating categories include “Performing”, “Performing - Closely Monitored”, “Performing - Special Mention”, “Substandard”, “Doubtful” or “Loss”. Performing loans meet all present contractual obligations. Performing - Closely Monitored loans meet all present contractual obligations, but are transitional or could be exhibiting some weakness in both leverage and liquidity. Performing - Special Mention loans meet all present contractual obligations, but exhibit potential weakness that deserve management’s close attention and if uncorrected, may result in deterioration of repayment prospects. Substandard loans are inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected. Doubtful loans are Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable. Loss loans are considered uncollectible. The presentation of prior period internal risk ratings have been revised to conform to the current period presentation.
Nonaccrual Status
Nonaccrual Status – If collection of a loan’s principal or interest is in doubt or the loan is 90 days or more past due, interest income is not accrued. For nonaccrual status loans carried at fair value or held for sale, interest is not accrued, but is recognized on a cash basis. For nonaccrual status loans carried at amortized cost, if collection of principal is not in doubt, but collection of interest is in doubt, interest income is recognized on a cash basis. If collection of principal is in doubt, any interest received is applied against principal until collectability of the remaining balance is no longer in doubt; at that point, any interest income is recognized on a cash basis. Generally, a loan is returned to accrual status when the borrower has resumed paying the full amount of the scheduled contractual obligation, if all principal and interest amounts contractually due are reasonably assured of repayment within a reasonable period of time and there is a sustained period of repayment performance by the borrower.

The Company did not have any impaired loans, nonaccrual loans, or loans in default as all of the loans were performing as of September 30, 2016 and December 31, 2015. Accordingly, no allowance for loan losses was deemed necessary as of September 30, 2016 and December 31, 2015.
Broker Dealer Activities
Broker Dealer Activities

Reverse Repurchase Agreements – RCap enters into reverse repurchase agreements and repurchase agreements as part of its matched book trading activity. Reverse repurchase agreements are recorded on settlement date at the contractual amount and are collateralized by mortgage-backed or other securities. Margin calls are made by RCap as necessary based on the daily valuation of the underlying collateral as compared to the contract price. RCap generates income from the spread between what is earned on the reverse repurchase agreements and what is paid on the matched repurchase agreements. RCap’s policy is to obtain possession of collateral with a market value in excess of the principal amount loaned under reverse repurchase agreements. To ensure that the market value of the underlying collateral remains sufficient, collateral is valued daily, and RCap requires counterparties to deposit additional collateral when necessary. All reverse repurchase activities are transacted under master repurchase agreements that give RCap the right, in the event of default, to liquidate collateral held and in some instances, to offset receivables and payables with the same counterparty. Substantially all of RCap’s reverse repurchase activity is with affiliated entities.
Recent Accounting Pronouncements
Recent Accounting Pronouncements

The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption.
 
Standard
Description
Effective Date
Effect on the financial statements or other significant matters
Standards that are not yet adopted
      
ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments
This ASU updates the existing incurred loss model to a current expected credit loss model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, debt securities, trade receivables, net investments in leases, off balance sheet credit exposures and any other financial assets not excluded from the scope. There are also changes to the accounting for available for sale debt securities.
 January 1, 2020 (early adoption permitted)
The Company is assessing the impact to the consolidated financial statements.
Standard
Description
Effective Date
Effect on the financial statements or other significant matters
Standards that were adopted
      
ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity
This update provides a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis.
 January 1, 2016 (early adoption permitted)
The Company early adopted this ASU in the first quarter of 2015 and applied the guidance to commercial mortgage backed securitization transactions. See "Variable Interest Entity" footnote for further disclosure.
       
XML 45 R33.htm IDEA: XBRL DOCUMENT v3.5.0.2
SIGNIFICANT ACCOUNTING POLICIES (Tables)
 9 Months Ended
Sep. 30, 2016
Accounting Policies [Abstract]  
Summary of interest income recognition methodology for Residential Investment Securities
The table below summarizes the interest income recognition methodology for Residential Investment Securities:
 
 
Interest Income
Methodology
Agency
  
Fixed-rate pass-through(1)
Effective yield(3)
Adjustable-rate pass-through(1)
Effective yield(3)
Collateralized Mortgage Obligation (“CMO”)(1)
Effective yield(3)
 
Debentures(1)
Contractual Cash Flows
Interest-only(2)
Prospective
   
Residential Credit
  
CRT(2)
Prospective
Legacy (2)
Prospective
NPL/RPL (2)
Prospective
New issue (2)
Prospective
New issue interest-only (2)
Prospective
   
(1) Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss).
(2) Changes in fair value are recognized in Net unrealized gains (losses) on investments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss).
(3) Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.
Schedule of Useful Lives of Investments in Commercial Real Estate
Investments in commercial real estate are depreciated using the straight-line method over the estimated useful lives of the assets, summarized as follows:
 
Category
 
Term
Building
30 - 40 years
Site improvements
1 - 28 years
Recent Accounting Pronouncements
The Company considers the applicability and impact of all Accounting Standards Updates (“ASUs”). ASUs not listed below were determined to be either not applicable, are not expected to have a significant impact on our consolidated financial statements when adopted, or did not have a significant impact on our consolidated financial statements upon adoption.
 
Standard
Description
Effective Date
Effect on the financial statements or other significant matters
Standards that are not yet adopted
      
ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments
This ASU updates the existing incurred loss model to a current expected credit loss model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, debt securities, trade receivables, net investments in leases, off balance sheet credit exposures and any other financial assets not excluded from the scope. There are also changes to the accounting for available for sale debt securities.
 January 1, 2020 (early adoption permitted)
The Company is assessing the impact to the consolidated financial statements.
Standard
Description
Effective Date
Effect on the financial statements or other significant matters
Standards that were adopted
      
ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity
This update provides a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis.
 January 1, 2016 (early adoption permitted)
The Company early adopted this ASU in the first quarter of 2015 and applied the guidance to commercial mortgage backed securitization transactions. See "Variable Interest Entity" footnote for further disclosure.
       
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ACQUISITION OF HATTERAS (Tables)
 9 Months Ended
Sep. 30, 2016
Business Combinations [Abstract]  
Aggregate Consideration and Preliminary Fair Value of Assets Acquired and Liabilities Assumed
The following table summarizes the aggregate consideration and preliminary fair value of the assets acquired and liabilities assumed recognized at the acquisition date, which is subject to change if new information becomes available:

 
Purchase Price Allocation (dollars in thousands)
      
       
Consideration transferred:
      
Cash
  
$
521,082
  
Common Equity
    
997,707
  
         
Preferred Shares:
        
Exchange of Hatteras preferred stock for Annaly preferred stock
    
278,252
  
Preferred stock fair value adjustment
    
9,248
  
Preferred Shares
    
287,500
  
         
Total Consideration
  
$
1,806,289
  
         
Net Assets:
        
Cash
  
$
562,780
  
Agency mortgage-backed securities, at fair value
    
10,863,070
  
Credit risk transfer securities, at fair value
    
116,770
  
Residential mortgage loans
    
360,447
  
Mortgage servicing rights
    
355,820
  
Other derivatives, at fair value
    
8,677
  
Principal receivable
    
438,005
  
Accrued interest and dividend receivable
    
83,814
  
Other assets
    
57,250
  
Total Assets Acquired
  
$
12,846,633
  
         
Repurchase agreements
  
$
10,422,757
  
Other secured financing
    
35,769
  
Securitized debt of consolidated VIEs
    
54,135
  
Other derivatives, at fair value
    
349,922
  
Dividends payable
    
670
  
Payable for investments purchased
    
2,643
  
Accrued interest payable
    
4,833
  
Accounts payable and other liabilities
    
97,039
  
Total Liabilities Assumed
    
10,967,768
  
Net Assets Acquired
  
$
1,878,865
  
         
Bargain Purchase Gain
  
$
72,576
  
Summary of Consolidated Pro Forma Information
These pro forma results have been prepared for comparative purposes only and do not purport to be indicative of what operating results would have been had the Hatteras Acquisition occurred on January 1, 2015 and may not be indicative of future operating results:
 
   
For the Quarters Ended
    
For the Nine Months Ended
  
   
September 30, 2016
    
September 30, 2015
    
September 30, 2015
    
September 30, 2015
  
   
(dollars in thousands, except per share data)
    
(dollars in thousands, except per share data)
  
Net interest income
  
$
395,396
    
$
397,602
    
$
1,027,202
    
$
1,434,947
  
Net income (loss)
  
$
708,191
    
$
(710,720
)
  
$
(520,830
)
  
$
(272,007
)
Basic earnings per common share
  
$
0.67
    
$
(0.70
)
  
$
(0.58
)
  
$
(0.33
)
Diluted earnings per common share
  
$
0.67
    
$
(0.70
)
  
$
(0.58
)
  
$
(0.33
)
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RESIDENTIAL INVESTMENT SECURITIES (Tables)
 9 Months Ended
Sep. 30, 2016
Text Block [Abstract]  
Schedule of Available-for-sale Securities Reconciliation
The following tables present the Company’s Residential Investment Securities portfolio carried at fair value as of September 30, 2016 and December 31, 2015:
 
   
September 30, 2016
   
Principal / Notional
    
Remaining Premium
    
Remaining Discount
    
Amortized Cost
    
Unrealized Gains(1)
    
Unrealized Losses(1)
    
Estimated Fair Value
  
Agency
  
(dollars in thousands)
Fixed-rate pass-through
  
$
55,713,247
    
$
3,174,800
    
$
(1,828
)
  
$
58,886,219
    
$
1,102,609
    
$
(46,259
)
  
$
59,942,569
  
Adjustable-rate pass-through
    
11,760,633
      
409,677
      
(4,399
)
    
12,165,911
      
77,056
      
(14,340
)
    
12,228,627
  
Interest-only
    
8,562,837
      
1,498,193
      
-
      
1,498,193
      
13,145
      
(206,429
)
    
1,304,909
  
Total Agency investments
  
$
76,036,717
    
$
5,082,670
    
$
(6,227
)
  
$
72,550,323
    
$
1,192,810
    
$
(267,028
)
  
$
73,476,105
  
                                                         
Residential Credit
                                                        
CRT
  
$
641,531
    
$
7,333
    
$
(11,742
)
  
$
637,122
    
$
32,188
    
$
(15
)
  
$
669,295
  
Legacy(2)
    
1,075,956
      
1,634
      
(169,677
)
    
907,913
      
26,767
      
(513
)
    
934,167
  
NPL/RPL
    
347,105
      
434
      
(877
)
    
346,662
      
2,037
      
(264
)
    
348,435
  
New issue
    
161,275
      
946
      
(359
)
    
161,862
      
4,484
      
(16
)
    
166,330
  
New issue interest-only
    
935,395
      
16,615
      
-
      
16,615
      
-
      
(5,286
)
    
11,329
  
Total residential credit investments
  
$
3,161,262
    
$
26,962
    
$
(182,655
)
  
$
2,070,174
    
$
65,476
    
$
(6,094
)
  
$
2,129,556
  
                                                         
Total Residential Investment Securities
  
$
79,197,979
    
$
5,109,632
    
$
(188,882
)
  
$
74,620,497
    
$
1,258,286
    
$
(273,122
)
  
$
75,605,661
  
                                                         
                                                         
   
December 31, 2015
   
Principal / Notional
    
Remaining Premium
    
Remaining Discount
    
Amortized Cost
    
Unrealized Gains(1)
    
Unrealized Losses(1)
    
Estimated Fair Value
  
Agency
  
(dollars in thousands)
Fixed-rate pass-through
  
$
57,339,705
    
$
3,270,521
    
$
(2,832
)
  
$
60,607,394
    
$
400,350
    
$
(824,862
)
  
$
60,182,882
  
Adjustable-rate pass-through
    
2,894,192
      
61,781
      
(6,427
)
    
2,949,546
      
70,849
      
(10,317
)
    
3,010,078
  
CMO
    
964,095
      
27,269
      
(477
)
    
990,887
      
9,137
      
(12,945
)
    
987,079
  
Debentures
    
158,802
      
-
      
(648
)
    
158,154
      
-
      
(6,116
)
    
152,038
  
Interest-only
    
9,499,332
      
1,634,312
      
-
      
1,634,312
      
18,699
      
(114,826
)
    
1,538,185
  
Total Agency investments
  
$
70,856,126
    
$
4,993,883
    
$
(10,384
)
  
$
66,340,293
    
$
499,035
    
$
(969,066
)
  
$
65,870,262
  
                                                         
Residential Credit
                                                        
CRT
  
$
476,084
    
$
2,225
    
$
(12,840
)
  
$
465,469
    
$
250
    
$
(9,209
)
  
$
456,510
  
Legacy(2)
    
378,527
      
773
      
(37,150
)
    
342,150
      
698
      
(1,140
)
    
341,708
  
NPL/RPL
    
354,945
      
19
      
(1,270
)
    
353,694
      
19
      
(1,172
)
    
352,541
  
New issue
    
197,695
      
566
      
-
      
198,261
      
-
      
(1,060
)
    
197,201
  
New issue interest-only
    
811,245
      
15,430
      
-
      
15,430
      
-
      
(158
)
    
15,272
  
Total residential credit securities
  
$
2,218,496
    
$
19,013
    
$
(51,260
)
  
$
1,375,004
    
$
967
    
$
(12,739
)
  
$
1,363,232
  
                                                         
Total Residential Investment Securities
  
$
73,074,622
    
$
5,012,896
    
$
(61,644
)
  
$
67,715,297
    
$
500,002
    
$
(981,805
)
  
$
67,233,494
  
 
(1) Unrealized gains and losses on Agency securities (other than interest-only securities), are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit investments and Agency interest-only investments are generally reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).
(2) Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009.
Types of Agency Mortgage Backed Securities
The following tables present the Company’s Agency mortgage-backed securities portfolio by issuing Agency concentration as of September 30, 2016 and December 31, 2015:
 
Investment Type
  
September 30, 2016
    
December 31, 2015
  
   
(dollars in thousands)
Fannie Mae
  
$
48,151,223
    
$
42,647,075
  
Freddie Mac
    
25,246,425
      
22,960,595
  
Ginnie Mae
    
78,457
      
110,554
  
Total
  
$
73,476,105
    
$
65,718,224
  
Schedule of Residential Investment Securities by Estimated Weighted Average Life Classification
The following table summarizes the Company’s available-for-sale Residential Investment Securities as of September 30, 2016 and December 31, 2015, according to their estimated weighted average life classifications:
 
 
   
September 30, 2016
    
December 31, 2015
  
Weighted Average Life
  
Estimated Fair Value
    
Amortized Cost
    
Estimated Fair Value
    
Amortized Cost
  
   
(dollars in thousands)
  
Less than one year
  
$
654,108
    
$
663,561
    
$
37,862
    
$
37,850
  
Greater than one year through five years
    
55,394,787
      
54,543,574
      
20,278,111
      
20,066,435
  
Greater than five years through ten years
    
19,480,416
      
19,337,485
      
46,473,701
      
47,174,319
  
Greater than ten years
    
76,350
      
75,877
      
443,820
      
436,693
  
Total
  
$
75,605,661
    
$
74,620,497
    
$
67,233,494
    
$
67,715,297
  
Schedule of Continuous Unrealized Loss Position
The following table presents the gross unrealized losses and estimated fair value of the Company’s Agency mortgage-backed securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2016 and December 31, 2015.
 
   
September 30, 2016
    
December 31, 2015
  
   
Estimated Fair Value(1)
    
Gross Unrealized Losses(1)
    
Number of Securities(1)
    
Estimated Fair Value(1)
    
Gross Unrealized Losses(1)
    
Number of Securities(1)
  
   
(dollars in thousands)
  
Less than 12 Months
  
$
8,204,957
    
$
(28,676
)
    
445
    
$
20,072,072
    
$
(164,259
)
    
463
  
12 Months or More
    
6,867,701
      
(31,923
)
    
54
      
21,705,764
      
(689,981
)
    
189
  
Total
  
$
15,072,658
    
$
(60,599
)
    
499
    
$
41,777,836
    
$
(854,240
)
    
652
  
 
(1) Excludes interest-only mortgage-backed securities.
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RESIDENTIAL MORTGAGE LOANS (Tables)
 9 Months Ended
Sep. 30, 2016
Fair Value and Unpaid Principal for Residential Mortgage Loans
The table below presents the fair value and the unpaid principal balance for these loans as of September 30, 2016:
 
   
(dollars in thousands)
  
Fair value
  
$
310,148
  
Unpaid principal balance
  
$
301,957
  
Summary of Comprehensive Income (Loss)
The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the quarter and nine months ended September 30, 2016 for these investments:
 
   
(dollars in thousands)
  
Net gains (losses) on disposal of investments
  
$
(383
)
Net unrealized gains (losses) on investments measured at fair value through earnings
    
(493
 ) 
Net interest income
    
1,203
  
Total included in net income (loss)
  
$
327
  
Geographic Concentrations Based on Unpaid Principal Balances
The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs as of September 30, 2016 are as follows:
 
Securitized Loans at Fair Value Geographic Concentration of Credit Risk
  
                                             
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
  
Property Location
  
Principal Balance
    
% of Balance
    
Property Location
  
Principal Balance
    
% of Balance
    
Property Location
  
Principal Balance
    
% of Balance
  
(dollars in thousands)
  
Texas
  
$
724,035
      
18.4
%
  
Illinois
  
$
111,396
      
86.4
%
  
California
  
$
80,023
      
46.3
%
North Carolina
    
537,375
      
13.6
%
  
Oklahoma
    
17,500
      
13.6
%
  
Texas
    
19,114
      
11.1
%
Maryland
    
499,495
      
12.7
%
  
 
                  
Washington
    
10,734
      
6.3
%
Florida
    
456,516
      
11.6
%
  
 
                  
Illinois
    
10,799
      
6.2
%
Other (1)
    
1,723,146
      
43.7
%
  
 
                  
Florida
    
9,392
      
5.4
%
 
                  
 
                  
Other (1)
    
42,664
      
24.7
%
Total
  
$
3,940,567
      
100.0
%
  
Total
  
$
128,896
      
100.0
%
   Total   
$
172,726
      
100.0
%
                                                         
(1) No individual state greater than 5%             
Residential Mortgage Loans
The table below provides additional data on the Company’s residential mortgage loans, including loans held in a securitization trust, at September 30, 2016:
 
   
September 30, 2016
  
   
Portfolio Range
    
Portfolio Weighted Average
  
   
(dollars in thousands)
  
Unpaid principal balance
  
$
164 - $1,903
    
$
716
  
Interest rate
    
2.50% - 4.13
%
    
3.45
%
Maturity
  
3/5/2044 - 7/21/2046
    
6/10/2045
  
FICO score at loan origination
    
700 - 815
      
765
  
Loan-to-value ratio at loan origination
    
23.73% - 80.27
%
    
70.56
%
Residential Mortgage Loans  
Geographic Concentrations Based on Unpaid Principal Balances
The following table provides the geographic concentrations based on the unpaid principal balances as of September 30, 2016 for the residential mortgage loans, including loans held in a securitization trust:
 
Geographic Concentrations of Residential Mortgage Loans
Property Location
% of Balance
California
48.5%
Texas
11.0%
Illinois
5.5%
Florida
5.3%
All other (none individually greater than 5%)
29.7%
Total
100.0%
XML 49 R37.htm IDEA: XBRL DOCUMENT v3.5.0.2
MORTGAGE SERVICING RIGHTS (Tables)
 9 Months Ended
Sep. 30, 2016
Transfers and Servicing [Abstract]  
Presentation of Activity Related to MSR
The following table presents activity related to MSRs for the quarter and nine months ended September 30, 2016:
 
   
September 30, 2016
  
   
(dollars in thousands)
  
Fair value, beginning of period
  
$
-
  
Obtained through Hatteras Acquisition
    
355,820
  
Purchases
    
131,729
  
Change in fair value due to:
        
Changes in valuation inputs or assumptions (1)
    
26,254
  
Other changes, including realization of expected cash flows
    
(21,634
)
Fair value, end of period
  
$
492,169
  
         
(1) Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.
  
XML 50 R38.htm IDEA: XBRL DOCUMENT v3.5.0.2
COMMERCIAL REAL ESTATE INVESTMENTS (Tables)
 9 Months Ended
Sep. 30, 2016
Text Block [Abstract]  
Commercial Real Estate Investments Held for Investment
The following tables present commercial real estate investments held for investment at September 30, 2016 and December 31, 2015.
 
CRE Debt and Preferred Equity Investments
 
   
September 30, 2016
    
December 31, 2015
  
   
Outstanding Principal
    
Carrying
Value(1)
    
Percentage of Loan Portfolio(2)
    
Outstanding Principal
    
Carrying
Value(1)
    
Percentage of Loan Portfolio(2)
  
   
(dollars in thousands)
                          
Senior mortgages
  
$
468,258
    
$
466,169
      
43.6
%
  
$
387,314
    
$
385,838
      
28.6
%
Senior securitized mortgages(3)
    
128,896
      
128,896
      
12.0
%
    
263,072
      
262,703
      
19.4
%
Mezzanine loans
    
468,864
      
466,170
      
43.6
%
    
582,592
      
578,503
      
43.0
%
Preferred equity
    
9,000
      
8,962
      
0.8
%
    
122,444
      
121,773
      
9.0
%
Total (4)
  
$
1,075,018
    
$
1,070,197
      
100.0
%
  
$
1,355,422
    
$
1,348,817
      
100.0
%
                                                 
(1) Carrying value includes unamortized origination fees of $4.9 million and $6.9 million as of September 30, 2016 and December 31, 2015, respectively.
  
(2) Based on outstanding principal.
                                          
(3) Assets of consolidated VIEs.
                                                
(4) Excludes Loans held for sale, net.
                                          
 
   
September 30, 2016
  
   
Senior Mortgages
    
Senior Securitized Mortgages(1)
    
Mezzanine Loans
    
Preferred Equity
    
Total
  
   
(dollars in thousands)
  
Beginning balance
  
$
385,838
    
$
262,703
    
$
578,503
    
$
121,773
    
$
1,348,817
  
Originations & advances (principal)
    
159,173
      
-
      
46,858
      
-
      
206,031
  
Principal payments
    
(78,229
)
    
(134,176
)
    
(160,585
)
    
(113,444
)
    
(486,434
)
Amortization & accretion of (premium) discounts
    
(102
)
    
-
      
(192
)
    
-
      
(294
)
Net (increase) decrease in origination fees
    
(1,566
)
    
-
      
(282
)
    
-
      
(1,848
)
Amortization of net origination fees
    
1,055
      
369
      
1,868
      
633
      
3,925
  
Net carrying value (2)
  
$
466,169
    
$
128,896
    
$
466,170
    
$
8,962
    
$
1,070,197
  
                                         
(1) Assets of consolidated VIE.
                                        
(2) Excludes Loans held for sale, net.
                                        
                                         
                                         
                                         
   
December 31, 2015
  
   
Senior Mortgages
    
Senior Securitized Mortgages(1)
    
Mezzanine Loans
    
Preferred Equity
    
Total
  
   
(dollars in thousands)
  
Beginning balance
  
$
383,895
    
$
398,634
    
$
522,731
    
$
212,905
    
$
1,518,165
  
Originations & advances (principal)
    
293,925
      
-
      
195,312
      
-
      
489,237
  
Principal payments
    
(243,270
)
    
(136,469
)
    
(153,693
)
    
(92,210
)
    
(625,642
)
Sales (principal)
    
(46,945
)
    
-
      
-
      
-
      
(46,945
)
Amortization & accretion of (premium) discounts
    
(142
)
    
-
      
(232
)
    
517
      
143
  
Net (increase) decrease in origination fees
    
(3,702
)
    
(279
)
    
(4,806
)
    
-
      
(8,787
)
Amortization of net origination fees
    
2,077
      
817
      
691
      
561
      
4,146
  
Transfers
    
-
      
-
      
18,500
      
-
      
18,500
  
Net carrying value (2)
  
$
385,838
    
$
262,703
    
$
578,503
    
$
121,773
    
$
1,348,817
  
                                         
(1) Assets of consolidated VIE.
                                        
(2) Excludes Loans held for sale, net.
                                        
Internal Loan and Preferred Equity Ratings
Internal CRE Debt and Preferred Equity Investment Ratings

   
September 30, 2016
  
         
Percentage of CRE Debt and Preferred Equity Portfolio
    
Internal Ratings 
  
Investment Type
  
Outstanding Principal (1)
    
Performing
    
Performing - Closely Monitored
    
Performing - Special Mention
    
Substandard
    
Doubtful
    
Loss
    
Total
  
   
(dollars in thousands)
                    
Senior mortgages
  
$
468,258
      
43.6
%
  
$
92,290
    
$
243,528
    
$
132,440
    
$
-
    
$
-
    
$
-
    
$
468,258
  
Senior securitized mortgages(2)
    
128,896
      
12.0
%
    
-
      
17,500
      
111,396
      
-
      
-
      
-
      
128,896
  
Mezzanine loans
    
468,864
      
43.6
%
    
268,190
      
164,357
      
36,317
      
-
      
-
      
-
      
468,864
  
Preferred equity
    
9,000
      
0.8
%
    
-
      
-
      
9,000
      
-
      
-
      
-
      
9,000
  
   
$
1,075,018
      
100.0
%
  
$
360,480
    
$
425,385
    
$
289,153
    
$
-
    
$
-
    
$
-
    
$
1,075,018
  
                                                                         
  (1) Excludes Loans held for sale, net.                                  
  (2) Assets of consolidated VIE.
                                    
 
                                                                        
   
December 31, 2015
  
           
Percentage of CRE Debt and Preferred Equity Portfolio
    
Internal Ratings 
  
Investment Type
  
Outstanding Principal (1)
    
Performing
    
Performing - Closely Monitored
    
Performing - Special Mention
    
Substandard
    
Doubtful
    
Loss
    
Total
  
   
(dollars in thousands)
                          
Senior mortgages
  
$
387,314
      
28.6
%
  
$
71,000
    
$
283,148
    
$
33,166
    
$
-
    
$
-
    
$
-
    
$
387,314
  
Senior securitized mortgages(2)
    
263,072
      
19.4
%
    
106,770
      
15,500
      
140,802
      
-
      
-
      
-
      
263,072
  
Mezzanine loans
    
582,592
      
43.0
%
    
342,493
      
219,969
      
20,130
      
-
      
-
      
-
      
582,592
  
Preferred equity
    
122,444
      
9.0
%
    
-
      
81,944
      
40,500
      
-
      
-
      
-
      
122,444
  
   
$
1,355,422
      
100.0
%
  
$
520,263
    
$
600,561
    
$
234,598
    
$
-
    
$
-
    
$
-
    
$
1,355,422
  
                                                                         
  (1) Excludes Loans held for sale, net.                                  
  (2) Assets of consolidated VIE.
Summary of Acquisitions of Real Estate Held for Investment
 
The following table summarizes real estate held for investment acquired in 2015:
Date of Acquisition
Type
Location
  
Original Purchase Price
    
Remaining Lease
Term (Years) (1)
  
(dollars in thousands) 
  
 
 
 
            
July 2015
Single Tenant Retail
Ohio
  
$
11,000
      
4.1
  
August 2015
Multi Tenant Retail
Florida
  
$
18,900
      
4.8
  
October 2015
Multifamily Property
Washington, DC
  
$
75,000
      
1.0
  
October 2015
Multi Tenant Retail
California
  
$
37,750
      
3.8
  
November 2015
Multi Tenant Retail
Texas
  
$
131,950
      
4.4
  

(1) Does not include extension options.
Aggregate Allocation of Final Purchase Price
The following presents the aggregate final purchase price allocation of the Texas Portfolio:
 
 
 
  
Texas
  
 
  
(dollars in thousands)
  
Purchase Price Allocation:
      
Land
  
$
32,452
  
Buildings
    
82,552
  
Site improvements
    
5,446
  
Tenant Improvements
    
6,835
  
Real estate held for investment
    
127,285
  
 
        
Intangible assets (liabilities):
        
Leasehold intangible assets
    
14,598
  
Above market lease
    
274
  
Below market lease
    
(10,207
)
Total purchase price
  
$
131,950
  
Total Commercial Real Estate Held for Investments
   
September 30, 2016
    
December 31, 2015
  
   
(dollars in thousands)
  
Real estate held for investment, at amortized cost
            
Land
  
$
117,023
    
$
113,494
  
Buildings and improvements
    
355,899
      
373,603
  
Subtotal
    
472,922
      
487,097
  
Less: accumulated depreciation
    
(32,239
)
    
(16,886
)
Total real estate held for investment, at amortized cost, net
    
440,683
      
470,211
  
Equity in unconsolidated joint ventures
    
59,344
      
65,735
  
Investments in commercial real estate, net
  
$
500,027
    
$
535,946
  
Minimum Future Rentals on Non-cancelable Leases
Rental Income
 
 
 
  
September 30, 2016
  
 
  
(dollars in thousands)
  
2016 (remaining)
  
$
8,189
  
2017
    
31,102
  
2018
    
27,504
  
2019
    
23,448
  
2020
    
18,877
  
Later years
    
56,266
  
 
  
$
165,386
  
Mortgage Loans Payable
Mortgage loans payable as of September 30, 2016 and December 31, 2015, were as follows:
 
September 30, 2016
Property
  
Mortgage Carrying Value
    
Mortgage Principal
    
Interest Rate
  
Fixed/Floating Rate
Maturity Date
Priority
(dollars in thousands)
Joint Ventures
  
$
285,899
    
$
289,125
      
4.03% - 4.61
%
Fixed
2024 and 2025
First liens
Tennessee
    
12,253
      
12,350
      
4.01
%
Fixed
9/6/2019
First liens
Virginia
    
11,014
      
11,025
      
3.58
%
Fixed
6/6/2019
First liens
Arizona
    
16,080
      
16,063
      
3.50
%
Fixed
1/1/2017
First liens
Nevada
    
2,386
      
2,383
      
L+200
 
Floating (1)
3/29/2017
First liens
 
  
$
327,632
    
$
330,946
          
 
 
 
                        
 
 
(1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).
 
                        
 
 
 
                        
 
 
December 31, 2015
Property
  
Mortgage Carrying Value
    
Mortgage Principal
    
Interest Rate
  
Fixed/Floating Rate
Maturity Date
Priority
(dollars in thousands)
Joint Ventures
  
$
292,658
    
$
296,325
    
2.30% to 4.61%
  
Fixed
2016, 2024 and 2025
First liens
Tennessee
    
12,228
      
12,350
      
4.01
%
Fixed
9/6/2019
First liens
Virginia
    
11,012
      
11,025
      
3.58
%
Fixed
6/6/2019
First liens
Arizona
    
16,365
      
16,308
      
3.50
%
Fixed
1/1/2017
First liens
Nevada
    
2,444
      
2,436
      
L+200
 
Floating (1)
3/29/2017
First liens
 
  
$
334,707
    
$
338,444
          
 
 
 
                        
 
 
(1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).
Future Mortgage Loan Principal Payments
The following table details future mortgage loan principal payments as of September 30, 2016:
 
 
  
Mortgage Loan Principal Payments
  
 
  
(dollars in thousands)
  
2016 (remaining)
  
$
101
  
2017
    
18,345
  
2018
    
-
  
2019
    
23,375
  
2020
    
-
  
Later years
    
289,125
  
 
  
$
330,946
  
XML 51 R39.htm IDEA: XBRL DOCUMENT v3.5.0.2
CORPORATE DEBT (Tables)
 9 Months Ended
Sep. 30, 2016
Schedule of Industry and Interest Rate Characteristics
The industry and interest rate characteristics of the portfolio as of September 30, 2016 are as follows:
 
 
 
  
Industry Dispersion
  
 
  
Fixed Rate
    
Floating Rate
    
Total
  
 
  
(dollars in thousands)
  
 
                  
Airports, Flying Fields and Airport Terminal
  
$
-
    
$
47,184
    
$
47,184
  
Commercial Fishing
    
-
      
40,590
      
40,590
  
Computer Programming & Data Processing
    
-
      
63,253
      
63,253
  
Drugs
    
-
      
34,247
      
34,247
  
Home Health Care Services
    
-
      
39,339
      
39,339
  
Insurance Agents, Brokers & Services
    
4,380
      
44,344
      
48,724
  
Management & Public Relations Services
    
-
      
39,116
      
39,116
  
Medical & Dental Laboratories
    
-
      
17,324
      
17,324
  
Miscellaneous Business Services
    
84,448
      
63,677
      
148,125
  
Miscellaneous Health & Allied Services
    
-
      
38,886
      
38,886
  
Miscellaneous Nonmetallic Minerals
    
-
      
24,682
      
24,682
  
Miscellaneous Plastic Products
    
-
      
27,075
      
27,075
  
Motor Vehicles, Parts & Supplies
    
-
      
12,347
      
12,347
  
Offices & Clinics of Doctors of Medicine
    
-
      
83,582
      
83,582
  
Research, Development & Testing Services
    
-
      
17,739
      
17,739
  
Schools & Educational Services
    
-
      
21,042
      
21,042
  
Surgical, Medical & Dental Instruments
    
-
      
13,576
      
13,576
  
Total
  
$
88,828
    
$
628,003
    
$
716,831
  
Credit Risk [Member]  
Aggregate positions by Respective Place in the Capital Structure of the Borrowers
The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers as of September 30, 2016.
 
   
September 30, 2016
  
   
(dollars in thousands)
  
       
First lien loans
  
$
466,099
  
Second lien loans
    
161,904
  
Second lien notes
    
84,448
  
Subordinated notes
    
4,380
  
Total
  
$
716,831
  
XML 52 R40.htm IDEA: XBRL DOCUMENT v3.5.0.2
VARIABLE INTEREST ENTITIES (Tables)
 9 Months Ended
Sep. 30, 2016
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition
The statement of financial condition of the Company’s VIEs that is reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2016 and December 31, 2015 are as follows:
 
 
  
September 30, 2016
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
    
MSR Silos
  
 
  
(dollars in thousands)
  
Assets
                        
Cash
  
$
-
    
$
185
    
$
-
    
$
31,163
  
Senior securitized commercial mortgages carried at fair value
    
3,953,150
      
-
      
-
      
-
  
Commercial real estate and debt and preferred equity, held for investment
    
-
      
128,896
      
-
      
-
  
Residential mortgages loans carried at fair value
    
-
      
-
      
176,748
      
9,631
  
Mortgage servicing rights
    
-
      
-
      
-
      
492,169
  
Accrued interest receivable
    
8,519
      
49
      
356
      
4
  
Other assets
    
-
      
8
      
3,149
      
29,586
  
Total assets
  
$
3,961,669
    
$
129,139
    
$
180,253
    
$
562,553
  
 
                                
Liabilities
                                
Securitized debt (non-recourse) at fair value
  
$
3,661,884
    
$
-
    
$
50,937
    
$
-
  
Other secured financing
    
-
      
-
      
-
      
4,186
  
Other derivatives, at fair value
    
-
      
-
      
-
      
9
  
Accrued interest payable
    
4,288
      
200
      
127
      
-
  
Other liabilities
    
-
      
-
      
44
      
25,363
  
Total liabilities
  
$
3,666,172
    
$
200
    
$
51,108
    
$
29,558
  
 
 
  
December 31, 2015
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
  
 
  
(dollars in thousands)
  
Assets
            
Cash
  
$
-
    
$
49,025
  
Senior securitized commercial mortgages carried at fair value
    
2,554,023
      
-
  
Commercial real estate and debt and preferred equity, held for investment
    
-
      
262,703
  
Accrued interest receivable
    
4,994
      
431
  
Other Assets
    
-
      
169
  
Total assets
  
$
2,559,017
    
$
312,328
  
                 
Liabilities
                
Securitized debt (non-recourse) at fair value
  
$
2,366,878
    
$
-
  
Securitized debt (non-recourse) at amortized cost
    
-
      
173,833
  
Accrued interest payable
    
4,183
      
191
  
Other liabilities
    
-
      
290
  
Total liabilities
  
$
2,371,061
    
$
174,314
  
 
Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss)
The statement of comprehensive income (loss) of the Company’s VIEs that is reflected in the Company’s Consolidated Statements of Comprehensive Income
(Loss) for the quarter and nine months ended September 30, 2016 are as follows:
 
 
  
For the Quarter Ended
  
 
  
September 30, 2016
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
    
MSR Silos
  
 
  
(dollars in thousands)
  
Net interest income:
                        
Interest income
  
$
25,148
    
$
1,691
    
$
932
    
$
57
  
Interest expense
    
11,375
      
105
      
404
      
22
  
Net interest income
    
13,773
      
1,586
      
528
      
35
  
 
                                
Realized gain (loss) on disposal of investments
    
-
      
-
      
(329
)
    
184
  
Unrealized gain (loss) on investments at fair value (1)
    
(3,201
)
    
-
      
(109
)
    
4,218
  
Other income (loss)
    
(6,773
)
    
-
      
(79
)
    
25,716
  
General and administration expenses
    
-
      
-
      
17
      
1,555
  
Net income (loss)
  
$
3,799
    
$
1,586
    
$
(6
)
  
$
28,598
  

 
 
  
For the Nine Months Ended
  
 
  
September 30, 2016
  
 
  
FREMF Trusts
    
NLY Commercial Mortgage Trust
    
Residential Mortgage Loan Trust
    
MSR Silos
  
 
  
(dollars in thousands)
  
Net interest income:
                        
Interest income
  
$
69,972
    
$
8,543
    
$
932
    
$
57
  
Interest expense
    
29,598
      
2,302
      
404
      
22
  
Net interest income
    
40,374
      
6,241
      
528
      
35
  
 
                                
Realized gain (loss) on disposal of investments
    
-
      
-
      
(329
)
    
184
  
Unrealized gain (loss) on investments at fair value (1)
    
3,784
      
-
      
(109
)
    
4,218
  
Other income (loss)
    
(18,861
)
    
-
      
(79
)
    
25,716
  
General and administration expenses
    
2
      
(2)
      
17
      
1,555
  
Net income (loss)
  
$
25,295
    
$
6,243
    
$
(6
)
  
$
28,598
  
 
XML 53 R41.htm IDEA: XBRL DOCUMENT v3.5.0.2
FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Sep. 30, 2016
Fair Value Disclosures [Abstract]  
Schedule of Fair Values, Assets and Liabilities Measured on Recurring Basis
The following table presents the estimated fair values of investments measured at fair value on a recurring basis. There were no transfers between levels of the fair value hierarchy during the periods presented.
 
   
Level 1
    
Level 2
    
Level 3
    
Total
  
September 30, 2016
  
(dollars in thousands)
  
Assets:
                        
Agency mortgage-backed securities
  
$
-
      
73,476,105
    
$
-
    
$
73,476,105
  
Credit risk transfer securities
    
-
      
669,295
      
-
      
669,295
  
Non-Agency mortgage-backed securities
    
-
      
1,460,261
      
-
      
1,460,261
  
Residential mortgage loans
    
-
      
310,148
      
-
      
310,148
  
Mortgage servicing rights
    
-
      
-
      
492,169
      
492,169
  
Commercial real estate debt investments
    
-
      
4,319,077
      
-
      
4,319,077
  
Interest rate swaps
    
-
      
113,253
      
-
      
113,253
  
Other derivatives
    
26,985
      
60,936
      
-
      
87,921
  
Total assets
  
$
26,985
    
$
80,409,075
    
$
492,169
    
$
80,928,229
  
Liabilities:
                                
Securitized debt of consolidated VIEs
  
$
-
    
$
3,712,821
    
$
-
    
$
3,712,821
  
Interest rate swaps
    
-
      
2,919,492
      
-
      
2,919,492
  
Other derivatives
    
70,784
      
2,661
      
-
      
73,445
  
Total liabilities
  
$
70,784
    
$
6,634,974
    
$
-
    
$
6,705,758
  
 
                                
 
                                
   
Level 1
    
Level 2
    
Level 3
    
Total
  
December 31, 2015
  
(dollars in thousands)
  
Assets:
                                
Agency mortgage-backed securities
  
$
-
    
$
65,718,224
    
$
-
    
$
65,718,224
  
Agency debentures
    
-
      
152,038
      
-
      
152,038
  
Credit risk transfer securities
    
-
      
456,510
      
-
      
456,510
  
Non-Agency mortgage-backed securities
    
-
      
906,722
      
-
      
906,722
  
Commercial real estate debt investments
    
-
      
2,911,828
      
-
      
2,911,828
  
Interest rate swaps
    
-
      
19,642
      
-
      
19,642
  
Other derivatives
    
12,443
      
9,623
      
-
      
22,066
  
Total assets
  
$
12,443
    
$
70,174,587
    
$
-
    
$
70,187,030
  
Liabilities:
                                
Securitized debt of consolidated VIEs
  
$
-
    
$
2,366,878
    
$
-
    
$
2,366,878
  
Interest rate swaps
    
-
      
1,677,571
      
-
      
1,677,571
  
Other derivatives
    
32,778
      
17,185
      
-
      
49,963
  
Total liabilities
  
$
32,778
    
$
4,061,634
    
$
-
    
$
4,094,412
  
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs
The table below presents information about the significant unobservable inputs used for recurring fair value measurements for Level 3 MSRs. The table does not give effect to the Company’s risk management practices that might offset risks inherent in these Level 3 investments.
 
September 30, 2016
  
     
Range
  
Valuation Technique 
Unobservable Input(1)
  
(Weighted Average )
  
Discounted cash flow 
Discount rate
    
10.0% -15.0% (10.4
%)
 
Prepayment rate
    
6.3% - 43.2% (20.1
%)
 
Delinquency rate
    
0.0% - 8.0% (2.0
%)
 
Cost to service
  
 
$84 - $146 ($100)
 

(1) Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.
Schedule of Estimated Fair Value for All Financial Assets and Liabilities
The following table summarizes the estimated fair value for financial assets and liabilities as of September 30, 2016 and December 31, 2015.
 
 
         
September 30, 2016
    
December 31, 2015
  
   
Level in Fair Value Hierarchy
    
Carrying Value
    
Fair Value
    
Carrying Value
    
Fair Value
  
Financial assets:
        
(dollars in thousands)
  
Cash and cash equivalents
    
1
    
$
2,382,188
    
$
2,382,188
    
$
1,769,258
    
$
1,769,258
  
Agency mortgage-backed securities
    
2
      
73,476,105
      
73,476,105
      
65,718,224
      
65,718,224
  
Agency debentures
    
2
      
-
      
-
      
152,038
      
152,038
  
Credit risk transfer securities
    
2
      
669,295
      
669,295
      
456,510
      
456,510
  
Non-Agency mortgage-backed securities
    
2
      
1,460,261
      
1,460,261
      
906,722
      
906,722
  
Residential mortgage loans
    
2
      
310,148
      
310,148
      
-
      
-
  
Mortgage servicing rights
    
3
      
492,169
      
492,169
      
-
      
-
  
Commercial real estate debt investments
    
2
      
4,319,077
      
4,319,077
      
2,911,828
      
2,911,828
  
Commercial real estate debt and preferred equity, held for investment
    
3
      
1,070,197
      
1,069,089
      
1,348,817
      
1,350,968
  
Commercial loans held for sale, net
    
3
      
144,275
      
144,275
      
278,600
      
278,600
  
Corporate debt (1)
    
2
      
716,831
      
714,672
      
488,508
      
470,894
  
Interest rate swaps
    
2
      
113,253
      
113,253
      
19,642
      
19,642
  
Other derivatives
    
1,2
      
87,921
      
87,921
      
22,066
      
22,066
  
 
                                        
Financial liabilities:
                                        
Repurchase agreements
    
1,2
    
$
61,784,121
    
$
61,857,552
    
$
56,230,860
    
$
56,361,623
  
Other secured financing
    
1,2
      
3,804,742
      
3,806,477
      
1,845,048
      
1,846,095
  
Securitized debt of consolidated VIEs
    
2
      
3,712,821
      
3,712,821
      
2,540,711
      
2,541,193
  
Participation sold
    
2
      
12,976
      
12,908
      
13,286
      
13,138
  
Mortgage payable
    
3
      
327,632
      
346,718
      
334,707
      
339,849
  
Interest rate swaps
    
2
      
2,919,492
      
2,919,492
      
1,677,571
      
1,677,571
  
Other derivatives
    
1,2
      
73,445
      
73,445
      
49,963
      
49,963
  

(1) Includes a held-to-maturity debt security carried at amortized cost of $84.4 million and $74.7 million as of September 30, 2016 and December 31, 2015, respectively. The held-to-maturity debt security had a fair value of $84.6 million and $61.3 million as of September 30, 2016 and December 31, 2015, respectively.
XML 54 R42.htm IDEA: XBRL DOCUMENT v3.5.0.2
SECURED FINANCING (Tables)
 9 Months Ended
Sep. 30, 2016
Debt Disclosure [Abstract]  
Schedule of Repurchase Agreements Remaining Maturity ,Collateral Types and Weighted Average Rates
At September 30, 2016 and December 31, 2015, the repurchase agreements had the following remaining maturities, collateral types and weighted average rates:
 
   
September 30, 2016
  
   
Agency Mortgage-backed Securities
    
CRTs
    
Non-Agency Mortgage-backed Securities
    
Commercial Loans
    
Total Repurchase Agreements
    
Weighted Average Rate
  
   
(dollars in thousands)
  
1 day
  
$
-
    
$
-
    
$
-
    
$
-
    
$
-
      
-
 
2 to 29 days
    
25,761,193
      
250,347
      
496,798
      
-
      
26,508,338
      
0.99
%
30 to 59 days
    
4,937,568
      
71,650
      
191,132
      
-
      
5,200,350
      
0.86
%
60 to 89 days
    
6,057,659
      
-
      
115,939
      
-
      
6,173,598
      
0.85
%
90 to 119 days
    
5,309,103
      
-
      
-
      
-
      
5,309,103
      
0.79
%
Over 120 days(1)
    
18,297,615
      
-
      
-
      
295,117
      
18,592,732
      
1.39
%
Total
  
$
60,363,138
    
$
321,997
    
$
803,869
    
$
295,117
    
$
61,784,121
      
1.07
%

   
December 31, 2015
  
 
  
Agency Mortgage-backed Securities
    
CRTs
    
Non-Agency Mortgage-backed Securities
    
Commercial Loans
    
Total Repurchase Agreements
    
Weighted Average Rate
  
 
  
(dollars in thousands)
  
1 day
  
$
-
    
$
-
    
$
-
    
$
-
    
$
-
      
-
 
2 to 29 days
    
20,123,464
      
83,664
      
260,359
      
-
      
20,467,487
      
0.69
%
30 to 59 days
    
7,898,646
      
59,189
      
65,374
      
-
      
8,023,209
      
0.74
%
60 to 89 days
    
4,046,593
      
-
      
78,833
      
-
      
4,125,426
      
0.74
%
90 to 119 days
    
4,846,580
      
-
      
-
      
-
      
4,846,580
      
0.60
%
Over 120 days(1)
    
18,557,715
      
-
      
31,015
      
179,428
      
18,768,158
      
1.33
%
Total
  
$
55,472,998
    
$
142,853
    
$
435,581
    
$
179,428
    
$
56,230,860
      
0.90
%
 
Summary of Gross Amounts, Amounts Offset and net Amounts of Repurchase Agreement and Reverse Repurchase Agreement
The following table summarizes the gross amounts of reverse repurchase agreements and repurchase agreements, amounts offset in accordance with netting arrangements and net amounts of repurchase agreements and reverse repurchase agreements as presented in the Consolidated Statements of Financial Condition as of September 30, 2016 and December 31, 2015. Refer to “Derivative Instruments” Note for information related to the effect of netting arrangements on the Company’s derivative instruments.
   
September 30, 2016
    
December 31, 2015
  
   
Reverse Repurchase Agreements
    
Repurchase Agreements
    
Reverse Repurchase Agreements
    
Repurchase Agreements
  
   
(dollars in thousands)
  
Gross Amounts
  
$
500,000
    
$
62,284,121
    
$
-
    
$
56,230,860
  
Amounts Offset
    
(500,000
)
    
(500,000
)
    
-
      
-
  
Netted Amounts
  
$
-
    
$
61,784,121
    
$
-
    
$
56,230,860
  
XML 55 R43.htm IDEA: XBRL DOCUMENT v3.5.0.2
DERIVATIVE INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2016
Summarizes Fair Value Information about Derivative Assets Liabilities
The table below summarizes fair value information about our derivative assets and liabilities as of September 30, 2016 and December 31, 2015:
 
Derivatives Instruments
Balance Sheet Location
  
September 30, 2016
    
December 31, 2015
  
Assets:
    
(dollars in thousands)
  
Interest rate swaps
Interest rate swaps, at fair value
  
$
113,253
    
$
19,642
  
Interest rate swaptions
Other derivatives, at fair value
    
1,527
      
-
  
TBA derivatives
Other derivatives, at fair value
    
59,360
      
9,622
  
Futures contracts
Other derivatives, at fair value
    
26,986
      
12,444
  
Purchase commitments
Other derivatives, at fair value
    
48
      
-
  
     
$
201,174
    
$
41,708
  
                   
Liabilities:
                  
Interest rate swaps
Interest rate swaps, at fair value
  
$
2,919,492
    
$
1,677,571
  
Interest rate swaptions
Other derivatives, at fair value
    
2,105
      
-
  
TBA derivatives
Other derivatives, at fair value
    
547
      
17,185
  
Futures contracts
Other derivatives, at fair value
    
70,784
      
32,778
  
Purchase commitments
Other derivatives, at fair value
    
9
      
-
  
     
$
2,992,937
    
$
1,727,534
  
Offsetting of Derivative Assets and Liabilities
The following tables present information about derivative assets and liabilities that are subject to such provisions and can potentially be offset on our Consolidated Statements of Financial Condition as of September 30, 2016 and December 31, 2015, respectively.
 
 
September 30, 2016
        
Amounts Eligible for Offset
        
 
  
Gross Amounts
    
Financial Instruments
    
Cash Collateral
    
Net Amounts
  
Assets:
  
(dollars in thousands)
  
Interest rate swaps, at fair value
  
$
113,253
    
$
(113,253
)
  
$
-
    
$
-
  
Interest rate swaptions, at fair value
    
1,527
      
(1,527
)
    
-
      
-
  
TBA derivatives, at fair value
    
59,360
      
(406
)
    
-
      
58,954
  
Futures contracts, at fair value
    
26,986
      
(26,986
)
    
-
      
-
  
Purchase commitments
    
48
      
-
      
-
      
48
  
 
                                
Liabilities:
                                
Interest rate swaps, at fair value
  
$
2,919,492
    
$
(113,253
)
  
$
(1,657,612
)
  
$
1,148,627
  
Interest rate swaptions, at fair value
    
2,105
      
(1,527
)
    
-
      
578
  
TBA derivatives, at fair value
    
547
      
(406
)
    
-
      
141
  
Futures contracts, at fair value
    
70,784
      
(26,986
)
    
(43,798
)
    
-
  
Purchase commitments
    
9
      
-
      
-
      
9
  
 
                                
 
                                
December 31, 2015
          
Amounts Eligible for Offset
          
 
  
Gross Amounts
    
Financial Instruments
    
Cash Collateral
    
Net Amounts
  
Assets:
  
(dollars in thousands)
  
Interest rate swaps, at fair value
  
$
19,642
    
$
(18,040
)
  
$
-
    
$
1,602
  
TBA derivatives, at fair value
    
9,622
      
(7,367
)
    
-
      
2,255
  
Futures contracts, at fair value
    
12,443
      
(10,868
)
    
-
      
1,575
  
 
                                
Liabilities:
      
Interest rate swaps, at fair value
  
$
1,677,571
    
$
(18,040
)
  
$
(913,576
)
  
$
745,955
  
TBA derivatives, at fair value
    
17,185
      
(7,367
)
    
-
      
9,818
  
Futures contracts, at fair value
    
32,778
      
(10,868
)
    
(21,910
)
    
-
  
Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss
The effect of interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss) is as follows:
 
   
Location on Consolidated Statements of Comprehensive Income (Loss)
  
   
Realized Gains (Losses) on Interest Rate Swaps(1)
    
Realized Gains (Losses) on Termination of Interest Rate Swaps
    
Unrealized Gains (Losses) on Interest Rate Swaps
  
   
(dollars in thousands)
  
Quarters Ended:
                  
September 30, 2016
  
$
(124,572
)
  
$
1,337
    
$
256,462
  
September 30, 2015
  
$
(162,304
)
  
$
-
    
$
(822,585
)
Nine Months Ended:
                        
September 30, 2016
  
$
(402,809
)
  
$
(58,727
)
  
$
(1,148,478
)
September 30, 2015
  
$
(465,008
)
  
$
(226,462
)
  
$
(587,995
)

(1) Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss)
The effect of other derivative contracts on the Company’s Consolidated Statements of Comprehensive Income (Loss) is as follows:
 
Quarter Ended September 30, 2016
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
Net TBA derivatives (1)
  
$
174,086
    
$
(78,677
)
  
$
95,409
  
Net interest rate swaptions
    
4,180
      
93
      
4,273
  
Futures
    
(47,035
)
    
110,218
      
63,183
  
Purchase commitments
    
-
      
116
      
116
  
                   
$
162,981
  
                         
Quarter Ended September 30, 2015
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
                         
Net TBA derivatives (1)
  
$
168,292
    
$
81,560
    
$
249,852
  
Net interest rate swaptions
    
(11,525
)
    
11,519
      
(6
)
Futures
    
(36,468
)
    
(105,199
)
    
(141,667
)
 
                  
$
108,179
  
(1) Includes options on TBA contracts. 
 
Nine Months Ended September 30, 2016
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
Net TBA derivatives (1)
    
492,450
      
66,376
    
$
558,826
  
Net interest rate swaptions
    
4,180
      
93
      
4,273
  
Futures
    
(169,716
)
    
(23,465
)
    
(193,181
)
Purchase Commitments
    
-
      
116
      
116
  
                   
$
370,034
  
                         
Nine Months Ended September 30, 2015
  
Derivative Instruments
  
Realized Gain (Loss)
    
Unrealized Gain (Loss)
    
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets
  
(dollars in thousands)
  
Net TBA derivatives (1)
  
$
61,846
    
$
91,773
    
$
153,619
  
Net interest rate swaptions
    
(41,016
)
    
35,634
      
(5,382
)
Futures
    
(51,205
)
    
(109,974
)
    
(161,179
)
 
                  
$
(12,942
)
(1) Includes options on TBA contracts.
Interest Rate Swaps  
Summary of Certain Characteristics of Derivatives
The following table summarizes certain characteristics of the Company’s interest rate swaps at September 30, 2016 and December 31, 2015:
 
September 30, 2016
  
Maturity
  
Current Notional (1)
    
Weighted Average Pay Rate (2) (3)
    
Weighted Average Receive Rate (2)
    
Weighted Average Years to Maturity (2)
  
(dollars in thousands)
  
0 - 3 years
  
$
4,552,383
      
1.74
%
    
0.76
%
    
2.77
  
3 - 6 years
    
9,675,000
      
1.92
%
    
0.88
%
    
4.14
  
6 - 10 years
    
7,363,550
      
2.34
%
    
0.98
%
    
7.81
  
Greater than 10 years
    
3,634,400
      
3.70
%
    
0.67
%
    
18.62
  
Total / Weighted Average
  
$
25,225,333
      
2.25
%
    
0.88
%
    
6.89
  
                                 
                                 
December 31, 2015
  
Maturity
  
Current Notional (1)
    
Weighted Average Pay Rate (2) (3)
    
Weighted Average Receive Rate (2)
    
Weighted Average Years to Maturity (2)
  
(dollars in thousands)
  
0 - 3 years
  
$
3,240,436
      
1.85
%
    
0.36
%
    
1.80
  
3 - 6 years
    
11,675,000
      
1.82
%
    
0.55
%
    
4.25
  
6 - 10 years
    
11,635,250
      
2.44
%
    
0.57
%
    
7.92
  
Greater than 10 years
    
3,634,400
      
3.70
%
    
0.43
%
    
19.37
  
Total / Weighted Average
  
$
30,185,086
      
2.26
%
    
0.53
%
    
7.02
  

(1)
There were no forward starting swaps as of September 30, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015.
(2)
Excludes forward starting swaps.
(3)
There were no forward starting swaps as of September 30, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015.
Futures Derivatives  
Summary of Certain Characteristics of Derivatives
The following table summarizes certain characteristics of the Company’s futures derivatives as of September 30, 2016 and December 31, 2015:
 
   
September 30, 2016
  
   
Notional - Long Positions
    
Notional - Short Positions
    
Weighted Average Years to Maturity
  
   
(dollars in thousands)
        
2-year swap equivalent Eurodollar contracts
  
$
-
    
$
(14,991,375
)
    
2.00
  
U.S. Treasury futures - 5 year
    
-
      
(1,247,200
)
    
4.42
  
Total
  
$
-
    
$
(16,238,575
)
    
2.19
  
                         
                         
                         
   
December 31, 2015
  
   
Notional - Long Positions
    
Notional - Short Positions
    
Weighted Average Years to Maturity
  
   
(dollars in thousands)
          
2-year swap equivalent Eurodollar contracts
  
$
-
    
$
(7,000,000
)
    
2.00
  
U.S. Treasury futures - 5 year
    
-
      
(1,847,200
)
    
4.42
  
U.S. Treasury futures - 10 year and greater
    
-
      
(655,600
)
    
6.92
  
Total
  
$
-
    
$
(9,502,800
)
    
2.81
  
Interest Rate Swaptions  
Summary of Certain Characteristics of Derivatives
The following table presents swaptions outstanding as of September 30, 2016. There were no swaptions as of December 31, 2015.
 
September 30, 2016
  
Current Underlying Notional
    
Weighted Average Underlying Pay Rate
    
Weighted Average Underlying Receive Rate
    
Weighted Average Underlying Years to Maturity
    
Weighted Average Months to Expiration
  
(dollars in thousands)  
Long
  
$
950,000
     1.08%
 
  
3M LIBOR
      
2.24
      
2.77
  
Short
  
$
(200,000
)
  
3M LIBOR
     1.54%
 
    
10.25
      
2.77
  
TBA Derivatives  
Summary of Certain Characteristics of Derivatives
The following table summarizes certain characteristics of the Company’s TBA derivatives as of September 30, 2016 and December 31, 2015:
 
September 30, 2016
  
Purchase and sale contracts for derivative TBAs
  
Notional
    
Implied Cost Basis
    
Implied Market Value
    
Net Carrying Value
  
(dollars in thousands)
  
Purchase contracts
  
$
15,950,000
    
$
16,671,196
    
$
16,730,009
    
$
58,813
  
                                 
December 31, 2015
  
Purchase and sale contracts for derivative TBAs
  
Notional
    
Implied Cost Basis
    
Implied Market Value
    
Net Carrying Value
  
(dollars in thousands)
  
Purchase contracts
  
$
13,761,000
    
$
14,177,338
    
$
14,169,775
    
$
(7,563
)
XML 56 R44.htm IDEA: XBRL DOCUMENT v3.5.0.2
COMMON STOCK AND PREFERRED STOCK (Tables)
 9 Months Ended
Sep. 30, 2016
Equity [Abstract]  
Summary of Dividend Distribution Activity
The following table provides a summary of the Company’s dividend distribution activity for the periods presented:
 
 
 
  
For the Nine Months Ended:
  
 
  
September 30, 2016
    
September 30, 2015
  
 
  
(dollars in thousands, except per share data)
  
Distributions declared to common stockholders
  
$
857,223
    
$
852,989
  
Distributions declared per common share
  
$
0.90
    
$
0.90
  
Distributions paid to common stockholders after period end
  
$
269,111
    
$
284,348
  
Distributions paid per common share after period end
  
$
0.26
    
$
0.30
  
Date of distributions paid to common stockholders after period end
  
October 31, 2016
    
October 30, 2015
  
Dividends declared to Series A Preferred stockholders
  
$
10,944
    
$
10,944
  
Dividends declared per Series A Preferred share
  
$
1.477
    
$
1.477
  
Dividends declared to Series C Preferred stockholders
  
$
17,157
    
$
17,157
  
Dividends declared per Series C Preferred share
  
$
1.430
    
$
1.430
  
Dividends declared to Series D Preferred stockholders
  
$
25,875
    
$
25,875
  
Dividends declared per Series D Preferred share
  
$
1.406
    
$
1.406
  
Dividends declared to Series E Preferred stockholders
  
$
4,811
    
$
-
  
Dividends declared per Series E Preferred share
  
$
0.477
    
$
-
  
XML 57 R45.htm IDEA: XBRL DOCUMENT v3.5.0.2
INTEREST INCOME AND INTEREST EXPENSE (Tables)
 9 Months Ended
Sep. 30, 2016
Banking and Thrift, Interest [Abstract]  
Components of Company's Interest Income and Interest Expense
The table below presents the components of the Company’s interest income and interest expense for the quarters and nine months ended September 30, 2016 and 2015.
 
 
  
For the Quarters Ended September 30,
    
For the Nine Months Ended September 30,
  
 
  
2016
    
2015
    
2016
    
2015
  
Interest income:
  
(dollars in thousands)
  
Residential Investment Securities
  
$
493,226
    
$
399,702
    
$
1,203,793
    
$
1,448,434
  
Residential mortgage loans
    
1,608
      
-
      
1,608
      
-
  
Commercial investment portfolio(1)
    
61,240
      
50,204
      
191,005
      
142,969
  
Reverse repurchase agreements
    
2,594
      
820
      
7,523
      
2,714
  
Total interest income
    
558,668
      
450,726
      
1,403,929
      
1,594,117
  
Interest expense:
                                
Repurchase agreements
    
154,083
      
103,823
      
423,150
      
307,796
  
Convertible Senior Notes
    
-
      
-
      
-
      
29,740
  
Securitized debt of consolidated VIEs
    
12,046
      
6,111
      
32,305
      
14,468
  
Participation sold
    
157
      
161
      
472
      
479
  
Other
    
7,868
      
202
      
18,429
      
306
  
Total interest expense
    
174,154
      
110,297
      
474,356
      
352,789
  
Net interest income
  
$
384,514
    
$
340,429
    
$
929,573
    
$
1,241,328
  
 
                                
(1) Includes commercial real estate debt, preferred equity and corporate debt.
XML 58 R46.htm IDEA: XBRL DOCUMENT v3.5.0.2
NET INCOME (LOSS) PER COMMON SHARE (Tables)
 9 Months Ended
Sep. 30, 2016
Earnings Per Share [Abstract]  
Schedule of Net Income (Loss) Per Share Reconciliation
The following table presents a reconciliation of net income (loss) and shares used in calculating basic and diluted net income (loss) per share for the quarters and nine months ended September 30, 2016 and 2015.
 
   
For the Quarters Ended
    
For the Nine Months Ended
  
   
September 30, 2016
    
September 30, 2015
    
September 30, 2016
    
September 30, 2015
  
   
(dollars in thousands, except per share data)
  
Net income (loss)
  
$
730,880
    
$
(627,491
)
  
$
(415,697
)
  
$
(203,919
)
Less: Net income (loss) attributable to noncontrolling interest
    
(336
)
    
(197
)
    
(883
)
    
(436
)
Net income (loss) attributable to Annaly
    
731,216
      
(627,294
)
    
(414,814
)
    
(203,483
)
Less: Preferred stock dividends
    
22,803
      
17,992
      
58,787
      
53,976
  
Net income (loss) available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary
    
708,413
      
(645,286
)
    
(473,601
)
    
(257,459
)
Add: Interest on Convertible Senior Notes, if dilutive
    
-
      
-
      
-
      
-
  
Net income (loss) available to common stockholders, as adjusted
  
$
708,413
    
$
(645,286
)
  
$
(473,601
)
  
$
(257,459
)
Weighted average shares of common stock outstanding-basic
    
1,007,607,893
      
947,795,500
      
953,301,855
      
947,732,735
  
Add: Effect of stock awards and Convertible Senior Notes, if dilutive
    
355,513
      
-
      
-
      
-
  
Weighted average shares of common stock outstanding-diluted
    
1,007,963,406
      
947,795,500
      
953,301,855
      
947,732,735
  
Net income (loss) per share available (related) to common share:
                                
Basic
  
$
0.70
    
$
(0.68
)
  
$
(0.50
)
  
$
(0.27
)
Diluted
  
$
0.70
    
$
(0.68
)
  
$
(0.50
)
  
$
(0.27
)
XML 59 R47.htm IDEA: XBRL DOCUMENT v3.5.0.2
LONG-TERM STOCK INCENTIVE PLAN (Tables)
 9 Months Ended
Sep. 30, 2016
Disclosure of Compensation Related Costs, Share-based Payments [Abstract]  
Schedule of Issued and Outstanding Stock Options
The following table sets forth activity related to the Company’s stock options awarded under the Plan:
 
   
For the Nine Months Ended
  
   
September 30, 2016
    
September 30, 2015
  
   
Number of Shares
    
Weighted Average Exercise Price
    
Number of Shares
    
Weighted Average Exercise Price
  
Options outstanding at the beginning of period
    
1,168,775
    
$
15.34
      
2,259,335
    
$
15.35
  
Granted
    
-
      
-
      
-
      
-
  
Exercised
    
-
      
-
      
-
      
-
  
Forfeited
    
(6,400
)
    
14.69
      
(266,399
)
    
15.24
  
Expired
    
(36,750
)
    
12.90
      
(294,750
)
    
17.07
  
Options outstanding at the end of period
    
1,125,625
    
$
15.43
      
1,698,186
    
$
15.07
  
Options exercisable at the end of period
    
1,125,625
    
$
15.43
      
1,698,186
    
$
15.07
  
XML 60 R48.htm IDEA: XBRL DOCUMENT v3.5.0.2
LEASE COMMITMENTS AND CONTINGENCIES (Tables)
 9 Months Ended
Sep. 30, 2016
Commitments and Contingencies Disclosure [Abstract]  
Lease Commitments and Contingencies
The following table details the future lease payments.
 
 
Years Ending December 31,
  
Lease Commitments
  
   
(dollars in thousands)
  
2016 (remaining)
  
$
924
  
2017
    
3,697
  
2018
    
3,641
  
2019
    
3,565
  
2020
    
3,652
  
Later years
    
18,343
  
   
$
33,822
  
XML 61 R49.htm IDEA: XBRL DOCUMENT v3.5.0.2
Organization and Significant Accounting Policies - Additional Information (Detail)
 9 Months Ended 12 Months Ended
Sep. 30, 2016
USD ($)
Property
Dec. 31, 2015
USD ($)
Property
Schedule Of Significant Accounting Policies [Line Items]    
Number of real estate properties | Property 0 0
Minimum    
Schedule Of Significant Accounting Policies [Line Items]    
Senior secured loans, maturity period 3 years  
Maximum    
Schedule Of Significant Accounting Policies [Line Items]    
Senior secured loans, maturity period 8 years  
Commercial Mortgage    
Schedule Of Significant Accounting Policies [Line Items]    
Outstanding impaired loans, nonaccrual loans, and loans in default $ 0 $ 0
Allowance for loan losses 0 0
Interest Rate Swaps    
Schedule Of Significant Accounting Policies [Line Items]    
Cash on margin with counterparty to interest rate swaps $ 2,300,000,000 $ 1,600,000,000
XML 62 R50.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Interest Income Recognition Methodology for Residential Investment Securities (Detail)
 9 Months Ended
Sep. 30, 2016
Agency Mortgage Backed Securities | Fixed Rate Pass-through  
Mortgage-Backed Securities Portfolio:  
Interest Income Methodology Effective yield [1],[2]
Agency Mortgage Backed Securities | Adjustable-rate Pass-through  
Mortgage-Backed Securities Portfolio:  
Interest Income Methodology Effective yield [1],[2]
Agency Mortgage Backed Securities | CMO  
Mortgage-Backed Securities Portfolio:  
Interest Income Methodology Effective yield [1],[2]
Agency Mortgage Backed Securities | Debentures  
Mortgage-Backed Securities Portfolio:  
Interest Income Methodology Contractual Cash Flows [1]
Agency Mortgage Backed Securities | Interest-only  
Mortgage-Backed Securities Portfolio:  
Interest Income Methodology Prospective [3]
Residential Credit Securities Mortgage Backed Securities | CRT  
Mortgage-Backed Securities Portfolio:  
Interest Income Methodology Prospective [3]
Residential Credit Securities Mortgage Backed Securities | Legacy  
Mortgage-Backed Securities Portfolio:  
Interest Income Methodology Prospective [3]
Residential Credit Securities Mortgage Backed Securities | NPL/RPL  
Mortgage-Backed Securities Portfolio:  
Interest Income Methodology Prospective [3]
Residential Credit Securities Mortgage Backed Securities | New Issue  
Mortgage-Backed Securities Portfolio:  
Interest Income Methodology Prospective [3]
Residential Credit Securities Mortgage Backed Securities | New Issue Interest Only  
Mortgage-Backed Securities Portfolio:  
Interest Income Methodology Prospective [3]
[1] Changes in fair value are recognized in Other comprehensive income (loss) on the accompanying Consolidated Statements of Comprehensive Income (Loss).
[2] Effective yield is recalculated for differences between estimated and actual prepayments and the amortized cost is adjusted as if the new effective yield had been applied since inception.
[3] Changes in fair value are recognized in Net unrealized gains (losses) on investments measured at fair value through earnings on the accompanying Consolidated Statements of Comprehensive Income (Loss).
XML 63 R51.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Estimated Useful Lives of Assets (Detail)
 9 Months Ended
Sep. 30, 2016
Building | Minimum  
Property, Plant and Equipment [Line Items]  
Estimated useful lives of assets 30 years
Building | Maximum  
Property, Plant and Equipment [Line Items]  
Estimated useful lives of assets 40 years
Site Improvements | Minimum  
Property, Plant and Equipment [Line Items]  
Estimated useful lives of assets 1 year
Site Improvements | Maximum  
Property, Plant and Equipment [Line Items]  
Estimated useful lives of assets 28 years
XML 64 R52.htm IDEA: XBRL DOCUMENT v3.5.0.2
Recent Accounting Pronouncements (Detail)
 9 Months Ended
Sep. 30, 2016
Accounting Standards Update 2016-13  
New Accounting Pronouncements or Change in Accounting Principle [Line Items]  
Standard ASU 2016-13 Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments
Description This ASU updates the existing incurred loss model to a current expected credit loss model for financial assets and net investments in leases that are not accounted for at fair value through earnings. The amendments affect loans, debt securities, trade receivables, net investments in leases, off balance sheet credit exposures and any other financial assets not excluded from the scope. There are also changes to the accounting for available for sale debt securities.
Effective Date Jan. 01, 2020
Effect on the financial statements or other significant matters Yes
Accounting Standards Update 2014-13  
New Accounting Pronouncements or Change in Accounting Principle [Line Items]  
Standard ASU 2014-13, Consolidation (Topic 810) Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity
Description This update provides a practical expedient to measure the fair value of the financial assets and financial liabilities of a consolidated collateralized financing entity, which the reporting entity has elected to or is required to measure on a fair value basis.
Effective Date Jan. 01, 2016
Effect on the financial statements or other significant matters No
XML 65 R53.htm IDEA: XBRL DOCUMENT v3.5.0.2
Acquisition of Hatteras - Additional Information (Detail) - USD ($)
$ in Thousands, shares in Millions
 1 Months Ended 3 Months Ended 9 Months Ended
Jul. 12, 2016
Jul. 31, 2016
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Business Acquisition [Line Items]            
Net interest income     $ 384,514 $ 340,429 $ 929,573 $ 1,241,328
Residential Mortgage            
Business Acquisition [Line Items]            
Unpaid principal balance of residential mortgage loans     301,957   301,957  
Fair value of residential mortgage loans     310,148   310,148  
Net interest income         1,203  
Hatteras            
Business Acquisition [Line Items]            
Business combination aggregate consideration transferred to common stockholders $ 1,500,000          
Business acquisition, cash consideration 521,082          
Amount allocated to post acquisition service         48,900  
Consulting fees     19,900      
Net interest income     $ 35,500   86,700  
Hatteras | Common Stock            
Business Acquisition [Line Items]            
Business acquisition, equity consideration $ 997,707          
Business acquisition, shares issued 93.9 93.9        
Hatteras | Residential Mortgage            
Business Acquisition [Line Items]            
Unpaid principal balance of residential mortgage loans $ 360,400          
Fair value of residential mortgage loans $ 350,500          
Post Acquisition Service | Time Based Restricted Stock Awards            
Business Acquisition [Line Items]            
Amount allocated to post acquisition service         $ 5,800  
XML 66 R54.htm IDEA: XBRL DOCUMENT v3.5.0.2
Aggregate Consideration and Preliminary Fair Value of Assets Acquired and Liabilities Assumed (Detail) - USD ($)
$ in Thousands
Jul. 12, 2016
Sep. 30, 2016
Dec. 31, 2015
 [1]
Business Acquisition [Line Items]      
Bargain Purchase Gain   $ 71,815 $ 71,815
Hatteras      
Business Acquisition [Line Items]      
Cash $ 521,082    
Total Consideration 1,806,289    
Cash 562,780    
Principal receivable 438,005    
Accrued interest and dividend receivable 83,814    
Other assets 57,250    
Total Assets Acquired 12,846,633    
Securitized debt of consolidated VIEs 54,135    
Dividends payable 670    
Payable for investments purchased 2,643    
Accrued interest payable 4,833    
Accounts payable and other liabilities 97,039    
Total Liabilities Assumed 10,967,768    
Net Assets Acquired 1,878,865    
Bargain Purchase Gain 72,576    
Hatteras | Common Stock      
Business Acquisition [Line Items]      
Equity Shares 997,707    
Hatteras | Preferred Stock      
Business Acquisition [Line Items]      
Exchange of Hatteras preferred stock for Annaly preferred stock 278,252    
Preferred stock fair value adjustment 9,248    
Equity Shares 287,500    
Hatteras | Agency Mortgage Backed Securities      
Business Acquisition [Line Items]      
Financial assets 10,863,070    
Hatteras | Credit Risk Transfer Securities      
Business Acquisition [Line Items]      
Financial assets 116,770    
Hatteras | Residential Mortgage      
Business Acquisition [Line Items]      
Financial assets 360,447    
Hatteras | Mortgage Servicing Rights      
Business Acquisition [Line Items]      
Financial assets 355,820    
Hatteras | Other Derivatives      
Business Acquisition [Line Items]      
Financial assets 8,677    
Financial liabilities 349,922    
Hatteras | Other Secured Financings      
Business Acquisition [Line Items]      
Financial liabilities 35,769    
Hatteras | Repurchase Agreements      
Business Acquisition [Line Items]      
Financial liabilities $ 10,422,757    
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 67 R55.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Consolidated Pro Forma Information (Detail) - Hatteras - USD ($)
$ / shares in Units, $ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Business Acquisition, Pro Forma Information [Line Items]        
Net interest income $ 395,396 $ 397,602 $ 1,027,202 $ 1,434,947
Net income (loss) $ 708,191 $ (710,720) $ (520,830) $ (272,007)
Basic earnings per common share $ 0.67 $ (0.70) $ (0.58) $ (0.33)
Diluted earnings per common share $ 0.67 $ (0.70) $ (0.58) $ (0.33)
XML 68 R56.htm IDEA: XBRL DOCUMENT v3.5.0.2
Residential Investment Securities - Portfolio (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Mortgage-Backed Securities Portfolio:    
Estimated Fair Value $ 75,605,661 $ 67,233,494
Residential Credit Securities Mortgage Backed Securities    
Mortgage-Backed Securities Portfolio:    
Principal / Notional 3,161,262 2,218,496
Remaining Premium 26,962 19,013
Remaining Discount (182,655) (51,260)
Amortized Cost 2,070,174 1,375,004
Amortized Cost 2,070,174 1,375,004
Unrealized Gains [1] 65,476 967
Unrealized Losses [1] (6,094) (12,739)
Estimated Fair Value 2,129,556 1,363,232
Residential Credit Securities Mortgage Backed Securities | CRT    
Mortgage-Backed Securities Portfolio:    
Principal / Notional 641,531 476,084
Remaining Premium 7,333 2,225
Remaining Discount (11,742) (12,840)
Amortized Cost 637,122 465,469
Amortized Cost 637,122 465,469
Unrealized Gains [1] 32,188 250
Unrealized Losses [1] (15) (9,209)
Estimated Fair Value 669,295 456,510
Residential Credit Securities Mortgage Backed Securities | Legacy    
Mortgage-Backed Securities Portfolio:    
Principal / Notional [2] 1,075,956 378,527
Remaining Premium [2] 1,634 773
Remaining Discount [2] (169,677) (37,150)
Amortized Cost [2] 907,913 342,150
Amortized Cost [2] 907,913 342,150
Unrealized Gains [1],[2] 26,767 698
Unrealized Losses [1],[2] (513) (1,140)
Estimated Fair Value [2] 934,167 341,708
Residential Credit Securities Mortgage Backed Securities | NPL/RPL    
Mortgage-Backed Securities Portfolio:    
Principal / Notional 347,105 354,945
Remaining Premium 434 19
Remaining Discount (877) (1,270)
Amortized Cost 346,662 353,694
Amortized Cost 346,662 353,694
Unrealized Gains [1] 2,037 19
Unrealized Losses [1] (264) (1,172)
Estimated Fair Value 348,435 352,541
Residential Credit Securities Mortgage Backed Securities | New Issue    
Mortgage-Backed Securities Portfolio:    
Principal / Notional 161,275 197,695
Remaining Premium 946 566
Remaining Discount (359)  
Amortized Cost 161,862 198,261
Amortized Cost 161,862 198,261
Unrealized Gains [1] 4,484  
Unrealized Losses [1] (16) (1,060)
Estimated Fair Value 166,330 197,201
Residential Credit Securities Mortgage Backed Securities | New Issue Interest Only    
Mortgage-Backed Securities Portfolio:    
Principal / Notional 935,395 811,245
Remaining Premium 16,615 15,430
Amortized Cost 16,615 15,430
Amortized Cost 16,615 15,430
Unrealized Losses [1] (5,286) (158)
Estimated Fair Value 11,329 15,272
Agency Securities    
Mortgage-Backed Securities Portfolio:    
Principal / Notional 76,036,717 70,856,126
Remaining Premium 5,082,670 4,993,883
Remaining Discount (6,227) (10,384)
Amortized Cost 72,550,323 66,340,293
Amortized Cost 72,550,323 66,340,293
Unrealized Gains [1] 1,192,810 499,035
Unrealized Losses [1] (267,028) (969,066)
Estimated Fair Value 73,476,105 65,870,262
Agency Securities | Fixed Rate Pass-through    
Mortgage-Backed Securities Portfolio:    
Principal / Notional 55,713,247 57,339,705
Remaining Premium 3,174,800 3,270,521
Remaining Discount (1,828) (2,832)
Amortized Cost 58,886,219 60,607,394
Amortized Cost 58,886,219 60,607,394
Unrealized Gains [1] 1,102,609 400,350
Unrealized Losses [1] (46,259) (824,862)
Estimated Fair Value 59,942,569 60,182,882
Agency Securities | Adjustable-rate Pass-through    
Mortgage-Backed Securities Portfolio:    
Principal / Notional 11,760,633 2,894,192
Remaining Premium 409,677 61,781
Remaining Discount (4,399) (6,427)
Amortized Cost 12,165,911 2,949,546
Amortized Cost 12,165,911 2,949,546
Unrealized Gains [1] 77,056 70,849
Unrealized Losses [1] (14,340) (10,317)
Estimated Fair Value 12,228,627 3,010,078
Agency Securities | Interest-only    
Mortgage-Backed Securities Portfolio:    
Principal / Notional 8,562,837 9,499,332
Remaining Premium 1,498,193 1,634,312
Amortized Cost 1,498,193 1,634,312
Amortized Cost 1,498,193 1,634,312
Unrealized Gains [1] 13,145 18,699
Unrealized Losses [1] (206,429) (114,826)
Estimated Fair Value 1,304,909 1,538,185
Agency Securities | CMO    
Mortgage-Backed Securities Portfolio:    
Principal / Notional   964,095
Remaining Premium   27,269
Remaining Discount   (477)
Amortized Cost   990,887
Amortized Cost   990,887
Unrealized Gains [1]   9,137
Unrealized Losses [1]   (12,945)
Estimated Fair Value   987,079
Agency Securities | Debentures    
Mortgage-Backed Securities Portfolio:    
Principal / Notional   158,802
Remaining Discount   (648)
Amortized Cost   158,154
Amortized Cost   158,154
Unrealized Losses [1]   (6,116)
Estimated Fair Value   152,038
Residential Investments    
Mortgage-Backed Securities Portfolio:    
Principal / Notional 79,197,979 73,074,622
Remaining Premium 5,109,632 5,012,896
Remaining Discount (188,882) (61,644)
Amortized Cost 74,620,497 67,715,297
Amortized Cost 74,620,497 67,715,297
Unrealized Gains [1] 1,258,286 500,002
Unrealized Losses [1] (273,122) (981,805)
Estimated Fair Value $ 75,605,661 $ 67,233,494
[1] Unrealized gains and losses on Agency securities (other than interest-only securities), are reported as a component of other comprehensive income (loss). Unrealized gains and losses on residential credit investments and Agency interest-only investments are generally reported in Net unrealized gains (losses) on investments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss).
[2] Legacy residential credit refers to securities whose underlying collateral was securitized prior to 2009.
XML 69 R57.htm IDEA: XBRL DOCUMENT v3.5.0.2
Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Mortgage-Backed Securities Portfolio:    
Estimated Fair Value $ 75,605,661 $ 67,233,494
Agency Mortgage Backed Securities    
Mortgage-Backed Securities Portfolio:    
Estimated Fair Value 73,476,105 65,718,224 [1]
Agency Mortgage Backed Securities | Fannie Mae    
Mortgage-Backed Securities Portfolio:    
Estimated Fair Value 48,151,223 42,647,075
Agency Mortgage Backed Securities | Freddie Mac    
Mortgage-Backed Securities Portfolio:    
Estimated Fair Value 25,246,425 22,960,595
Agency Mortgage Backed Securities | Ginnie Mae    
Mortgage-Backed Securities Portfolio:    
Estimated Fair Value $ 78,457 $ 110,554
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 70 R58.htm IDEA: XBRL DOCUMENT v3.5.0.2
Residential Investment Securities - Weighted Average Life (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Fair Value of Agency Mortgage-Backed Securities according to their estimated weighted-average life:    
Less than one year $ 654,108 $ 37,862
Greater than one year through five years 55,394,787 20,278,111
Greater than five years through ten years 19,480,416 46,473,701
Greater than ten years 76,350 443,820
Total 75,605,661 67,233,494
Amortized Cost of Agency Mortgage-Backed Securities according to their estimated weighted-average life:    
Less than one year 663,561 37,850
Greater than one year through five years 54,543,574 20,066,435
Greater than five years through ten years 19,337,485 47,174,319
Greater than ten years 75,877 436,693
Total $ 74,620,497 $ 67,715,297
XML 71 R59.htm IDEA: XBRL DOCUMENT v3.5.0.2
Residential Investment Securities - Unrealized Loss Position (Detail)
$ in Thousands
Sep. 30, 2016
USD ($)
Securities
Dec. 31, 2015
USD ($)
Securities
Unrealized Loss Position For:    
Estimated Fair Value [1] $ 15,072,658 $ 41,777,836
Gross Unrealized Losses [1] $ (60,599) $ (854,240)
Number of Securities | Securities [1] 499 652
Available For Sale Securities, Continuous Unrealized Loss Positions, Less Than 12 Months    
Unrealized Loss Position For:    
Estimated Fair Value [1] $ 8,204,957 $ 20,072,072
Gross Unrealized Losses [1] $ (28,676) $ (164,259)
Number of Securities | Securities [1] 445 463
Available For Sale Securities, Continuous Unrealized Loss Positions, Greater Than 12 Months    
Unrealized Loss Position For:    
Estimated Fair Value [1] $ 6,867,701 $ 21,705,764
Gross Unrealized Losses [1] $ (31,923) $ (689,981)
Number of Securities | Securities [1] 54 189
[1] Excludes interest-only mortgage-backed securities.
XML 72 R60.htm IDEA: XBRL DOCUMENT v3.5.0.2
Residential Investment Securities - Additional Information (Detail) - USD ($)
$ in Millions
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Investments, Debt and Equity Securities [Abstract]        
Residential Investment securities sold, carrying value $ 3,800.0 $ 3,700.0 $ 9,100.0 $ 21,100.0
Residential Investment securities sold, realized gain $ 14.7 $ 4.5 $ 14.7 $ 70.8
XML 73 R61.htm IDEA: XBRL DOCUMENT v3.5.0.2
Fair Value and Unpaid Principal of Residential Mortgage Loans (Detail) - Residential Mortgage
$ in Thousands
Sep. 30, 2016
USD ($)
Mortgage Loans on Real Estate [Line Items]  
Fair value $ 310,148
Unpaid principal balance $ 301,957
XML 74 R62.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Comprehensive Income (Loss) (Detail) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Mortgage Loans on Real Estate [Line Items]        
Net gains (losses) on disposal of investments     $ 24,941 $ 70,796
Net interest income $ 384,514 $ 340,429 929,573 1,241,328
Net income (loss) attributable to Annaly $ 731,216 $ (627,294) (414,814) $ (203,483)
Residential Mortgage        
Mortgage Loans on Real Estate [Line Items]        
Net gains (losses) on disposal of investments     (383)  
Net unrealized gains (losses) on investments measured at fair value through earnings     (493)  
Net interest income     1,203  
Net income (loss) attributable to Annaly     $ 327  
XML 75 R63.htm IDEA: XBRL DOCUMENT v3.5.0.2
Geographic Concentrations Based on Unpaid Principal Balances (Detail) - Residential Mortgage Loans - Geographic Concentration Risk [Member]
 9 Months Ended
Sep. 30, 2016
Mortgage Loans on Real Estate [Line Items]  
Percent of Balance 100.00%
CALIFORNIA  
Mortgage Loans on Real Estate [Line Items]  
Percent of Balance 48.50%
TEXAS  
Mortgage Loans on Real Estate [Line Items]  
Percent of Balance 11.00%
ILLINOIS  
Mortgage Loans on Real Estate [Line Items]  
Percent of Balance 5.50%
FLORIDA  
Mortgage Loans on Real Estate [Line Items]  
Percent of Balance 5.30%
Other  
Mortgage Loans on Real Estate [Line Items]  
Percent of Balance 29.70%
XML 76 R64.htm IDEA: XBRL DOCUMENT v3.5.0.2
Residential Mortgage Loans (Detail) - Residential Mortgage
$ in Thousands
 9 Months Ended
Sep. 30, 2016
USD ($)
Mortgage Loans on Real Estate [Line Items]  
Unpaid principal balance $ 301,957
Minimum  
Mortgage Loans on Real Estate [Line Items]  
Unpaid principal balance $ 164
Interest rate 2.50%
Maturity Mar. 05, 2044
FICO score at loan origination 700
Loan-to-value ratio at loan origination 23.73%
Maximum  
Mortgage Loans on Real Estate [Line Items]  
Unpaid principal balance $ 1,903
Interest rate 4.13%
Maturity Jul. 21, 2046
FICO score at loan origination 815
Loan-to-value ratio at loan origination 80.27%
Weighted Average  
Mortgage Loans on Real Estate [Line Items]  
Unpaid principal balance $ 716
Interest rate 3.45%
Maturity Jun. 10, 2045
FICO score at loan origination 765
Loan-to-value ratio at loan origination 70.56%
XML 77 R65.htm IDEA: XBRL DOCUMENT v3.5.0.2
Presentation of Activity Related to MSR (Detail)
$ in Thousands
 9 Months Ended
Sep. 30, 2016
USD ($)
Change in fair value due to:  
Changes in valuation inputs or assumptions $ 26,254 [1]
Other changes, including realization of expected cash flows (21,634)
Fair value, end of period 492,169
Purchased Servicing Rights  
Servicing Assets at Fair Value [Line Items]  
Fair value, additions 131,729
Hatteras  
Servicing Assets at Fair Value [Line Items]  
Fair value, additions $ 355,820
[1] Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.
XML 78 R66.htm IDEA: XBRL DOCUMENT v3.5.0.2
Mortgage Servicing Rights - Additional Information (Detail) - USD ($)
$ in Millions
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2016
Transfers and Servicing [Abstract]    
Service income fee $ 26.2 $ 26.2
XML 79 R67.htm IDEA: XBRL DOCUMENT v3.5.0.2
Commercial Real Estate Investments - Additional Information (Detail)
 1 Months Ended 3 Months Ended 9 Months Ended 12 Months Ended
Aug. 31, 2016
USD ($)
Apr. 30, 2016
USD ($)
Sep. 30, 2016
USD ($)
Sep. 30, 2015
USD ($)
Property
Sep. 30, 2016
USD ($)
Sep. 30, 2015
USD ($)
Property
Dec. 31, 2015
USD ($)
Dec. 11, 2015
USD ($)
Commercial Real Estate [Line Items]                
Sales of senior loan             $ 46,945,000  
Gain on sales of senior loan         $ (383,000)      
Weighted average amortization period for intangible assets and liabilities         4 years 8 months 12 days      
Depreciation expense         $ 16,511,000 $ 8,773,000    
Other Operating Income (Expense)                
Commercial Real Estate [Line Items]                
Depreciation expense     $ 5,000,000 $ 3,100,000 15,700,000 $ 8,800,000    
Commercial Mortgage                
Commercial Real Estate [Line Items]                
Outstanding impaired loans, nonaccrual loans, and loans in default     0   0   0  
Allowance for loan losses         0   0  
Commercial Mortgage Loan                
Commercial Real Estate [Line Items]                
Debt issued     $ 330,946,000   330,946,000   338,444,000  
CALIFORNIA | Commercial Mortgage Loan | Eight Class AB Office Properties In Orange Country California                
Commercial Real Estate [Line Items]                
Funding for senior mortgage loan, net of origination fees             278,600,000  
Future funding commitment             30,000,000  
Funding for senior mortgage loan, net of origination fees             280,000,000  
Debt issued               $ 335,000,000
CALIFORNIA | Commercial Mortgage Loan | Eight Class AB Office Properties In Orange Country California | Mezzanine Loans                
Commercial Real Estate [Line Items]                
Funding for senior mortgage loan, net of origination fees             52,700,000  
Debt issued             $ 55,000,000  
CALIFORNIA | Commercial Mortgage Loan | Senior Loans | Eight Class AB Office Properties In Orange Country California                
Commercial Real Estate [Line Items]                
Funding for senior mortgage loan, net of origination fees $ 19,900,000 $ 114,300,000     144,300,000      
Sales of senior loan 20,000,000 115,000,000            
Gain on sales of senior loan $ 0 $ 0            
Remains senior loan held for sale         145,000,000      
Multi Tenant Retail                
Commercial Real Estate [Line Items]                
Number of multi-tenant retail properties acquired | Property       11   11    
Total purchase price         132,000,000      
Additional depreciation and amortization         4,200,000      
Multi Tenant Retail | CALIFORNIA                
Commercial Real Estate [Line Items]                
Total purchase price         $ 37,750,000      
XML 80 R68.htm IDEA: XBRL DOCUMENT v3.5.0.2
CRE Debt and Preferred Equity Investments (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Transaction to Real Estate Investments [Line Items]    
Carrying Value [1] $ 1,070,197 $ 1,348,817
Preferred Equity Interests    
Transaction to Real Estate Investments [Line Items]    
Carrying Value [1] 8,962 121,773
Commercial Mortgage    
Transaction to Real Estate Investments [Line Items]    
Outstanding Principal [1] 1,075,018 1,355,422
Carrying Value [1],[2] $ 1,070,197 $ 1,348,817
Percentage of Loan Portfolio [1],[3] 100.00% 100.00%
Commercial Mortgage | Mezzanine Loans    
Transaction to Real Estate Investments [Line Items]    
Outstanding Principal $ 468,864 $ 582,592
Carrying Value [1],[2] $ 466,170 $ 578,503
Percentage of Loan Portfolio [3] 43.60% 43.00%
Commercial Mortgage | Senior Mortgages    
Transaction to Real Estate Investments [Line Items]    
Outstanding Principal $ 468,258 $ 387,314
Carrying Value [1],[2] $ 466,169 $ 385,838
Percentage of Loan Portfolio [3] 43.60% 28.60%
Commercial Mortgage | Senior Securitized Mortgages    
Transaction to Real Estate Investments [Line Items]    
Outstanding Principal [4],[5] $ 128,896 $ 263,072
Carrying Value [1],[2],[4],[5] $ 128,896 $ 262,703
Percentage of Loan Portfolio [3],[5] 12.00% 19.40%
Commercial Mortgage | Preferred Equity Interests    
Transaction to Real Estate Investments [Line Items]    
Outstanding Principal $ 9,000 $ 122,444
Carrying Value [2] $ 8,962 $ 121,773
Percentage of Loan Portfolio [3] 0.80% 9.00%
[1] Excludes Loans held for sale, net.
[2] Carrying value includes unamortized origination fees of $4.9 million and $6.9 million as of September 30, 2016 and December 31, 2015, respectively.
[3] Based on outstanding principal.
[4] Assets of consolidated VIE.
[5] Assets of consolidated VIEs.
XML 81 R69.htm IDEA: XBRL DOCUMENT v3.5.0.2
CRE Debt and Preferred Equity Investments (Parenthetical) (Detail) - USD ($)
$ in Millions
Sep. 30, 2016
Dec. 31, 2015
Real Estate Properties Base Purchase Price [Abstract]    
Carrying value, unamortized origination fees $ 4.9 $ 6.9
XML 82 R70.htm IDEA: XBRL DOCUMENT v3.5.0.2
CRE Debt and Preferred Equity Investments -Based on Outstanding Principal (Detail) - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2016
Sep. 30, 2016
Sep. 30, 2015
Dec. 31, 2015
Transaction to Real Estate Investments [Line Items]        
Beginning balance $ 1,348,817 $ 1,348,817   $ 1,518,165
Originations & advances (principal)   206,031   489,237
Principal payments (50,500) (486,434)   (625,642)
Sales (principal)       (46,945)
Amortization & accretion of (premium) discounts   (294)   143
Net (increase) decrease in origination fees   (1,848)   (8,787)
Amortization of net origination fees   3,925 $ 3,350 4,146
Transfers       18,500
Net carrying value [1] 1,070,197 1,070,197   1,348,817
Preferred Equity Interests        
Transaction to Real Estate Investments [Line Items]        
Beginning balance 121,773 121,773   212,905
Principal payments   (113,444)   (92,210)
Amortization & accretion of (premium) discounts       517
Amortization of net origination fees   633   561
Net carrying value [1] 8,962 8,962   121,773
Commercial Mortgage        
Transaction to Real Estate Investments [Line Items]        
Net carrying value [1],[2] 1,070,197 1,070,197   1,348,817
Commercial Mortgage | Mezzanine Loans        
Transaction to Real Estate Investments [Line Items]        
Beginning balance 578,503 578,503   522,731
Originations & advances (principal)   46,858   195,312
Principal payments   (160,585)   (153,693)
Amortization & accretion of (premium) discounts   (192)   (232)
Net (increase) decrease in origination fees   (282)   (4,806)
Amortization of net origination fees   1,868   691
Transfers       18,500
Net carrying value [1],[2] 466,170 466,170   578,503
Commercial Mortgage | Senior Mortgages        
Transaction to Real Estate Investments [Line Items]        
Beginning balance 385,838 385,838   383,895
Originations & advances (principal)   159,173   293,925
Principal payments   (78,229)   (243,270)
Sales (principal)       (46,945)
Amortization & accretion of (premium) discounts   (102)   (142)
Net (increase) decrease in origination fees   (1,566)   (3,702)
Amortization of net origination fees   1,055   2,077
Net carrying value [1],[2] 466,169 466,169   385,838
Commercial Mortgage | Senior Securitized Mortgages        
Transaction to Real Estate Investments [Line Items]        
Beginning balance [3] 262,703 262,703   398,634
Principal payments [3]   (134,176)   (136,469)
Net (increase) decrease in origination fees [3]       (279)
Amortization of net origination fees [3]   369   817
Net carrying value [1],[2],[3],[4] 128,896 128,896   262,703
Commercial Mortgage | Preferred Equity Interests        
Transaction to Real Estate Investments [Line Items]        
Net carrying value [2] $ 8,962 $ 8,962   $ 121,773
[1] Excludes Loans held for sale, net.
[2] Carrying value includes unamortized origination fees of $4.9 million and $6.9 million as of September 30, 2016 and December 31, 2015, respectively.
[3] Assets of consolidated VIE.
[4] Assets of consolidated VIEs.
XML 83 R71.htm IDEA: XBRL DOCUMENT v3.5.0.2
Internal CRE Debt and Preferred Equity Ratings (Detail) - Commercial Mortgage - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Transaction to Real Estate Investments [Line Items]    
Performing $ 360,480 $ 520,263
Performing Closely Monitored 425,385 600,561
Performing Special Mention 289,153  
Debt and Preferred Equity Portfolio   234,598
Internal Rating Substandard 0 0
Doubtful 0 0
Loss 0 0
Total [1] 1,075,018 1,355,422
Mezzanine Loans    
Transaction to Real Estate Investments [Line Items]    
Performing 268,190 342,493
Performing Closely Monitored 164,357 219,969
Performing Special Mention 36,317  
Debt and Preferred Equity Portfolio   20,130
Internal Rating Substandard 0 0
Doubtful 0 0
Loss 0 0
Total 468,864 582,592
Senior Mortgages    
Transaction to Real Estate Investments [Line Items]    
Performing 92,290 71,000
Performing Closely Monitored 243,528 283,148
Performing Special Mention 132,440  
Debt and Preferred Equity Portfolio   33,166
Internal Rating Substandard 0 0
Doubtful 0 0
Loss 0 0
Total 468,258 387,314
Senior Securitized Mortgages    
Transaction to Real Estate Investments [Line Items]    
Performing [2]   106,770
Performing Closely Monitored [2] 17,500 15,500
Performing Special Mention [2] 111,396  
Debt and Preferred Equity Portfolio [2]   140,802
Internal Rating Substandard [2] 0 0
Doubtful [2] 0 0
Loss [2] 0 0
Total [2],[3] 128,896 263,072
Preferred Equity Interests    
Transaction to Real Estate Investments [Line Items]    
Performing Closely Monitored   81,944
Performing Special Mention 9,000  
Debt and Preferred Equity Portfolio   40,500
Internal Rating Substandard 0 0
Doubtful 0 0
Loss 0 0
Total $ 9,000 $ 122,444
[1] Excludes Loans held for sale, net.
[2] Assets of consolidated VIE.
[3] Assets of consolidated VIEs.
XML 84 R72.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Acquisitions of Real Estate Held for Investment (Detail)
$ in Thousands
 9 Months Ended
Sep. 30, 2016
USD ($)
Multi Tenant Retail  
Transaction to Real Estate Investments [Line Items]  
Original Purchase Price $ 132,000
OHIO | Single Tenant Properties  
Transaction to Real Estate Investments [Line Items]  
Date of Acquisition Jul. 31, 2015
Original Purchase Price $ 11,000
Remaining Lease Term (Years) 4 years 1 month 6 days [1]
FLORIDA | Multi Tenant Retail  
Transaction to Real Estate Investments [Line Items]  
Date of Acquisition Aug. 31, 2015
Original Purchase Price $ 18,900
Remaining Lease Term (Years) 4 years 9 months 18 days [1]
DISTRICT OF COLUMBIA | Multifamily Property  
Transaction to Real Estate Investments [Line Items]  
Date of Acquisition Oct. 31, 2015
Original Purchase Price $ 75,000
Remaining Lease Term (Years) 1 year [1]
CALIFORNIA | Multi Tenant Retail  
Transaction to Real Estate Investments [Line Items]  
Date of Acquisition Oct. 31, 2015
Original Purchase Price $ 37,750
Remaining Lease Term (Years) 3 years 9 months 18 days [1]
TEXAS  
Transaction to Real Estate Investments [Line Items]  
Original Purchase Price $ 131,950
TEXAS | Multi Tenant Retail  
Transaction to Real Estate Investments [Line Items]  
Date of Acquisition Nov. 30, 2015
Original Purchase Price $ 131,950
Remaining Lease Term (Years) 4 years 4 months 24 days [1]
[1] Does not include extension options.
XML 85 R73.htm IDEA: XBRL DOCUMENT v3.5.0.2
Aggregate Allocation of Final Purchase Price (Detail) - TEXAS
$ in Thousands
 9 Months Ended
Sep. 30, 2016
USD ($)
Transaction to Real Estate Investments [Line Items]  
Total purchase price $ 131,950
Real Estate Investment  
Transaction to Real Estate Investments [Line Items]  
Total purchase price 127,285
Above Market Leases  
Transaction to Real Estate Investments [Line Items]  
Total purchase price 274
Land  
Transaction to Real Estate Investments [Line Items]  
Total purchase price 32,452
Building  
Transaction to Real Estate Investments [Line Items]  
Total purchase price 82,552
Site Improvements  
Transaction to Real Estate Investments [Line Items]  
Total purchase price 5,446
Tenant Improvements  
Transaction to Real Estate Investments [Line Items]  
Total purchase price 6,835
Leaseholds and Leasehold Improvements  
Transaction to Real Estate Investments [Line Items]  
Total purchase price 14,598
Below Market Lease Liabilities  
Transaction to Real Estate Investments [Line Items]  
Total purchase price $ 10,207
XML 86 R74.htm IDEA: XBRL DOCUMENT v3.5.0.2
Total Commercial Real Estate Held for Investments (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Real estate held for investment, at amortized cost    
Real estate held for investment, at amortized cost $ 472,922 $ 487,097
Less: accumulated depreciation (32,239) (16,886)
Total real estate held for investment, at amortized cost, net 440,683 470,211
Equity in unconsolidated joint ventures 59,344 65,735
Investments in commercial real estate, net 500,027 535,946 [1]
Land    
Real estate held for investment, at amortized cost    
Real estate held for investment, at amortized cost 117,023 113,494
Building Improvements    
Real estate held for investment, at amortized cost    
Real estate held for investment, at amortized cost $ 355,899 $ 373,603
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 87 R75.htm IDEA: XBRL DOCUMENT v3.5.0.2
Minimum Future Rentals to be Received on Non-cancelable Operating Leases (Detail)
$ in Thousands
Sep. 30, 2016
USD ($)
Leases [Abstract]  
2016 (remaining) $ 8,189
2017 31,102
2018 27,504
2019 23,448
2020 18,877
Later years 56,266
Operating Leases, Future Minimum Payments Receivable, Total $ 165,386
XML 88 R76.htm IDEA: XBRL DOCUMENT v3.5.0.2
Mortgage Loans Payable (Detail) - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2016
Dec. 31, 2015
NEVADA    
Mortgage Loans on Real Estate [Line Items]    
Floating rate description L+200 L+200
Commercial Mortgage Loan    
Mortgage Loans on Real Estate [Line Items]    
Mortgage Carrying Value $ 327,632 $ 334,707
Mortgage Principal 330,946 $ 338,444
Commercial Mortgage Loan | Joint Venture    
Mortgage Loans on Real Estate [Line Items]    
Maturity Date   Dec. 31, 2024
Commercial Mortgage Loan | Joint Venture | Minimum    
Mortgage Loans on Real Estate [Line Items]    
Mortgage Carrying Value 285,899 $ 292,658
Mortgage Principal $ 289,125 $ 296,325
Interest rate 4.03% 2.30%
Fixed/Floating Rate Fixed  
Maturity Date Dec. 31, 2024 Dec. 31, 2016
Priority First liens  
Commercial Mortgage Loan | Joint Venture | Maximum    
Mortgage Loans on Real Estate [Line Items]    
Interest rate 4.61% 4.61%
Fixed/Floating Rate Fixed  
Maturity Date Dec. 31, 2025 Dec. 31, 2025
Commercial Mortgage Loan | 3100 South Mall    
Mortgage Loans on Real Estate [Line Items]    
Mortgage Carrying Value $ 12,253 $ 12,228
Mortgage Principal $ 12,350 $ 12,350
Interest rate 4.01% 4.01%
Fixed/Floating Rate Fixed  
Maturity Date Sep. 06, 2019 Sep. 06, 2019
Priority First liens  
Commercial Mortgage Loan | 12151 Jefferson    
Mortgage Loans on Real Estate [Line Items]    
Mortgage Carrying Value $ 11,014 $ 11,012
Mortgage Principal $ 11,025 $ 11,025
Interest rate 3.58% 3.58%
Fixed/Floating Rate Fixed  
Maturity Date Jun. 06, 2019 Jun. 06, 2019
Priority First liens  
Commercial Mortgage Loan | ARIZONA    
Mortgage Loans on Real Estate [Line Items]    
Mortgage Carrying Value $ 16,080 $ 16,365
Mortgage Principal $ 16,063 $ 16,308
Interest rate 3.50% 3.50%
Fixed/Floating Rate Fixed  
Maturity Date Jan. 01, 2017 Jan. 01, 2017
Priority First liens  
Commercial Mortgage Loan | NEVADA    
Mortgage Loans on Real Estate [Line Items]    
Mortgage Carrying Value $ 2,386 $ 2,444
Mortgage Principal $ 2,383 $ 2,436
Fixed/Floating Rate [1] Floating  
Maturity Date Mar. 29, 2017 Mar. 29, 2017
Priority First liens  
[1] Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).
XML 89 R77.htm IDEA: XBRL DOCUMENT v3.5.0.2
Future Mortgage Loan Principal Payments (Detail)
$ in Thousands
Sep. 30, 2016
USD ($)
Debt Disclosure [Abstract]  
2016 (remaining) $ 101
2017 18,345
2018 0
2019 23,375
2020 0
Later years 289,125
Long-term Debt, Total $ 330,946
XML 90 R78.htm IDEA: XBRL DOCUMENT v3.5.0.2
Schedule of Industry and Interest Rate Characteristics (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
 [1]
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt $ 716,831 $ 488,508
Airports Flying Fields and Airport Terminal    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 47,184  
Commercial Fishing    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 40,590  
Computer Programming and Data Processing    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 63,253  
Drugs    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 34,247  
Home Health Care Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 39,339  
Insurance Agents, Brokers and Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 48,724  
Management and Public Relations    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 39,116  
Medical and Dental Laboratories    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 17,324  
Miscellaneous Business Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 148,125  
Miscellaneous Health & Allied Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 38,886  
Miscellaneous Nonmetallic Minerals    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 24,682  
Miscellaneous Plastic Products    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 27,075  
Motor Vehicles, Parts and Supplies    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 12,347  
Offices and Clinics of Doctors of Medicine    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 83,582  
Research, Development and Testing Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 17,739  
Schools and Educational Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 21,042  
Surgical, Medical and Dental Instruments    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 13,576  
Fixed Rate    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 88,828  
Fixed Rate | Insurance Agents, Brokers and Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 4,380  
Fixed Rate | Miscellaneous Business Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 84,448  
Floating Rate    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 628,003  
Floating Rate | Airports Flying Fields and Airport Terminal    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 47,184  
Floating Rate | Commercial Fishing    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 40,590  
Floating Rate | Computer Programming and Data Processing    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 63,253  
Floating Rate | Drugs    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 34,247  
Floating Rate | Home Health Care Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 39,339  
Floating Rate | Insurance Agents, Brokers and Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 44,344  
Floating Rate | Management and Public Relations    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 39,116  
Floating Rate | Medical and Dental Laboratories    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 17,324  
Floating Rate | Miscellaneous Business Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 63,677  
Floating Rate | Miscellaneous Health & Allied Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 38,886  
Floating Rate | Miscellaneous Nonmetallic Minerals    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 24,682  
Floating Rate | Miscellaneous Plastic Products    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 27,075  
Floating Rate | Motor Vehicles, Parts and Supplies    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 12,347  
Floating Rate | Offices and Clinics of Doctors of Medicine    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 83,582  
Floating Rate | Research, Development and Testing Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 17,739  
Floating Rate | Schools and Educational Services    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt 21,042  
Floating Rate | Surgical, Medical and Dental Instruments    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt $ 13,576  
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 91 R79.htm IDEA: XBRL DOCUMENT v3.5.0.2
Aggregate Positions in Capital Structure of Borrowers (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
 [1]
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt, total $ 716,831 $ 488,508
Subordinated Debt    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt, total 4,380  
First Lien    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt, total 466,099  
Second Lien    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt, total 161,904  
Corporate Debt Securities    
Schedule of Held-to-maturity Securities [Line Items]    
Corporate debt, total $ 84,448  
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 92 R80.htm IDEA: XBRL DOCUMENT v3.5.0.2
Variable Interest Entities - Additional Information (Detail)
 1 Months Ended 9 Months Ended 12 Months Ended
Sep. 30, 2016
USD ($)
Categories
Feb. 29, 2016
USD ($)
Loan
Apr. 30, 2015
USD ($)
Loan
Feb. 28, 2015
USD ($)
Loan
Jan. 31, 2014
USD ($)
Sep. 30, 2016
USD ($)
Dec. 31, 2015
USD ($)
Jun. 30, 2016
USD ($)
Variable Interest Entity [Line Items]                
Securitization financing transaction, total [1] $ 3,712,821,000         $ 3,712,821,000 $ 2,540,711,000 [2]  
Securitization cost         $ 4,300,000      
Payments to purchase mortgage loans           73,370,000    
Exposure to obligations of VIEs 1,100,000,000         1,100,000,000    
Gain (Loss) recognized upon initial consolidation           0    
Contractual principal amount of residential mortgage trust debt 50,500,000         486,434,000 625,642,000  
Other secured financings 3,804,742,000         $ 3,804,742,000 1,845,048,000 [2]  
Freddie Mac | Floating Rate Multifamily Mortgage Loans | FREMF 2015-KLSF                
Variable Interest Entity [Line Items]                
Number of loans in the underlying portfolio | Loan       11        
Face value       $ 1,400,000,000        
Freddie Mac | Floating Rate Multifamily Mortgage Loans | FREMF 2015-KF07                
Variable Interest Entity [Line Items]                
Number of loans in the underlying portfolio | Loan     40          
Face value     $ 1,200,000,000          
Freddie Mac | Floating Rate Multifamily Mortgage Loans | FREM 2016-KLH1                
Variable Interest Entity [Line Items]                
Number of loans in the underlying portfolio | Loan   28            
Face value   $ 1,500,000,000            
NLY Commercial Mortgage Trust                
Variable Interest Entity [Line Items]                
Securitization financing transaction, purchase         399,500,000      
Securitization financing transaction, total         $ 260,700,000      
Securitization financing transaction, weighted average rate         65.30%      
Securitization financing transaction, variable interest rate         1.74%      
Securitization financing transaction, variable interest rate description           LIBOR plus 1.74% at closing    
FREMF Trust                
Variable Interest Entity [Line Items]                
Exposure to obligations of VIEs 291,300,000         $ 291,300,000    
Gain (Loss) recognized upon initial consolidation           0    
Debt issue costs expensed           200,000 $ 800,000  
Mortgage loans, unpaid principal balance 3,900,000,000         3,900,000,000    
Loans 90 days or more past due or on nonaccrual status 0         0    
Gain (Loss) attributable to instrument- specific credit risk           0    
FREMF Trust | Freddie Mac | FREMF 2015-KLSF                
Variable Interest Entity [Line Items]                
Variable interest entity, consolidated, carrying amount, assets 1,400,000,000         1,400,000,000    
Variable interest entity, consolidated, carrying amount, liabilities 1,300,000,000         1,300,000,000    
Payments to purchase mortgage loans       $ 102,100,000        
FREMF Trust | Freddie Mac | FREMF 2015-KF07                
Variable Interest Entity [Line Items]                
Variable interest entity, consolidated, carrying amount, assets 1,100,000,000         1,100,000,000    
Variable interest entity, consolidated, carrying amount, liabilities 1,000,000,000         1,000,000,000    
Payments to purchase mortgage loans     $ 89,400,000          
FREMF Trust | Freddie Mac | FREM 2016-KLH1                
Variable Interest Entity [Line Items]                
Face value   112,000,000            
Variable interest entity, consolidated, carrying amount, assets 1,500,000,000         1,500,000,000    
Variable interest entity, consolidated, carrying amount, liabilities 1,400,000,000         1,400,000,000    
Payments to purchase mortgage loans   107,600,000            
Discounted value   $ 4,400,000            
Borrower                
Variable Interest Entity [Line Items]                
Credit facility, maximum borrowing capacity               $ 300,000,000
Other secured financings 212,200,000         212,200,000    
Borrower | Consolidation, Eliminations                
Variable Interest Entity [Line Items]                
Intercompany receivable 212,200,000         212,200,000    
Borrower | Corporate Debt Securities                
Variable Interest Entity [Line Items]                
Transferred loans pledged as collateral for credit facility $ 475,500,000         $ 475,500,000    
Pingora                
Variable Interest Entity [Line Items]                
Variable interest entity, ownership percentage 100.00%              
Number of pools | Categories 3              
[1] Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at September 30, 2016 and December 31, 2015, respectively.
[2] Derived from the audited consolidated financial statements at December 31, 2015.
XML 93 R81.htm IDEA: XBRL DOCUMENT v3.5.0.2
Statement of Financial Condition of VIEs Reflected in Consolidated Statements of Financial Condition (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Sep. 30, 2015
Dec. 31, 2014
ASSETS        
Cash $ 2,382,188 [1] $ 1,769,258 [1],[2] $ 2,237,423 $ 1,741,244
Commercial real estate and debt and preferred equity, held for investment [3] 1,070,197 1,348,817 [2]    
Other assets 301,419 119,422 [2]    
Total assets 86,909,306 75,190,893 [2]    
Liabilities        
Other secured financing 3,804,742 1,845,048 [2]    
Other derivatives, at fair value 73,445 49,963    
Accrued interest payable 173,320 151,843 [2]    
Total liabilities 73,647,503 63,284,971 [2]    
FREMF Trust        
ASSETS        
Cash 31,300 48,500 [2]    
Senior securitized commercial mortgages carried at fair value 3,953,150 2,554,023    
Accrued interest receivable 8,519 4,994    
Total assets 3,961,669 2,559,017    
Liabilities        
Securitized debt (non-recourse) at fair value 3,661,884 2,366,878    
Accrued interest payable 4,288 4,183    
Total liabilities 3,666,172 2,371,061    
NLY Commercial Mortgage Trust        
ASSETS        
Cash 185 49,025    
Commercial real estate and debt and preferred equity, held for investment 128,896 262,703    
Accrued interest receivable 49 431    
Other assets 9 169    
Total assets 129,139 312,328    
Liabilities        
Securitized debt (non-recourse) at amortized cost   173,833    
Accrued interest payable 200 191    
Other liabilities   290    
Total liabilities 200 $ 174,314    
Residential Mortgage Loan Trust        
ASSETS        
Residential mortgages loans carried at fair value 176,748      
Accrued interest receivable 356      
Other assets 3,149      
Total assets 180,253      
Liabilities        
Securitized debt (non-recourse) at fair value 50,937      
Accrued interest payable 127      
Other liabilities 44      
Total liabilities 51,108      
Mortgage Servicing Rights Silos [Member]        
ASSETS        
Cash 31,163      
Residential mortgages loans carried at fair value 9,631      
Mortgage servicing rights 492,169      
Accrued interest receivable 4      
Other assets 29,586      
Total assets 562,553      
Liabilities        
Other secured financing 4,186      
Other derivatives, at fair value 9      
Other liabilities 25,363      
Total liabilities $ 29,558      
[1] Includes cash of consolidated VIEs of $31.3 million and $48.5 million at September 30, 2016 and December 31, 2015, respectively.
[2] Derived from the audited consolidated financial statements at December 31, 2015.
[3] Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $128.9 million and $262.7 million carried at amortized cost, net of an allowance for losses of $0, at September 30, 2016 and December 31, 2015, respectively.
XML 94 R82.htm IDEA: XBRL DOCUMENT v3.5.0.2
Statement of Comprehensive Income (Loss) of VIEs Reflected in Consolidated Statements of Comprehensive Income (Loss) (Detail) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Net interest income:        
Interest income $ 558,668 $ 450,726 $ 1,403,929 $ 1,594,117
Interest expense 174,154 110,297 474,356 352,789
Net interest income 384,514 340,429 929,573 1,241,328
Realized gain (loss) on disposal of investments       (12,450)
Other income (loss) 29,271 (9,675) 13,226 (3,270)
General and administration expenses 97,737 49,457 194,903 152,404
Net income (loss) 730,880 $ (627,491) (415,697) $ (203,919)
FREMF Trust        
Net interest income:        
Interest income 25,148   69,972  
Interest expense 11,375   29,598  
Net interest income 13,773   40,374  
Unrealized gain (loss) on investments at fair value (3,201)   3,784  
Other income (loss) (6,773)   (18,861)  
General and administration expenses     2  
Net income (loss) 3,799   25,295  
NLY Commercial Mortgage Trust        
Net interest income:        
Interest income 1,691   8,543  
Interest expense 105   2,302  
Net interest income 1,586   6,241  
General and administration expenses     (2)  
Net income (loss) 1,586   6,243  
Residential Mortgage Loan Trust        
Net interest income:        
Interest income 932   932  
Interest expense 404   404  
Net interest income 528   528  
Realized gain (loss) on disposal of investments (329)   (329)  
Unrealized gain (loss) on investments at fair value (109)   (109)  
Other income (loss) (79)   (79)  
General and administration expenses 17   17  
Net income (loss) (6)   (6)  
Mortgage Servicing Rights Silos [Member]        
Net interest income:        
Interest income 57   57  
Interest expense 22   22  
Net interest income 35   35  
Realized gain (loss) on disposal of investments 184   184  
Unrealized gain (loss) on investments at fair value 4,218   4,218  
Other income (loss) 25,716   25,716  
General and administration expenses 1,555   1,555  
Net income (loss) $ 28,598   $ 28,598  
XML 95 R83.htm IDEA: XBRL DOCUMENT v3.5.0.2
Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Unpaid Principal Balances (Detail)
$ in Thousands
 9 Months Ended
Sep. 30, 2016
USD ($)
Residential Mortgage Loan Trust  
Concentration Risk [Line Items]  
Principal Balance $ 172,726
Residential Mortgage Loan Trust | CALIFORNIA  
Concentration Risk [Line Items]  
Principal Balance 80,023
Residential Mortgage Loan Trust | TEXAS  
Concentration Risk [Line Items]  
Principal Balance 19,114
Residential Mortgage Loan Trust | ILLINOIS  
Concentration Risk [Line Items]  
Principal Balance 10,799
Residential Mortgage Loan Trust | WASHINGTON  
Concentration Risk [Line Items]  
Principal Balance 10,734
Residential Mortgage Loan Trust | FLORIDA  
Concentration Risk [Line Items]  
Principal Balance 9,392
Residential Mortgage Loan Trust | Other  
Concentration Risk [Line Items]  
Principal Balance $ 42,664 [1]
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk [Member]  
Concentration Risk [Line Items]  
Percent of Balance 100.00%
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk [Member] | CALIFORNIA  
Concentration Risk [Line Items]  
Percent of Balance 46.30%
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk [Member] | TEXAS  
Concentration Risk [Line Items]  
Percent of Balance 11.10%
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk [Member] | ILLINOIS  
Concentration Risk [Line Items]  
Percent of Balance 6.20%
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk [Member] | WASHINGTON  
Concentration Risk [Line Items]  
Percent of Balance 6.30%
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk [Member] | FLORIDA  
Concentration Risk [Line Items]  
Percent of Balance 5.40%
Residential Mortgage Loan Trust | Securitized Loans | Geographic Concentration Risk [Member] | Other  
Concentration Risk [Line Items]  
Percent of Balance 24.70% [1]
NLY Commercial Mortgage Trust  
Concentration Risk [Line Items]  
Principal Balance $ 128,896
NLY Commercial Mortgage Trust | ILLINOIS  
Concentration Risk [Line Items]  
Principal Balance 111,396
NLY Commercial Mortgage Trust | OKLAHOMA  
Concentration Risk [Line Items]  
Principal Balance $ 17,500
NLY Commercial Mortgage Trust | Securitized Loans | Geographic Concentration Risk [Member]  
Concentration Risk [Line Items]  
Percent of Balance 100.00%
NLY Commercial Mortgage Trust | Securitized Loans | Geographic Concentration Risk [Member] | ILLINOIS  
Concentration Risk [Line Items]  
Percent of Balance 86.40%
NLY Commercial Mortgage Trust | Securitized Loans | Geographic Concentration Risk [Member] | OKLAHOMA  
Concentration Risk [Line Items]  
Percent of Balance 13.60%
FREMF Trust  
Concentration Risk [Line Items]  
Principal Balance $ 3,940,567
FREMF Trust | TEXAS  
Concentration Risk [Line Items]  
Principal Balance 724,035
FREMF Trust | FLORIDA  
Concentration Risk [Line Items]  
Principal Balance 456,516
FREMF Trust | Other  
Concentration Risk [Line Items]  
Principal Balance 1,723,146 [1]
FREMF Trust | NORTH CAROLINA  
Concentration Risk [Line Items]  
Principal Balance 537,375
FREMF Trust | MARYLAND  
Concentration Risk [Line Items]  
Principal Balance $ 499,495
FREMF Trust | Securitized Loans | Geographic Concentration Risk [Member]  
Concentration Risk [Line Items]  
Percent of Balance 100.00%
FREMF Trust | Securitized Loans | Geographic Concentration Risk [Member] | TEXAS  
Concentration Risk [Line Items]  
Percent of Balance 18.40%
FREMF Trust | Securitized Loans | Geographic Concentration Risk [Member] | FLORIDA  
Concentration Risk [Line Items]  
Percent of Balance 11.60%
FREMF Trust | Securitized Loans | Geographic Concentration Risk [Member] | Other  
Concentration Risk [Line Items]  
Percent of Balance 43.70% [1]
FREMF Trust | Securitized Loans | Geographic Concentration Risk [Member] | NORTH CAROLINA  
Concentration Risk [Line Items]  
Percent of Balance 13.60%
FREMF Trust | Securitized Loans | Geographic Concentration Risk [Member] | MARYLAND  
Concentration Risk [Line Items]  
Percent of Balance 12.70%
[1] No individual state greater than 5%
XML 96 R84.htm IDEA: XBRL DOCUMENT v3.5.0.2
Fair Value Measurements - Additional Information (Detail) - USD ($)
Sep. 30, 2016
Dec. 31, 2015
Fair Value Disclosures [Abstract]    
Debt instrument, fair value disclosure $ 0 $ 0
XML 97 R85.htm IDEA: XBRL DOCUMENT v3.5.0.2
Fair Value Measurements (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Assets:    
Agency mortgage-backed securities $ 73,476,105 $ 65,718,224
Non-Agency mortgage-backed securities 75,605,661 67,233,494
Agency debentures [1]   152,038
Credit risk transfer securities 669,295 456,510 [1]
Non-Agency mortgage-backed securities 1,460,261  
Mortgage servicing rights 492,169  
Commercial real estate debt investments [2] 4,319,077 2,911,828 [1]
Interest rate swaps 113,253 19,642 [1]
Other derivatives 87,921 22,066
Total assets 80,928,229 70,187,030
Liabilities:    
Securitized debt of consolidated VIEs 3,712,821 2,366,878 [1]
Interest rate swaps 2,919,492 1,677,571 [1]
Other derivatives 73,445 49,963
Total liabilities 6,705,758 4,094,412
Non-Agency mortgage-backed securities    
Assets:    
Non-Agency mortgage-backed securities [3] 1,460,261 906,722 [1]
Residential Mortgage    
Assets:    
Residential mortgage loans 310,148  
Level 1    
Assets:    
Other derivatives 26,985 12,443
Total assets 26,985 12,443
Liabilities:    
Other derivatives 70,784 32,778
Total liabilities 70,784 32,778
Level 2    
Assets:    
Agency mortgage-backed securities 73,476,105 65,718,224
Agency debentures   152,038
Credit risk transfer securities 669,295 456,510
Non-Agency mortgage-backed securities 1,460,261  
Commercial real estate debt investments 4,319,077 2,911,828
Interest rate swaps 113,253 19,642
Other derivatives 60,936 9,623
Total assets 80,409,075 70,174,587
Liabilities:    
Securitized debt of consolidated VIEs 3,712,821 2,366,878
Interest rate swaps 2,919,492 1,677,571
Other derivatives 2,661 17,185
Total liabilities 6,634,974 4,061,634
Level 2 | Non-Agency mortgage-backed securities    
Assets:    
Non-Agency mortgage-backed securities   $ 906,722
Level 2 | Residential Mortgage    
Assets:    
Residential mortgage loans 310,148  
Level 3    
Assets:    
Mortgage servicing rights 492,169  
Total assets $ 492,169  
[1] Derived from the audited consolidated financial statements at December 31, 2015.
[2] Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $4.0 billion and $2.6 billion at September 30, 2016 and December 31, 2015, respectively.
[3] Includes $96.0 million and $0 at September 30, 2016 and December 31, 2015, respectively, of non-Agency mortgage-backed securities pledged as collateral in a consolidated VIE and eliminated from the Company's Consolidated Statements of Financial Condition.
XML 98 R86.htm IDEA: XBRL DOCUMENT v3.5.0.2
Information about Significant Unobservable Inputs Used for Recurring Fair Value Measurements for Level 3 MSRs (Detail) - Fair Value, Measurements, Recurring - Level 3 - Mortgage Servicing Rights
 9 Months Ended
Sep. 30, 2016
USD ($)
 [1]
Minimum  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Unobservable Input, discount rate 10.00%
Unobservable Input, Prepayment rate 6.30%
Unobservable Input, Delinquency rate 0.00%
Unobservable Input, Cost to service $ 84
Maximum  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Unobservable Input, discount rate 15.00%
Unobservable Input, Prepayment rate 43.20%
Unobservable Input, Delinquency rate 8.00%
Unobservable Input, Cost to service $ 146
Weighted Average  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Unobservable Input, discount rate 10.40%
Unobservable Input, Prepayment rate 20.10%
Unobservable Input, Delinquency rate 2.00%
Unobservable Input, Cost to service $ 100
[1] Represents rates, estimates and assumptions that the Company believes would be used by market participants when valuing these assets.
XML 99 R87.htm IDEA: XBRL DOCUMENT v3.5.0.2
Estimated Fair Values for All Financial Assets and Liabilities (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Financial assets:    
Agency mortgage-backed securities $ 73,476,105 $ 65,718,224
Agency debentures [1]   152,038
Credit risk transfer securities 669,295 456,510 [1]
Non-Agency mortgage-backed securities 1,460,261  
Residential mortgage loans [2] 310,148  
Mortgage servicing rights 492,169  
Commercial real estate debt investments [3] 4,319,077 2,911,828 [1]
Interest rate swaps 113,253 19,642 [1]
Other derivatives 87,921 22,066
Financial liabilities:    
Other secured financing 3,804,742 1,845,048 [1]
Securitized debt of consolidated VIE [4] 3,712,821 2,540,711 [1]
Interest rate swaps 2,919,492 1,677,571 [1]
Other derivatives 73,445 49,963
Level 1    
Financial assets:    
Other derivatives 26,985 12,443
Financial liabilities:    
Other derivatives 70,784 32,778
Level 2    
Financial assets:    
Agency mortgage-backed securities 73,476,105 65,718,224
Agency debentures   152,038
Credit risk transfer securities 669,295 456,510
Non-Agency mortgage-backed securities 1,460,261  
Commercial real estate debt investments 4,319,077 2,911,828
Interest rate swaps 113,253 19,642
Other derivatives 60,936 9,623
Financial liabilities:    
Interest rate swaps 2,919,492 1,677,571
Other derivatives 2,661 17,185
Estimate of Fair Value, Fair Value Disclosure    
Financial assets:    
Commercial loans held for sale, net 144,275 278,600
Estimate of Fair Value, Fair Value Disclosure | Level 1    
Financial assets:    
Cash and cash equivalents 2,382,188 1,769,258
Estimate of Fair Value, Fair Value Disclosure | Level 2    
Financial assets:    
Agency mortgage-backed securities 73,476,105 65,718,224
Agency debentures   152,038
Credit risk transfer securities 669,295 456,510
Non-Agency mortgage-backed securities 1,460,261 906,722
Commercial real estate debt investments 4,319,077 2,911,828
Corporate debt 714,672 470,894
Interest rate swaps 113,253 19,642
Residential mortgage loans 310,148  
Financial liabilities:    
Securitized debt of consolidated VIE 3,712,821 2,541,193
Participation sold 12,908 13,138
Interest rate swaps 2,919,492 1,677,571
Estimate of Fair Value, Fair Value Disclosure | Level 3    
Financial assets:    
Mortgage servicing rights 492,169  
Commercial real estate debt and preferred equity, held for investment 1,069,089 1,350,968
Financial liabilities:    
Mortgage payable 346,718 339,849
Estimate of Fair Value, Fair Value Disclosure | Level 1, Level 2    
Financial assets:    
Other derivatives 87,921 22,066
Financial liabilities:    
Repurchase agreements 61,857,552 56,361,623
Other secured financing 3,806,477 1,846,095
Other derivatives 73,445 49,963
Carrying (Reported) Amount, Fair Value Disclosure    
Financial assets:    
Commercial loans held for sale, net 144,275 278,600
Carrying (Reported) Amount, Fair Value Disclosure | Level 1    
Financial assets:    
Cash and cash equivalents 2,382,188 1,769,258
Carrying (Reported) Amount, Fair Value Disclosure | Level 2    
Financial assets:    
Agency mortgage-backed securities 73,476,105 65,718,224
Agency debentures   152,038
Credit risk transfer securities 669,295 456,510
Non-Agency mortgage-backed securities 1,460,261 906,722
Residential mortgage loans 310,148  
Commercial real estate debt investments 4,319,077 2,911,828
Corporate debt 716,831 488,508
Interest rate swaps [5],[6] 113,253 19,642
Financial liabilities:    
Securitized debt of consolidated VIE 3,712,821 2,540,711
Participation sold 12,976 13,286
Interest rate swaps 2,919,492 1,677,571
Carrying (Reported) Amount, Fair Value Disclosure | Level 3    
Financial assets:    
Mortgage servicing rights 492,169  
Commercial real estate debt and preferred equity, held for investment 1,070,197 1,348,817
Financial liabilities:    
Mortgage payable 327,632 334,707
Carrying (Reported) Amount, Fair Value Disclosure | Level 1, Level 2    
Financial assets:    
Other derivatives 87,921 22,066
Financial liabilities:    
Repurchase agreements 61,784,121 56,230,860
Other secured financing 3,804,742 1,845,048
Other derivatives $ 73,445 $ 49,963
[1] Derived from the audited consolidated financial statements at December 31, 2015.
[2] Includes securitized mortgage loans of a consolidated VIE carried at fair value of $176.7 million and $0 at September 30, 2016 and December 31, 2015, respectively.
[3] Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $4.0 billion and $2.6 billion at September 30, 2016 and December 31, 2015, respectively.
[4] Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion and $2.4 billion at September 30, 2016 and December 31, 2015, respectively.
[5] Excludes Loans held for sale, net.
[6] Includes a held-to-maturity debt security carried at amortized cost of $84.4 million and $74.7 million as of September 30, 2016 and December 31, 2015, respectively. The held-to-maturity debt security had a fair value of $84.6 million and $61.3 million as of September 30, 2016 and December 31, 2015, respectively.
XML 100 R88.htm IDEA: XBRL DOCUMENT v3.5.0.2
Estimated Fair Values for All Financial Assets and Liabilities (Parenthetical) (Detail) - USD ($)
$ in Millions
Sep. 30, 2016
Dec. 31, 2015
Fair Value Disclosures [Abstract]    
Held-to-maturity debt security, fair value $ 84.6 $ 61.3
Held-to-maturity debt security, amortized cost $ 84.4 $ 74.7
XML 101 R89.htm IDEA: XBRL DOCUMENT v3.5.0.2
Secured Financing - Additional Information (Detail) - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2016
Dec. 31, 2015
Repurchase Agreements:    
Repurchase agreements - outstanding $ 61,784,121 $ 56,230,860 [1]
Repurchase agreements - weighted average borrowing rates 1.71% 1.83%
Repurchase agreements - weighted average remaining maturities (in days) 128 days 151 days
Other secured financing long term, amount $ 3,804,742 $ 1,845,048 [1]
Secured financings and interest rate swaps - collateral held, estimated fair value 71,100,000 62,300,000
Secured financings and interest rate swaps - collateral held, accrued interest $ 214,300 $ 171,700
FHLB De Moines    
Repurchase Agreements:    
Debt weighted average interest rate 0.65% 0.59%
FHLB De Moines | Matured Within 90 Days    
Repurchase Agreements:    
Other secured financing long term, amount   $ 402,800
Other secured financing short term amount, expiration period   90 days
FHLB De Moines | Maturity Period Beyond Three Years    
Repurchase Agreements:    
Other secured financing long term, amount $ 3,600,000 $ 1,400,000
Other secured financing short term amount, expiration period 3 years 3 years
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 102 R90.htm IDEA: XBRL DOCUMENT v3.5.0.2
Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Repurchase Agreements:    
Repurchase agreements $ 61,784,121 $ 56,230,860 [1]
Weighted Average Rate 1.07% 0.90%
Credit Risk Transfer Securities    
Repurchase Agreements:    
Repurchase agreements $ 321,997 $ 142,853
Non Agency MBS    
Repurchase Agreements:    
Repurchase agreements 803,869 435,581
Commercial Loan    
Repurchase Agreements:    
Repurchase agreements 295,117 179,428
Agency Mortgage Backed Securities    
Repurchase Agreements:    
Repurchase agreements 60,363,138 55,472,998
2 to 29 days    
Repurchase Agreements:    
Repurchase agreements $ 26,508,338 $ 20,467,487
Weighted Average Rate 0.99% 0.69%
2 to 29 days | Credit Risk Transfer Securities    
Repurchase Agreements:    
Repurchase agreements $ 250,347 $ 83,664
2 to 29 days | Non Agency MBS    
Repurchase Agreements:    
Repurchase agreements 496,798 260,359
2 to 29 days | Agency Mortgage Backed Securities    
Repurchase Agreements:    
Repurchase agreements 25,761,193 20,123,464
30 to 59 days    
Repurchase Agreements:    
Repurchase agreements $ 5,200,350 $ 8,023,209
Weighted Average Rate 0.86% 0.74%
30 to 59 days | Credit Risk Transfer Securities    
Repurchase Agreements:    
Repurchase agreements $ 71,650 $ 59,189
30 to 59 days | Non Agency MBS    
Repurchase Agreements:    
Repurchase agreements 191,132 65,374
30 to 59 days | Agency Mortgage Backed Securities    
Repurchase Agreements:    
Repurchase agreements 4,937,568 7,898,646
60 to 89 days    
Repurchase Agreements:    
Repurchase agreements $ 6,173,598 $ 4,125,426
Weighted Average Rate 0.85% 0.74%
60 to 89 days | Non Agency MBS    
Repurchase Agreements:    
Repurchase agreements $ 115,939 $ 78,833
60 to 89 days | Agency Mortgage Backed Securities    
Repurchase Agreements:    
Repurchase agreements 6,057,659 4,046,593
90 to 119 days    
Repurchase Agreements:    
Repurchase agreements $ 5,309,103 $ 4,846,580
Weighted Average Rate 0.79% 0.60%
90 to 119 days | Agency Mortgage Backed Securities    
Repurchase Agreements:    
Repurchase agreements $ 5,309,103 $ 4,846,580
Over 120 days    
Repurchase Agreements:    
Repurchase agreements $ 18,592,732 $ 18,768,158
Weighted Average Rate 1.39% 1.33%
Over 120 days | Non Agency MBS    
Repurchase Agreements:    
Repurchase agreements   $ 31,015
Over 120 days | Commercial Loan    
Repurchase Agreements:    
Repurchase agreements $ 295,117 179,428
Over 120 days | Agency Mortgage Backed Securities    
Repurchase Agreements:    
Repurchase agreements $ 18,297,615 $ 18,557,715
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 103 R91.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Gross Amounts, Amounts Offset and Net Amounts of Repurchase Agreement and Reverse Repurchase Agreement (Detail) - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2016
Dec. 31, 2015
Disclosure of Repurchase Agreements [Abstract]    
Gross amounts -reverse repurchase agreements $ 500,000  
Amounts offset - reverse repurchase agreement (500,000)  
Netted amounts -reverse repurchase 0 $ 0
Gross amounts -repurchase agreement 62,284,121 56,230,860
Amounts offset -repurchase agreement (500,000)  
Netted amounts -repurchase agreement $ 61,784,121 $ 56,230,860 [1]
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 104 R92.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Fair Value Information about Derivative Assets and Liabilities (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Derivatives, Fair Value [Line Items]    
Interest rate swaps, at fair value $ 113,253 $ 19,642 [1]
Other derivatives, at fair value 87,921 22,066 [1]
Derivative assets 201,174 41,708
Other derivatives, at fair value 73,445 49,963 [1]
Interest rate swaps, at fair value 2,919,492 1,677,571 [1]
Derivative liabilities 2,992,937 1,727,534
Futures Derivatives    
Derivatives, Fair Value [Line Items]    
Other derivatives, at fair value 26,986 12,444
Other derivatives, at fair value 70,784 32,778
Purchase Commitments    
Derivatives, Fair Value [Line Items]    
Other derivatives, at fair value 48  
Other derivatives, at fair value 9  
Interest Rate Swaptions    
Derivatives, Fair Value [Line Items]    
Other derivatives, at fair value 1,527  
Other derivatives, at fair value 2,105  
Interest rate swaps, at fair value 2,105  
TBA Derivatives    
Derivatives, Fair Value [Line Items]    
Other derivatives, at fair value 59,360 9,622
Other derivatives, at fair value $ 547 $ 17,185
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 105 R93.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Characteristics of Interest Rate Swaps (Detail) - Interest Rate Swaps - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2016
Dec. 31, 2015
Derivative Instruments:    
Current Notional [1] $ 25,225,333 $ 30,185,086
Weighted Average Pay Rate [2],[3] 2.25% 2.26%
Weighted Average Receive Rate [2] 0.88% 0.53%
Weighted Average Years to Maturity [2] 6 years 10 months 21 days 7 years 7 days
0 - 3 years    
Derivative Instruments:    
Derivative Instruments minimum maturity period 0 years 0 years
Derivative Instruments maximum maturity period 3 years 3 years
Current Notional [1] $ 4,552,383 $ 3,240,436
Weighted Average Pay Rate [2],[3] 1.74% 1.85%
Weighted Average Receive Rate [2] 0.76% 0.36%
Weighted Average Years to Maturity [2] 2 years 9 months 7 days 1 year 9 months 18 days
3 - 6 years    
Derivative Instruments:    
Derivative Instruments minimum maturity period 3 years 3 years
Derivative Instruments maximum maturity period 6 years 6 years
Current Notional [1] $ 9,675,000 $ 11,675,000
Weighted Average Pay Rate [2],[3] 1.92% 1.82%
Weighted Average Receive Rate [2] 0.88% 0.55%
Weighted Average Years to Maturity [2] 4 years 1 month 21 days 4 years 3 months
6 - 10 years    
Derivative Instruments:    
Derivative Instruments minimum maturity period 6 years 6 years
Derivative Instruments maximum maturity period 10 years 10 years
Current Notional [1] $ 7,363,550 $ 11,635,250
Weighted Average Pay Rate [2],[3] 2.34% 2.44%
Weighted Average Receive Rate [2] 0.98% 0.57%
Weighted Average Years to Maturity [2] 7 years 9 months 22 days 7 years 11 months 1 day
Greater than 10 years    
Derivative Instruments:    
Derivative Instruments minimum maturity period 10 years 10 years
Current Notional [1] $ 3,634,400 $ 3,634,400
Weighted Average Pay Rate [2],[3] 3.70% 3.70%
Weighted Average Receive Rate [2] 0.67% 0.43%
Weighted Average Years to Maturity [2] 18 years 7 months 13 days 19 years 4 months 13 days
[1] There were no forward starting swaps as of September 30, 2016. Notional amount includes $500.0 million in forward starting pay fixed swaps as of December 31, 2015.
[2] Excludes forward starting swaps.
[3] There were no forward starting swaps as of September 30, 2016. Weighted average fixed rate on forward starting pay fixed swaps was 1.44% as of December 31, 2015.
XML 106 R94.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Characteristics of Interest Rate Swaps (Parenthetical) (Detail) - Forward Starting Pay Fixed Swaps - USD ($)
Sep. 30, 2016
Dec. 31, 2015
Derivative Instruments:    
Notional amount $ 0 $ 500,000,000
Weighted average fixed rate 0.00% 1.44%
XML 107 R95.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Swaptions Outstanding (Detail) - Interest Rate Swaptions
 9 Months Ended
Sep. 30, 2016
USD ($)
Long  
Derivative Instruments:  
Current Underlying Notional $ 950,000,000
Years to Maturity 2 years 2 months 27 days
Months to Expiration 2 years 9 months 7 days
Underlying Pay Rate 1.08%
Underlying Receive Rate 3M LIBOR
Short  
Derivative Instruments:  
Underlying Pay Rate 3M LIBOR
Underlying Receive Rate 1.54
Current Underlying Notional $ (200,000,000)
Years to Maturity 10 years 3 months
Months to Expiration 2 years 9 months 7 days
XML 108 R96.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Characteristics of TBA Derivatives (Detail) - TBA Derivatives - Long - USD ($)
 9 Months Ended 12 Months Ended
Sep. 30, 2016
Dec. 31, 2015
Derivative Instruments:    
Notional $ 15,950,000,000 $ 13,761,000,000
Implied Cost Basis 16,671,196,000 14,177,338,000
Implied Market Value 16,730,009,000 14,169,775,000
Carrying Value $ 58,813,000 $ (7,563,000)
XML 109 R97.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Certain Characteristics of Futures Derivatives (Detail) - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2016
Dec. 31, 2015
Swap Equivalent Eurodollar Futures Contract | 2-year    
Derivative Instruments:    
Derivative Instruments, maturity period 2 years 2 years
Weighted Average Years to Maturity 2 years 2 years
Swap Equivalent Eurodollar Futures Contract | Short | 2-year    
Derivative Instruments:    
Notional $ 14,991,375 $ 7,000,000
Us Treasury Futures | 5 year    
Derivative Instruments:    
Derivative Instruments, maturity period 5 years 5 years
Weighted Average Years to Maturity 4 years 5 months 1 day 4 years 5 months 1 day
Us Treasury Futures | 10 year and greater    
Derivative Instruments:    
Derivative Instruments minimum maturity period   10 years
Weighted Average Years to Maturity   6 years 11 months 1 day
Us Treasury Futures | Short | 5 year    
Derivative Instruments:    
Notional $ 1,247,200 $ 1,847,200
Us Treasury Futures | Short | 10 year and greater    
Derivative Instruments:    
Notional   $ 655,600
Futures Derivatives    
Derivative Instruments:    
Weighted Average Years to Maturity 2 years 2 months 9 days 2 years 9 months 22 days
Futures Derivatives | Short    
Derivative Instruments:    
Notional $ 16,238,575 $ 9,502,800
XML 110 R98.htm IDEA: XBRL DOCUMENT v3.5.0.2
Offsetting of Derivative Assets and Liabilities (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Offsetting Assets [Line Items]    
Gross Amounts, Liabilities $ 73,445 $ 49,963 [1]
Futures Derivatives    
Offsetting Assets [Line Items]    
Gross Amounts, Assets 26,986 12,443
Amounts Eligible for Offset -Financial Instruments, Assets (26,986) (10,868)
Amounts Eligible for Offset-Cash Collateral, Assets 0 0
Net Amounts, Assets   1,575
Gross Amounts, Liabilities 70,784 32,778
Amounts Eligible for Offset-Financial Instruments, Liabilities (26,986) (10,868)
Amounts Eligible for Offset -Cash Collateral, Liabilities (43,798) (21,910)
Purchase Commitments    
Offsetting Assets [Line Items]    
Gross Amounts, Assets 48  
Amounts Eligible for Offset-Cash Collateral, Assets 0  
Net Amounts, Assets 48  
Gross Amounts, Liabilities 9  
Net Amounts, Liabilities 9  
Interest Rate Swaps    
Offsetting Assets [Line Items]    
Gross Amounts, Assets 113,253 19,642
Amounts Eligible for Offset -Financial Instruments, Assets (113,253) (18,040)
Amounts Eligible for Offset-Cash Collateral, Assets 0 0
Net Amounts, Assets   1,602
Gross Amounts, Liabilities 2,919,492 1,677,571
Amounts Eligible for Offset-Financial Instruments, Liabilities (113,253) (18,040)
Amounts Eligible for Offset -Cash Collateral, Liabilities (1,657,612) (913,576)
Net Amounts, Liabilities 1,148,627 745,955
TBA Derivatives    
Offsetting Assets [Line Items]    
Gross Amounts, Assets 59,360  
Amounts Eligible for Offset -Financial Instruments, Assets (406)  
Amounts Eligible for Offset-Cash Collateral, Assets 0  
Net Amounts, Assets 58,954  
Gross Amounts, Liabilities 547 17,185
Amounts Eligible for Offset-Financial Instruments, Liabilities (406) (7,367)
Net Amounts, Liabilities 141 9,818
Interest Rate Swaptions    
Offsetting Assets [Line Items]    
Gross Amounts, Assets 1,527 9,622
Amounts Eligible for Offset -Financial Instruments, Assets (1,527) (7,367)
Amounts Eligible for Offset-Cash Collateral, Assets 0 0
Net Amounts, Assets   $ 2,255
Gross Amounts, Liabilities 2,105  
Amounts Eligible for Offset-Financial Instruments, Liabilities (1,527)  
Net Amounts, Liabilities $ 578  
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 111 R99.htm IDEA: XBRL DOCUMENT v3.5.0.2
Derivative Instruments - Effect of Interest Rate Swaps on Consolidated Statements of Comprehensive Income (Loss) (Detail) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]        
Realized gains (losses) on interest rate swaps [1],[2] $ (124,572) $ (162,304) $ (402,809) $ (465,008)
Realized gain (losses) on termination of interest rate swaps 1,337   (58,727) (226,462)
Unrealized gains (losses) on interest rate swaps $ 256,462 $ (822,585) $ (1,148,478) $ (587,995)
[1] Consists of interest expense on interest rate swaps.
[2] Interest expense related to the Company's interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss).
XML 112 R100.htm IDEA: XBRL DOCUMENT v3.5.0.2
Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Detail) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Derivative Instruments:        
Unrealized Gain (Loss) $ 256,462 $ (822,585) $ (1,148,478) $ (587,995)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets 162,981 108,179 370,034 (12,942)
Us Treasury Futures        
Derivative Instruments:        
Realized Gain (Loss) (47,035) (36,468) (169,716) (51,205)
Unrealized Gain (Loss) 110,218 (105,199) (23,465) (109,974)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets 63,183 (141,667) (193,181) (161,179)
Purchase Commitments        
Derivative Instruments:        
Unrealized Gain (Loss) 116   116  
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets 116   116  
TBA Derivatives        
Derivative Instruments:        
Realized Gain (Loss) [1] 174,086 168,292 492,450 61,846
Unrealized Gain (Loss) [1] (78,677) 81,560 66,376 91,773
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets [1] 95,409 249,852 558,826 153,619
Interest Rate Swaptions        
Derivative Instruments:        
Realized Gain (Loss) 4,180 (11,525) 4,180 (41,016)
Unrealized Gain (Loss) 93 11,519 93 35,634
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets $ 4,273 $ (6) $ 4,273 $ (5,382)
[1] Includes options on TBA contracts.
XML 113 R101.htm IDEA: XBRL DOCUMENT v3.5.0.2
Derivative Instruments - Additional Information (Detail)
$ in Billions
Sep. 30, 2016
USD ($)
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative instruments, net liability position, aggregate fair value $ 2.7
XML 114 R102.htm IDEA: XBRL DOCUMENT v3.5.0.2
Convertible Senior Notes - Additional Information (Detail) - USD ($)
$ in Thousands
 1 Months Ended 9 Months Ended 12 Months Ended
Feb. 28, 2015
May 31, 2012
Sep. 30, 2015
Dec. 31, 2010
May 31, 2015
Dec. 31, 2012
Convertible Senior Notes:            
Repayment of convertible senior notes     $ 857,541      
Convertible Senior Notes 4.00 Percent Due 2015            
Convertible Senior Notes:            
Issued convertible senior notes, aggregate principal amount       $ 600,000    
Senior debt maturity date       2015-02    
Issued convertible senior notes, interest rate       4.00%    
Issued convertible senior notes, net proceeds following underwriting expenses       $ 582,000    
Repurchase of Convertible senior notes           $ 492,500
Repayment of convertible senior notes $ 107,500          
Convertible Senior Notes 5.00 Percent Due 2015            
Convertible Senior Notes:            
Issued convertible senior notes, aggregate principal amount   $ 750,000        
Issued convertible senior notes, interest rate   5.00%        
Issued convertible senior notes, net proceeds following underwriting expenses   $ 727,500        
Debt instrument face amount         $ 750,000  
XML 115 R103.htm IDEA: XBRL DOCUMENT v3.5.0.2
Common Stock and Preferred Stock - Additional Information (Detail) - USD ($)
 1 Months Ended 9 Months Ended 12 Months Ended
Jul. 12, 2016
Jul. 31, 2016
Sep. 30, 2016
Sep. 30, 2015
Dec. 31, 2015
Aug. 31, 2015
Class of Stock [Line Items]            
Common Stock, par value     $ 0.01   $ 0.01 [1]  
Common Stock, shares authorized     1,945,437,500   1,956,937,500 [1]  
Common Stock, shares issued     1,018,857,866   935,929,561 [1]  
Common Stock, shares outstanding     1,018,857,866   935,929,561 [1]  
Options exercised under incentive plans, shares     0 0    
Direct purchase and dividend reinvestment program - value raised     $ 1,795,000 $ 1,724,000    
Direct purchase and dividend reinvestment program - issued shares     172,000 168,000    
Common stock repurchase program, authorized amount           $ 1,000,000,000
Common stock repurchase program, repurchased share     11,132,226      
Common stock repurchase program, repurchased value     $ 102,700,000      
Description of common stock equity distribution agreement     In March 2012, the Company entered into six separate Distribution Agency Agreements ("Distribution Agency Agreements") with each of Merrill Lynch; Pierce, Fenner & Smith Incorporated; Credit Suisse Securities (USA) LLC; Goldman, Sachs & Co.; J.P. Morgan Securities LLC; Morgan Stanley & Co. LLC; and RCap Securities, Inc. (together, the Agents).      
Date of Distribution Agency Agreement with six separate Agents     2012-03      
Number of common shares authorized for issuance under the Distribution Agency Agreement     125,000,000 125,000,000    
Hatteras | Common Stock            
Class of Stock [Line Items]            
Business acquisition, shares issued 93,900,000 93,900,000        
7.625% Series C Cumulative Redeemable Preferred Stock            
Class of Stock [Line Items]            
Preferred Stock, shares authorized     12,650,000   12,650,000 [1]  
Preferred Stock, shares issued     12,000,000   12,000,000 [1]  
Preferred Stock, shares outstanding     12,000,000   12,000,000 [1]  
Preferred Stock, par value     $ 0.01   $ 0.01  
Preferred Stock liquidation preference, per share     $ 25.00   $ 25.00  
Preferred Stock dividend rate, percentage     7.625%   7.625%  
Preferred Stock redeemable price, per share     $ 25.00   $ 25.00  
Preferred Stock redemption date     May 16, 2017      
7.50% Series D Cumulative Redeemable Preferred Stock            
Class of Stock [Line Items]            
Preferred Stock, shares authorized     18,400,000   18,400,000 [1]  
Preferred Stock, shares issued     18,400,000   18,400,000 [1]  
Preferred Stock, shares outstanding     18,400,000   18,400,000 [1]  
Preferred Stock, par value     $ 0.01   $ 0.01  
Preferred Stock liquidation preference, per share     $ 25.00   $ 25.00  
Preferred Stock dividend rate, percentage     7.50%   7.50%  
Preferred Stock redeemable price, per share     $ 25.00   $ 25.00  
Preferred Stock redemption date     Sep. 13, 2017      
7.625% Series E Cumulative Redeemable Preferred Stock            
Class of Stock [Line Items]            
Preferred Stock, shares authorized     11,500,000   11,500,000 [1]  
Preferred Stock, shares issued     11,500,000   11,500,000 [1]  
Preferred Stock, shares outstanding     11,500,000   11,500,000 [1]  
Preferred Stock, par value     $ 0.01      
Preferred Stock liquidation preference, per share     $ 25.00      
Preferred Stock dividend rate, percentage     7.625%      
Preferred Stock redeemable price, per share     $ 25.00      
Preferred Stock redemption date     Aug. 27, 2017      
7.875% Series A Cumulative Redeemable Preferred Stock            
Class of Stock [Line Items]            
Preferred Stock, shares authorized     7,412,500   7,412,500 [1]  
Preferred Stock, shares issued     7,412,500   7,412,500 [1]  
Preferred Stock, shares outstanding     7,412,500   7,412,500 [1]  
Preferred Stock, par value     $ 0.01   $ 0.01  
Preferred Stock liquidation preference, per share     $ 25.00   $ 25.00  
Preferred Stock dividend rate, percentage     7.875%   7.875%  
Preferred Stock redeemable price, per share     $ 25.00   $ 25.00  
Preferred Stock redemption date     Apr. 05, 2009      
6.00% Series B Cumulative Convertible Preferred Stock            
Class of Stock [Line Items]            
Preferred Stock, shares authorized     4,600,000      
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 116 R104.htm IDEA: XBRL DOCUMENT v3.5.0.2
Summary of Dividend Distribution Activity (Detail) - USD ($)
$ / shares in Units, $ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Class of Stock [Line Items]        
Distributions declared to common stockholders     $ 857,223 $ 852,989
Distributions declared per common share $ 0.30 $ 0.30 $ 0.9 $ 0.9
Distributions paid to common stockholders after period end     $ 269,111 $ 284,348
Distributions paid per common share after period end     $ 0.26 $ 0.30
Date of distributions paid to common stockholders after period end     Oct. 31, 2016 Oct. 30, 2015
7.875% Series A Cumulative Redeemable Preferred Stock        
Class of Stock [Line Items]        
Preferred dividends declared     $ 10,944 $ 10,944
Preferred series dividends declared, per share     $ 1.477 $ 1.477
7.625% Series C Cumulative Redeemable Preferred Stock        
Class of Stock [Line Items]        
Preferred dividends declared     $ 17,157 $ 17,157
Preferred series dividends declared, per share     $ 1.430 $ 1.430
7.50% Series D Cumulative Redeemable Preferred Stock        
Class of Stock [Line Items]        
Preferred dividends declared     $ 25,875 $ 25,875
Preferred series dividends declared, per share     $ 1.406 $ 1.406
7.625% Series E Cumulative Redeemable Preferred Stock        
Class of Stock [Line Items]        
Preferred dividends declared     $ 4,811  
Preferred series dividends declared, per share     $ 0.477  
XML 117 R105.htm IDEA: XBRL DOCUMENT v3.5.0.2
Components of Company's Interest Income and Interest Expense (Detail) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Interest income:        
Residential Investment Securities $ 493,226 $ 399,702 $ 1,203,793 $ 1,448,434
Residential mortgage loans 1,608   1,608  
Commercial investment portfolio [1] 61,240 50,204 191,005 142,969
Reverse repurchase agreements 2,594 820 7,523 2,714
Total interest income 558,668 450,726 1,403,929 1,594,117
Interest expense:        
Repurchase agreements 154,083 103,823 423,150 307,796
Convertible Senior Notes       29,740
Securitized debt of consolidated VIEs 12,046 6,111 32,305 14,468
Participation sold 157 161 472 479
Other 7,868 202 18,429 306
Total interest expense 174,154 110,297 474,356 352,789
Net interest income $ 384,514 $ 340,429 $ 929,573 $ 1,241,328
[1] Includes commercial real estate debt, preferred equity and corporate debt.
XML 118 R106.htm IDEA: XBRL DOCUMENT v3.5.0.2
Goodwill - Additional Information (Detail) - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Goodwill and Intangible Assets Disclosure [Abstract]    
Goodwill $ 71,815 $ 71,815 [1]
[1] Derived from the audited consolidated financial statements at December 31, 2015.
XML 119 R107.htm IDEA: XBRL DOCUMENT v3.5.0.2
Schedule of Net Income (Loss) per Share Reconciliation (Detail) - USD ($)
$ / shares in Units, $ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Earnings Per Share [Abstract]        
Net income (loss) $ 730,880 $ (627,491) $ (415,697) $ (203,919)
Less: Net income (loss) attributable to noncontrolling interest (336) (197) (883) (436)
Net income (loss) attributable to Annaly 731,216 (627,294) (414,814) (203,483)
Less: Preferred stock dividends 22,803 17,992 58,787 53,976
Net income (loss) available (related) to common stockholders, prior to adjustment for dilutive potential common shares, if necessary 708,413 (645,286) (473,601) (257,459)
Add: Interest on Convertible Senior Notes, if dilutive 0 0 0 0
Net income (loss) available to common stockholders, as adjusted $ 708,413 $ (645,286) $ (473,601) $ (257,459)
Weighted average shares of common stock outstanding-basic 1,007,607,893 947,795,500 953,301,855 947,732,735
Add: Effect of stock awards and Convertible Senior Notes, if dilutive 355,513      
Weighted average shares of common stock outstanding-diluted 1,007,963,406 947,795,500 953,301,855 947,732,735
Net income (loss) per share available (related) to common share:        
Basic $ 0.70 $ (0.68) $ (0.50) $ (0.27)
Diluted $ 0.70 $ (0.68) $ (0.50) $ (0.27)
XML 120 R108.htm IDEA: XBRL DOCUMENT v3.5.0.2
Net Income per Common Share - Additional Information (Detail) - shares
shares in Millions
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Earnings Per Share [Abstract]        
Options to purchase common stock outstanding that would be considered anti-dilutive 1.1 1.7 1.1 1.7
XML 121 R109.htm IDEA: XBRL DOCUMENT v3.5.0.2
Long-Term Stock Incentive Plans - Additional Information (Detail) - USD ($)
 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Long-Term Stock Incentive Plans:    
Weighted average remaining contractual term of stock options outstanding, years 1 year 8 months 12 days 2 years 9 months 18 days
Weighted average remaining contractual term of stock options exercisable, years 1 year 8 months 12 days 2 years 9 months 18 days
Unrecognized compensation cost $ 0 $ 0
Equity Incentive Plan 2010    
Long-Term Stock Incentive Plans:    
Long-term stock compensation - ceiling shares 25,000,000  
Stock Options    
Long-Term Stock Incentive Plans:    
Long-term stock compensation - vesting period 4 years  
Long-term stock compensation - vesting installments 4 years  
Long-term stock compensation - minimum contractual term 5 years  
Long-term stock compensation - maximum contractual term 10 years  
The Prior Plan | Minimum    
Long-Term Stock Incentive Plans:    
Long-term stock compensation - ceiling shares 500,000  
Long-term stock compensation - granting of options authorized, percent of diluted outstanding common stock 9.50%  
The Prior Plan | Maximum    
Long-Term Stock Incentive Plans:    
Long-term stock compensation - ceiling shares 8,932,921  
XML 122 R110.htm IDEA: XBRL DOCUMENT v3.5.0.2
Issued and Outstanding Stock Options (Detail) - $ / shares
 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Disclosure of Compensation Related Costs, Share-based Payments [Abstract]    
Options outstanding at the beginning of period 1,168,775 2,259,335
Granted 0 0
Exercised 0 0
Forfeited (6,400) (266,399)
Expired (36,750) (294,750)
Options outstanding at the end of period 1,125,625 1,698,186
Options exercisable at the end of period 1,125,625 1,698,186
Options outstanding at the beginning of year, weighted average exercise price $ 15.34 $ 15.35
Granted 0 0
Exercised 0 0
Forfeited 14.69 15.24
Expired 12.90 17.07
Options outstanding at the end of period, weighted average exercise price 15.43 15.07
Options exercisable at the end of period, exercise price $ 15.43 $ 15.07
XML 123 R111.htm IDEA: XBRL DOCUMENT v3.5.0.2
Income Taxes - Additional Information (Detail) - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Income Taxes:        
REIT Taxable income distributed     100.00%  
Income tax benefit for income and losses attributable to its TRSs $ (1,926) $ (370) $ (2,839) $ (8,039)
Years federal and state tax returns remain open for examination     2013  
Taxable REIT Subsidiary        
Income Taxes:        
Income tax benefit for income and losses attributable to its TRSs $ 1,900 $ 400 $ 2,800 $ 8,000
XML 124 R112.htm IDEA: XBRL DOCUMENT v3.5.0.2
Lease Commitments and Contingencies - Additional Information (Detail) - USD ($)
$ in Millions
 3 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Leases [Abstract]    
Aggregate future net minimum lease payments $ 33.8  
Lease expense $ 0.8 $ 0.8
XML 125 R113.htm IDEA: XBRL DOCUMENT v3.5.0.2
Lease Commitments and Contingencies (Detail)
$ in Thousands
Sep. 30, 2016
USD ($)
Commitments and Contingencies Disclosure [Abstract]  
Lease Commitment - 2016 remaining $ 924
Lease Commitment - 2017 3,697
Lease Commitment - 2018 3,641
Lease Commitment - 2019 3,565
Lease Commitment - 2020 3,652
Lease Commitment - Later years 18,343
Aggregate future minimum lease payments $ 33,822
XML 126 R114.htm IDEA: XBRL DOCUMENT v3.5.0.2
RCap Regulatory Requirements - Additional Information (Detail)
Sep. 30, 2016
USD ($)
Regulatory Capital Requirements [Abstract]  
Minimum net capital requirement $ 300,000
Regulatory net capital 391,200,000
Regulatory net capital, excess net capital $ 390,900,000
XML 127 R115.htm IDEA: XBRL DOCUMENT v3.5.0.2
Related Party Transactions - Additional Information (Detail) - USD ($)
 3 Months Ended 9 Months Ended
Nov. 05, 2014
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Dec. 31, 2015
Aug. 31, 2014
Aug. 07, 2014
Compensation and management fee   $ 38,709,000 $ 37,450,000 $ 111,754,000 $ 113,093,000      
Chimera                
Advisory fees from affiliate   0 3,800,000 $ 0 24,800,000      
Effective date       Aug. 08, 2014        
Management fee percentage             1.20% 0.75%
Amendment Agreement                
Basis for management fee       Amount equal to 1/12th of 1.05% of stockholders' equity        
Term of management agreement expiration date Dec. 31, 2016              
Renewal term 2 years              
Management agreement, termination, description       At least two-thirds of the Company's independent directors or the holders of a majority of the Company's outstanding shares of common stock elect to terminate the agreement in their sole discretion for any or no reason.        
Amendment Agreement | Minimum                
Management agreement, required period to terminate from the date of the notice 1 year              
Management Agreement                
Compensation and management fee   38,700,000 $ 37,500,000 $ 113,100,000 $ 111,800,000      
Management fee payable   $ 12,700,000   $ 12,700,000   $ 12,100,000    
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