0001275477-16-000145.txt : 20160511 0001275477-16-000145.hdr.sgml : 20160511 20160511152820 ACCESSION NUMBER: 0001275477-16-000145 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 76 CONFORMED PERIOD OF REPORT: 20160331 FILED AS OF DATE: 20160511 DATE AS OF CHANGE: 20160511 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BIMINI CAPITAL MANAGEMENT, INC. CENTRAL INDEX KEY: 0001275477 STANDARD INDUSTRIAL CLASSIFICATION: REAL ESTATE INVESTMENT TRUSTS [6798] IRS NUMBER: 721571637 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 001-32171 FILM NUMBER: 161639738 BUSINESS ADDRESS: STREET 1: 3305 FLAMINGO DRIVE CITY: VERO BEACH STATE: FL ZIP: 32963 BUSINESS PHONE: 772 231 1400 MAIL ADDRESS: STREET 1: 3305 FLAMINGO DRIVE CITY: VERO BEACH STATE: FL ZIP: 32963 FORMER COMPANY: FORMER CONFORMED NAME: Opteum Inc. DATE OF NAME CHANGE: 20060217 FORMER COMPANY: FORMER CONFORMED NAME: BIMINI MORTGAGE MANAGEMENT INC DATE OF NAME CHANGE: 20040106 10-Q 1 bmnm10q20160331.htm BMNM FORM 10-Q 2016-03-31 bmnm10q20160331.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM 10-Q
 

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

For the quarterly period ended March 31, 2016

¨           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:  001-32171
Bimini Capital Management, Inc.
(Exact name of registrant as specified in its charter)
 

     
Maryland
  
72-1571637
(State or other jurisdiction of
incorporation or organization)
  
(I.R.S. Employer
Identification No.)

3305 Flamingo Drive, Vero Beach, Florida 32963
(Address of principal executive offices) (Zip Code)

(772) 231-1400
(Registrant’s telephone number, including area code)

 


Indicate by check mark whether the registrant (1) has filed all 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 ý  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 ý No ¨
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company.  See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
 
Large accelerated filer ¨                                           Accelerated filer ¨                                           Non-accelerated filer ¨                                            Smaller Reporting Company ý
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).  Yes ¨  No ý
 
Indicate the number of shares outstanding of each of the Registrant’s classes of common stock, as of the latest practicable date:
 
Title of each Class
Latest Practicable Date
Shares Outstanding
Class A Common Stock, $0.001 par value
May 11, 2016
12,631,627
Class B Common Stock, $0.001 par value
May 11, 2016
31,938
Class C Common Stock, $0.001 par value
May 11, 2016
31,938
 
 
 

 
 
 

BIMINI CAPITAL MANAGEMENT, INC.

TABLE OF CONTENTS


   
Page
  
       
PART I. FINANCIAL INFORMATION
  
       
ITEM 1. Financial Statements
     1  
Consolidated Balance Sheets as of March 31, 2016 (unaudited) and December 31, 2015
     1  
Consolidated Statements of Operations (unaudited) for the three months ended March 31, 2016 and 2015
     2  
Consolidated Statement of Stockholders’ Equity (unaudited) for the three months ended March 31, 2016
     3  
Consolidated Statements of Cash Flows (unaudited) for the three months ended March 31, 2016 and 2015
     4  
ITEM 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
     22  
ITEM 3. Quantitative and Qualitative Disclosures About Market Risk
     40  
ITEM 4. Controls and Procedures
     41  
         
PART II. OTHER INFORMATION
  
         
ITEM 1. Legal Proceedings
     42  
ITEM 1A. Risk Factors
     42  
ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds
     42  
ITEM 3. Defaults Upon Senior Securities
     42  
ITEM 4. Mine Safety Disclosures
     42  
ITEM 5. Other Information
     42  
ITEM 6. Exhibits
     43  
SIGNATURES
     44  
 
 

 
 
 

PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
BIMINI CAPITAL MANAGEMENT, INC.
  
CONSOLIDATED BALANCE SHEETS
  
             
   
(Unaudited)
        
   
March 31, 2016
    
December 31, 2015
  
ASSETS:
            
Mortgage-backed securities, at fair value
            
Pledged to counterparties
   $ 107,160,357     $ 81,192,199  
Unpledged
     2,035,979       2,796,200  
Total mortgage-backed securities
     109,196,336       83,988,399  
Cash and cash equivalents
     3,140,142       6,310,683  
Restricted cash
     672,250       401,800  
Orchid Island Capital, Inc. common stock, at fair value
     14,466,523       13,852,707  
Retained interests in securitizations
     1,241,846       1,124,278  
Accrued interest receivable
     430,449       351,049  
Property and equipment, net
     3,470,370       3,492,612  
Deferred tax assets, net
     64,646,903       64,832,242  
Other assets
     2,902,065       2,701,655  
Total Assets
   $ 200,166,884     $ 177,055,425  
                 
LIABILITIES AND STOCKHOLDERS' EQUITY
                
                 
LIABILITIES:
                
Repurchase agreements
   $ 102,793,559     $ 77,234,249  
Junior subordinated notes due to Bimini Capital Trust II
     26,804,440       26,804,440  
Payable for unsettled securities purchased
     -       1,859,277  
Accrued interest payable
     74,213       83,957  
Other liabilities
     1,306,978       2,533,442  
Total Liabilities
     130,979,190       108,515,365  
                 
COMMITMENTS AND CONTINGENCIES
                
                 
STOCKHOLDERS' EQUITY:
                
Preferred stock, $0.001 par value; 10,000,000 shares authorized;  100,000 shares
                
designated Series A Junior Preferred Stock, 9,900,000 shares undesignated;
                
no shares issued and outstanding as of March 31, 2016 and 2015
     -       -  
Class A Common stock, $0.001 par value; 98,000,000 shares designated: 12,631,627
                
shares issued and outstanding as of March 31, 2016 and 12,373,294 shares
                
issued and outstanding as of December 31, 2015
     12,632       12,373  
Class B Common stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares
                
issued and outstanding as of March 31, 2016 and 2015
     32       32  
Class C Common stock, $0.001 par value; 1,000,000 shares designated, 31,938 shares
                
issued and outstanding as of March 31, 2016 and 2015
     32       32  
Additional paid-in capital
     334,831,647       334,630,263  
Accumulated deficit
     (265,656,649 )     (266,102,640 )
Stockholders’ equity
     69,187,694       68,540,060  
Total Liabilities and Stockholders' Equity
   $ 200,166,884     $ 177,055,425  
See Notes to Consolidated Financial Statements
  
 
 
 
-1-
 
 
 
BIMINI CAPITAL MANAGEMENT, INC.
  
CONSOLIDATED STATEMENTS OF OPERATIONS
  
(Unaudited)
  
For the Three Months Ended March 31, 2016 and 2015
  
             
   
2016
    
2015
  
Interest income
   $ 817,464     $ 1,207,134  
Interest expense
     (127,903 )     (100,192 )
Net interest income, before interest on junior subordinated notes
     689,561       1,106,942  
Interest expense on junior subordinated notes
     (263,611 )     (243,473 )
Net interest income
     425,950       863,469  
Unrealized (losses) gains on mortgage-backed securities
     (288,244 )     829,297  
Realized gains on mortgage-backed securities
     231,847       -  
Losses on derivative instruments
     (1,299,863 )     (1,014,700 )
Net portfolio (loss) income
     (930,310 )     678,066  
                 
Other income:
                
Advisory services
     1,269,019       1,094,655  
Gains on retained interests in securitizations
     546,020       1,485,756  
Unrealized gains on Orchid Island Capital, Inc. common stock
     613,816       186,516  
Orchid Island Capital, Inc. dividends
     585,915       530,099  
Other income
     230       262  
Total other income
     3,015,000       3,297,288  
                 
Expenses:
                
Compensation and related benefits
     795,710       784,103  
Directors' fees and liability insurance
     155,538       167,766  
Audit, legal and other professional fees
     157,073       334,777  
Settlement of litigation
     -       3,500,000  
Administrative and other expenses
     261,624       240,542  
Total expenses
     1,369,945       5,027,188  
                 
Net income (loss) before income tax provision
     714,745       (1,051,834 )
Income tax provision
     268,754       337,095  
                 
Net income (loss)
   $ 445,991     $ (1,388,929 )
                 
Basic and Diluted Net income (loss) Per Share of:
                
CLASS A COMMON STOCK
                
Basic and Diluted
   $ 0.04     $ (0.11 )
CLASS B COMMON STOCK
                
Basic and Diluted
   $ 0.04     $ (0.11 )
Weighted Average Shares Outstanding:
                
CLASS A COMMON STOCK
                
Basic and Diluted
     12,666,545       12,332,416  
CLASS B COMMON STOCK
                
Basic and Diluted
     31,938       31,938  
See Notes to Consolidated Financial Statements
  
 
 
 
-2-
 
 
 
BIMINI CAPITAL MANAGEMENT, INC.
  
CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY
  
(Unaudited)
  
For the Three Months Ended March 31, 2016
  
                         
 
Stockholders' Equity
      
   
Common
  
Additional
  
Accumulated
      
   
Stock
  
Paid-in Capital
  
Deficit
  
Total
  
Balances, January 1, 2016
   $ 12,437     $ 334,630,263     $ (266,102,640 )   $ 68,540,060  
Net income
     -       -       445,991       445,991  
Issuance of Class A common shares for equity plan exercises
     259       193,491       -       193,750  
Amortization of equity plan compensation
     -       7,893       -       7,893  
                                 
Balances, March 31, 2016
   $ 12,696     $ 334,831,647     $ (265,656,649 )   $ 69,187,694  
See Notes to Consolidated Financial Statements
  
 
 
 
-3-
 
 
BIMINI CAPITAL MANAGEMENT, INC.
  
CONSOLIDATED STATEMENTS OF CASH FLOWS
  
(Unaudited)
  
For the Three Months Ended March 31, 2016 and 2015
  
             
   
2016
    
2015
  
CASH FLOWS FROM OPERATING ACTIVITIES:
            
Net income (loss)
   $ 445,991     $ (1,388,929 )
Adjustments to reconcile net income (loss) to net cash used in operating activities:
                
Stock based compensation
     201,643       20,092  
Depreciation
     22,242       23,796  
Deferred income tax provision
     185,339       200,094  
Losses (gains) on mortgage-backed securities
     56,397       (829,297 )
Gains on retained interests in securitizations
     (546,020 )     (1,485,756 )
Unrealized gains on Orchid Island Capital, Inc. common stock
     (613,816 )     (186,516 )
Changes in operating assets and liabilities:
                
Accrued interest receivable
     (79,400 )     (12,495 )
Other assets
     (200,410 )     45,485  
Accrued interest payable
     (9,744 )     (13,407 )
Other liabilities
     (1,226,464 )     3,074,874  
NET CASH USED IN OPERATING ACTIVITIES
     (1,764,242 )     (552,059 )
                 
CASH FLOWS FROM INVESTING ACTIVITIES:
                
From mortgage-backed securities investments:
                
Purchases
     (53,818,309 )     (986,194 )
Sales
     25,799,167       -  
Principal repayments
     2,754,808       4,059,492  
Payments received on retained interests in securitizations
     428,452       995,531  
Increase in restricted cash
     (270,450 )     (31,320 )
Purchases of Orchid Island Capital, Inc. common stock
     (1,859,277 )     -  
NET CASH (USED IN) PROVIDED BY INVESTING ACTIVITIES
     (26,965,609 )     4,037,509  
                 
CASH FLOWS FROM FINANCING ACTIVITIES:
                
Proceeds from repurchase agreements
     211,634,019       234,227,774  
Principal repayments on repurchase agreements
     (186,074,709 )     (237,898,135 )
NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES
     25,559,310       (3,670,361 )
                 
NET DECREASE IN CASH AND CASH EQUIVALENTS
     (3,170,541 )     (184,911 )
CASH AND CASH EQUIVALENTS, beginning of the period
     6,310,683       4,699,059  
CASH AND CASH EQUIVALENTS, end of the period
   $ 3,140,142     $ 4,514,148  
                 
SUPPLEMENTAL DISCLOSURES OF CASH FLOW INFORMATION:
                
Cash paid during the period for:
                
Interest
   $ 401,258     $ 357,072  
Income taxes
   $ 473,700     $ 137,001  
                 
See Notes to Consolidated Financial Statements
  

 
-4-
 

BIMINI CAPITAL MANAGEMENT, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
March 31, 2016

NOTE 1.   ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization and Business Description

Bimini Capital Management, Inc., a Maryland corporation (“Bimini Capital” or the “Company”), was formed in September 2003 for the purpose of creating and managing a leveraged investment portfolio consisting of residential mortgage-backed securities (“MBS”).  In addition, the Company manages an MBS portfolio for Orchid Island Capital, Inc. (“Orchid”) and receives fees for providing these services.

Consolidation

The accompanying consolidated financial statements include the accounts of Bimini Capital, Bimini Advisors Holdings, LLC, and its wholly-owned subsidiary, Bimini Advisors, LLC (together “Bimini Advisors”), and MortCo TRS, LLC and its consolidated subsidiaries (“MortCo”). All inter-company accounts and transactions have been eliminated from the consolidated financial statements.

Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification (“ASC”) Topic 810, Consolidation, requires the consolidation of a variable interest entity (“VIE”) by an enterprise if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE, an ongoing assessment of whether an enterprise is the primary beneficiary of a VIE, and additional disclosures for entities that have variable interests in VIEs.  As further described in Note 8, Bimini Capital has a common share investment in a trust used in connection with the issuance of Bimini Capital’s junior subordinated notes.  Pursuant to ASC 810, management has concluded that, while the trust is a VIE, Bimini Capital’s common share investment in the trust is not a variable interest.  Therefore, the trust has not been consolidated in the financial statements of Bimini Capital, and accordingly, this investment has been accounted for on the equity method.

Basis of Presentation

The accompanying unaudited condensed consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Article 8 of Regulation S-X.  Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements.  In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included.  Operating results for the three month period ended March 31, 2016 are not necessarily indicative of the results that may be expected for the year ending December 31, 2016.

The consolidated balance sheet at December 31, 2015 has been derived from the audited financial statements at that date but does not include all of the information and footnotes required by GAAP for complete consolidated financial statements.  For further information, refer to the financial statements and footnotes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015.


 
-5-
 


Use of Estimates

The preparation of 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.  Significant estimates affecting the accompanying consolidated financial statements include the fair values of MBS, investment in Orchid common shares, derivatives, retained interests, asset valuation allowances and deferred tax asset allowances recorded for each accounting period.

Statement of Comprehensive Income

In accordance with ASC Topic 220, Comprehensive Income, a statement of comprehensive income has not been included as the Company has no items of other comprehensive income (loss).  Comprehensive income (loss) is the same as net income (loss) for all periods presented.

Cash and Cash Equivalents and Restricted Cash

Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase. Restricted cash includes cash pledged as collateral for repurchase agreements and derivative instruments.

The Company maintains cash balances at several banks, and at times these balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. The Federal Deposit Insurance Corporation insures eligible accounts up to $250,000 per depositor at each financial institution. At March 31, 2016, the Company’s cash deposits exceeded federally insured limits by approximately $1.7 million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty.  The Company limits uninsured balances to only large, well-known banks and derivative counterparties and believes that it is not exposed to significant credit risk on cash and cash equivalents or restricted cash balances.

Mortgage-Backed Securities

The Company invests primarily in mortgage pass-through (“PT”) certificates, collateralized mortgage obligations, and interest-only (“IO”) securities and inverse interest-only (“IIO”) securities representing interest in or obligations backed by pools of mortgage-backed loans. The Company has elected to account for its investment in MBS under the fair value option.  Electing the fair value option requires the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed.

The Company records MBS transactions on the trade date.  Security purchases that have not settled as of the balance sheet date are included in the MBS balance with an offsetting liability recorded, whereas securities sold that have not settled as of the balance sheet date are removed from the MBS balance with an offsetting receivable recorded.

The fair value of the Company’s investment in MBS is governed by ASC Topic 820, Fair Value Measurement.  The definition of fair value in ASC Topic 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date.  The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for MBS are based on independent pricing sources and/or third-party broker quotes, when available.

 
-6-
 
Income on PT MBS is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amortized.  Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains on MBS in the consolidated statements of operations.  For IO securities, the income is accrued based on the carrying value and the effective yield. The difference between income accrued and the interest received on the security is characterized as a return of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively from the reporting period based on the new estimate of prepayments and the contractual terms of the security.  For IIO securities, effective yield and income recognition calculations also take into account the index value applicable to the security.  Changes in fair value of MBS during each reporting period are recorded in earnings and reported as unrealized gains or losses on mortgage-backed securities in the accompanying consolidated statements of operations. The amount reported as unrealized gains or losses on mortgage backed securities thus captures the net effect of changes in the fair market value of securities caused by market developments and any premium or discount lost as a result of principal repayments during the period.

Orchid Island Capital, Inc. Common Stock

The Company elected the fair value option for its continuing investment in Orchid common shares.  The change in the fair value of this investment and dividends received on this investment are reflected in other income in the consolidated statements of operations.  We estimate the fair value of our investment in Orchid on a market approach using “Level 1” inputs based on the quoted market price of Orchid’s common stock. Electing the fair value option requires the Company to record changes in fair value in the consolidated statements of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with how the investment is managed.

Advisory Services

Orchid is externally managed and advised by Bimini Advisors pursuant to the terms of a management agreement.  Under the terms of the management agreement, Orchid is obligated to pay Bimini Advisors a monthly management fee and a pro rata portion of certain overhead costs and to reimburse the Company for any direct expenses incurred on its behalf.

Retained Interests in Securitizations

Retained interests in the subordinated tranches of securities created in securitization transactions were initially recorded at their fair value when issued by MortCo. Subsequent adjustments to fair value are reflected in earnings. Quoted market prices for these assets are generally not available, so the Company estimates fair value based on the present value of expected future cash flows using management’s best estimates of key assumptions, which include expected credit losses, prepayment speeds, weighted-average life, and discount rates commensurate with the inherent risks of the asset.

Derivative Financial Instruments

The Company uses derivative instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are Eurodollar futures contracts, but it may enter into other transactions in the future.

The Company has elected not to treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option.  FASB ASC Topic 815, Derivatives and Hedging, requires that all derivative instruments be carried at fair value.  Changes in fair value are recorded in earnings for each period.


 
-7-
 


Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments.  In addition, the Company may be required to post collateral based on any declines in the market value of the derivatives.  In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement.  To mitigate this risk, the Company uses only well-established commercial banks as counterparties.

Financial Instruments

ASC Topic 825, Financial Instruments, requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. MBS, Orchid common stock, Eurodollar futures contracts, interest rate swaptions and retained interests in securitization transactions are accounted for at fair value in the consolidated balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 14 of the consolidated financial statements.

The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, other assets, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying value as of March 31, 2016 and December 31, 2015, due to the short-term nature of these financial instruments.

It is impractical to estimate the fair value of the Company’s junior subordinated notes.  Currently, there is a limited market for these types of instruments and the Company is unable to ascertain what interest rates would be available to the Company for similar financial instruments. Information regarding carrying amount, effective interest rate and maturity date for these instruments is presented in Note 8 to the consolidated financial statements.

Property and Equipment, net

Property and equipment, net, consists of computer equipment with a depreciable life of 3 years, office furniture and equipment with depreciable lives of 8 to 20 years, land which has no depreciable life, and buildings and improvements with depreciable lives of 30 years.  Property and equipment is recorded at acquisition cost and depreciated using the straight-line method over the estimated useful lives of the assets.

Repurchase Agreements

The Company finances the acquisition of the majority of its PT MBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing, the Company accounts for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements.

Share-Based Compensation

The Company follows the provisions of ASC Topic 718, Compensation – Stock Compensation, to account for stock and stock-based awards.  For stock and stock-based awards issued to employees, a compensation charge is recorded against earnings over the vesting period based on the fair value of the award.  Payments pursuant to dividend equivalent rights, which are granted along with certain equity based awards, are charged to stockholders’ equity when dividends are declared.  The Company applies a zero forfeiture rate for its equity based awards, as such awards have been granted to a limited number of employees and historical forfeitures have been minimal.  A significant forfeiture, or an indication that significant forfeitures may occur, would result in a revised forfeiture rate which would be accounted for prospectively as a change in an estimate. For transactions with non-employees in which services are performed in exchange for the Company’s common stock or other equity instruments, the transactions are recorded on the basis of the fair value of the service received or the fair value of the equity instruments issued, whichever is more readily measurable at the date of issuance.

 
-8-
 
Earnings Per Share

The Company follows the provisions of ASC Topic 260, Earnings Per Share, which requires companies with complex capital structures, common stock equivalents or two (or more) classes of securities that participate in dividend distributions to present both basic and diluted earnings per share (“EPS”) on the face of the consolidated statement of operations. Basic EPS is calculated as income available to common stockholders divided by the weighted average number of common shares outstanding during the period. Diluted EPS is calculated using the treasury stock or two-class method, as applicable for common stock equivalents. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive.

Outstanding shares of Class B Common Stock, participating and convertible into Class A Common Stock, are entitled to receive dividends in an amount equal to the dividends declared on each share of Class A Common Stock if, as and when authorized and declared by the Board of Directors. Accordingly, shares of the Class B Common Stock are included in the computation of basic EPS using the two-class method and, consequently, are presented separately from Class A Common Stock.

The shares of Class C Common Stock are not included in the basic EPS computation as these shares do not have participation rights. The outstanding shares of Class B and Class C Common Stock are not included in the computation of diluted EPS for the Class A Common Stock as the conditions for conversion into shares of Class A Common Stock were not met.

Income Taxes

For the calendar year ended December 31, 2015, Bimini Capital, Bimini Advisors and MortCo were separate taxpaying entities for income tax purposes and filed separate Federal income tax returns.  Bimini Advisors remained a separate tax paying entity through January 31, 2016; on that date, Bimini Advisors was reorganized to be an LLC wholly-owned by Bimini Capital.  Beginning with the tax period starting on February 1, 2016, Bimini Capital and Bimini Advisors will be a single tax paying entity.  MortCo continues to be treated as a separate tax paying entity for the year ending December 31, 2016.

Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities represent the differences between the financial statement and income tax bases of assets and liabilities using enacted tax rates. The measurement of net deferred tax assets is adjusted by a valuation allowance if, based on the Company’s evaluation, it is more likely than not that they will not be realized.

The Company’s U.S. federal income tax returns for years ended on or after December 31, 2012 remain open for examination. Although management believes its calculations for tax returns are correct and the positions taken thereon are reasonable, the final outcome of tax audits could be materially different from the tax returns filed by the Company, and those differences could result in significant costs or benefits to the Company.

The Company measures, recognizes and presents its uncertain tax positions in accordance with ASC Topic 740, Income Taxes.  Under that guidance, the Company assesses the likelihood, based on their technical merit, that tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period.  The measurement of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change. The Company recognizes tax positions in the financial statements only when it is more likely than not that the position will be sustained upon examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured at the largest amount of benefit that will more likely than not be realized upon settlement. The difference between the benefit recognized and the tax benefit claimed on a tax return is referred to as an unrecognized tax benefit and is recorded as a liability in the consolidated balance sheets. The Company records income tax-related interest and penalties, if applicable, within the income tax provision.


 
-9-
 


Reclassifications

Certain prior period amounts have been reclassified to conform to the current period presentations.

Recent Accounting Pronouncements

In March 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. ASU No. 2016-09 simplifies certain aspects related to the accounting for share-based payment transactions, including income tax consequences, statutory withholding requirements, forfeitures and classification on the statement of cash flows. The guidance in this update is effective for fiscal years beginning after December 15, 2016, including interim periods within those fiscal years. Early adoption is permitted. Certain of the amendments related to timing of the recognition of tax benefits and tax withholding requirements should be applied using a modified retrospective transition method. Amendments related to classification on the statement of cash flows should be applied retrospectively. All other provisions may be applied on a prospective or modified retrospective basis. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements.

In January 2016, the FASB issued ASU 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities.  ASU 2016-01 provides guidance for the recognition, measurement, presentation and disclosure of financial assets and financial liabilities.  ASU 2016-01 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2017 and, for most provisions, is effective using the cumulative-effect transition approach.  Early application is permitted for certain provisions.  The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements.

In June 2014, the FASB issued ASU 2014-12, Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. ASU 2014-12 requires that performance targets that affect vesting and that could be achieved after the requisite service period be treated as performance conditions.  The effective date of ASU 2014-12 is for interim and annual reporting periods beginning after December 15, 2015.  The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements.

NOTE 2.   MORTGAGE-BACKED SECURITIES

The following table presents the Company’s MBS portfolio as of March 31, 2016 and December 31, 2015:

(in thousands)
            
   
March 31, 2016
    
December 31, 2015
  
Pass-Through MBS:
            
Hybrid Adjustable-rate Mortgages
   $ 116     $ 118  
Fixed-rate Mortgages
     105,325       79,170  
Total Pass-Through MBS
     105,441       79,288  
Structured MBS:
                
Interest-Only Securities
     1,805       2,554  
Inverse Interest-Only Securities
     1,950       2,146  
Total Structured MBS
     3,755       4,700  
Total
   $ 109,196     $ 83,988  


 
-10-
 


The following table summarizes the Company’s MBS portfolio as of March 31, 2016 and December 31, 2015, according to the contractual maturities of the securities in the portfolio. Actual maturities of MBS investments are generally shorter than stated contractual maturities and are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.

(in thousands)
            
 
March 31, 2016
  
December 31, 2015
  
Greater than five years and less than ten years
   $ 2     $ 3  
Greater than or equal to ten years
     109,194       83,985  
Total
   $ 109,196     $ 83,988  

NOTE 3.  RETAINED INTERESTS IN SECURITIZATIONS

The following table summarizes the estimated fair value of the Company’s retained interests in asset backed securities as of March 31, 2016 and December 31, 2015:

(in thousands)
              
Series
Issue Date
  
March 31, 2016
    
December 31, 2015
  
HMAC 2004-2
May 10, 2004
   $ 159     $ 110  
HMAC 2004-3
June 30, 2004
     482       453  
HMAC 2004-4
August 16, 2004
     264       75  
HMAC 2004-5
September 28, 2004
     163       182  
HMAC 2004-6
November 17, 2004
     174       304  
              Total
     $ 1,242     $ 1,124  

NOTE 4.   REPURCHASE AGREEMENTS

As of March 31, 2016, the Company had outstanding repurchase agreement obligations of approximately $102.8 million with a net weighted average borrowing rate of 0.68%.  These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $107.5 million.  As of December 31, 2015, the Company had outstanding repurchase agreement obligations of approximately $77.2 million with a net weighted average borrowing rate of 0.61%.  These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $81.5 million.

As of March 31, 2016 and December 31, 2015, the Company’s repurchase agreements had remaining maturities as summarized below:

($ in thousands)
                              
   
OVERNIGHT
    
BETWEEN 2
    
BETWEEN 31
    
GREATER
        
   
(1 DAY OR
    
AND
    
AND
    
THAN
        
   
LESS)
    
30 DAYS
    
90 DAYS
    
90 DAYS
    
TOTAL
  
March 31, 2016
                              
Fair value of securities pledged, including accrued
                              
interest receivable
   $ -     $ 105,786     $ 1,730     $ -     $ 107,516  
Repurchase agreement liabilities associated with
                                        
these securities
   $ -     $ 101,503     $ 1,291     $ -     $ 102,794  
Net weighted average borrowing rate
     -       0.68 %     1.30 %     -       0.68 %
December 31, 2015
                                        
Fair value of securities pledged, including accrued
                                        
interest receivable
   $ -     $ 81,464     $ -     $ -     $ 81,464  
Repurchase agreement liabilities associated with
                                        
these securities
   $ -     $ 77,234     $ -     $ -     $ 77,234  
Net weighted average borrowing rate
     -       0.61 %     -       -       0.61 %

If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets, which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender, including the accrued interest receivable, and cash posted by the Company as collateral, if any.  At March 31, 2016 and December 31, 2015, the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest payable, and the fair value of securities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately $4.7 million and $3.5 million, respectively.  The Company did not have an amount at risk with any individual counterparty greater than 10% of the Company’s equity at March 31, 2016 or December 31, 2015.

 
-11-
 
NOTE 5. DERIVATIVE FINANCIAL INSTRUMENTS

In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding and junior subordinated notes by entering into derivatives and other hedging contracts.  To date the Company has entered into Eurodollar  and T-Note futures contracts, but may enter into other contracts in the future.  The Company has not elected hedging treatment under GAAP, and as such all gains or losses (realized and unrealized) on these instruments are reflected in earnings for all periods presented.

As of March 31, 2016 and December 31, 2015, such instruments were comprised entirely of Eurodollar futures contracts.  Eurodollar futures are cash settled futures contracts on an interest rate, with gains or losses credited or charged to the Company’s account on a daily basis and reflected in earnings as they occur. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The Company is exposed to the changes in value of the futures by the amount of margin held by the broker.  This margin represents the collateral the Company has posted for its open positions and is recorded on the consolidated balance sheets as part of restricted cash.

Eurodollar and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The tables below present information related to the Company’s Eurodollar futures positions at March 31, 2016 and December 31, 2015.

($ in thousands)
                        
As of March 31, 2016
                        
   
Repurchase Agreement Funding Hedges
  
   
Average
    
Weighted
    
Weighted
        
   
Contract
    
Average
    
Average
        
   
Notional
    
Entry
    
Effective
    
Open
  
Expiration Year
  
Amount
    
Rate
    
Rate
    
Equity(1)
  
2016
   $ 56,000       1.59 %     0.76 %   $ (351 )
2017
     56,000       2.23 %     0.95 %     (719 )
2018
     43,000       2.21 %     1.17 %     (444 )
2019
     30,000       1.63 %     1.46 %     (51 )
Total / Weighted Average
   $ 45,600       1.96 %     1.05 %   $ (1,565 )


 
-12-
 


($ in thousands)
                        
As of March 31, 2016
                        
   
Junior Subordinated Debt Funding Hedges
  
   
Average
    
Weighted
    
Weighted
        
   
Contract
    
Average
    
Average
        
   
Notional
    
Entry
    
Effective
    
Open
  
Expiration Year
  
Amount
    
Rate
    
Rate
    
Equity(1)
  
2016
   $ 26,000       1.73 %     0.76 %   $ (190 )
2017
     26,000       2.49 %     0.95 %     (399 )
2018
     26,000       2.16 %     1.19 %     (252 )
2019
     26,000       1.65 %     1.46 %     (47 )
2020
     26,000       1.95 %     1.73 %     (56 )
2021
     26,000       2.22 %     1.99 %     (61 )
Total / Weighted Average
   $ 26,000       2.05 %     1.37 %   $ (1,005 )

($ in thousands)
                        
As of December 31, 2015
                        
   
Repurchase Agreement Funding Hedges
  
   
Average
    
Weighted
    
Weighted
        
   
Contract
    
Average
    
Average
        
   
Notional
    
Entry
    
Effective
    
Open
  
Expiration Year
  
Amount
    
Rate
    
Rate
    
Equity(1)
  
2016
   $ 56,000       1.45 %     0.98 %   $ (264 )
2017
     56,000       2.23 %     1.59 %     (362 )
2018
     56,000       2.65 %     1.91 %     (207 )
Total / Weighted Average
   $ 56,000       2.00 %     1.41 %   $ (833 )

($ in thousands)
                        
As of December 31, 2015
                        
   
Junior Subordinated Debt Funding Hedges
  
   
Average
    
Weighted
    
Weighted
        
   
Contract
    
Average
    
Average
        
   
Notional
    
Entry
    
Effective
    
Open
  
Expiration Year
  
Amount
    
Rate
    
Rate
    
Equity(1)
  
2016
   $ 26,000       1.77 %     0.98 %   $ (205 )
2017
     26,000       2.49 %     1.59 %     (234 )
2018
     26,000       2.94 %     1.91 %     (134 )
Total / Weighted Average
   $ 26,000       2.29 %     1.41 %   $ (573 )

(1)  
Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.

Loss From Derivative Instruments, Net

The table below presents the effect of the Company’s derivative financial instruments on the consolidated statements of operations for the three months ended March 31, 2016 and 2015.

(in thousands)
            
   
2016
    
2015
  
Eurodollar futures contracts (short positions)
   $ (1,300 )   $ (1,015 )
Net losses on derivative instruments
   $ (1,300 )   $ (1,015 )


 
-13-
 


Credit Risk-Related Contingent Features

The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. The Company attempts to minimize this risk in several ways.  For instruments which are not centrally cleared on a registered exchange, the Company limits its counterparties to major financial institutions with acceptable credit ratings, and by monitoring positions with individual counterparties. In addition, the Company may be required to pledge assets as collateral for its derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty, the Company may not receive payments provided for under the terms of its derivative agreements, and may have difficulty obtaining its assets pledged as collateral for its derivatives. The cash and cash equivalents pledged as collateral for the Company’s derivative instruments are included in restricted cash on the consolidated balance sheets.

NOTE 6. PLEDGED ASSETS

The table below summarizes our assets pledged as collateral under our repurchase agreements and derivative agreements pledged related to securities sold but not yet settled, as of March 31, 2016 and December 31, 2015.

($ in thousands)
                  
As of March 31, 2016
                  
   
Repurchase
    
Derivative
        
Assets Pledged to Counterparties
  
Agreements
    
Agreements
    
Total
  
PT MBS - at fair value
   $ 105,441     $ -     $ 105,441  
Structured MBS - at fair value
     1,719       -       1,719  
Accrued interest on pledged securities
     356       -       356  
Cash
     -       672       672  
Total
   $ 107,516     $ 672     $ 108,188  

($ in thousands)
                  
As of December 31, 2015
                  
   
Repurchase
    
Derivative
        
Assets Pledged to Counterparties
  
Agreements
    
Agreements
    
Total
  
PT MBS - at fair value
   $ 79,288     $ -     $ 79,288  
Structured MBS - at fair value
     1,904       -       1,904  
Accrued interest on pledged securities
     272       -       272  
Cash
     -       402       402  
Total
   $ 81,464     $ 402     $ 81,866  


 
-14-
 


NOTE 7. OFFSETTING ASSETS AND LIABILITIES

The Company’s derivatives and repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions.  The Company reports its assets and liabilities subject to these arrangements on a gross basis.  The following table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of March 31, 2016 and December 31, 2015.

(in thousands)
                                    
Offsetting of Liabilities
  
                   
Gross Amount Not Offset in the
        
             
Net Amount
  
Consolidated Balance Sheet
        
     
Gross Amount
  
of Liabilities
  
Financial
          
 
Gross Amount
  
Offset in the
  
Presented in the
  
Instruments
  
Cash
      
 
of Recognized
  
Consolidated
  
Consolidated
  
Posted as
  
Posted as
  
Net
  
 
Liabilities
  
Balance Sheet
  
Balance Sheet
  
Collateral
  
Collateral
  
Amount
  
March 31, 2016
                                    
Repurchase Agreements
   $ 102,794     $ -     $ 102,794     $ (102,794 )   $ -     $ -  
December 31, 2015
                                                
Repurchase Agreements
   $ 77,234     $ -     $ 77,234     $ (77,234 )   $ -     $ -  

The amounts disclosed for collateral received by or posted to the same counterparty are limited to the amount sufficient to reduce the asset or liability presented in the consolidated balance sheet to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.  The fair value of the actual collateral received by or posted to the same counterparty typically exceeds the amounts presented.  See Note 6 for a discussion of collateral posted for, or received against, repurchase obligations and derivative instruments.

NOTE 8.  TRUST PREFERRED SECURITIES

During 2005, Bimini Capital sponsored the formation of a statutory trust, known as Bimini Capital Trust II (“BCTII”) of which 100% of the common equity is owned by Bimini Capital.  It was formed for the purpose of issuing trust preferred capital securities to third-party investors and investing the proceeds from the sale of such capital securities solely in junior subordinated debt securities of Bimini Capital. The debt securities held by BCTII are the sole assets of BCTII.

As of March 31, 2016 and December 31, 2015, the outstanding principal balance on the junior subordinated debt securities owed to BCTII was $26.8 million.  The BCTII trust preferred securities and Bimini Capital's BCTII Junior Subordinated Notes have a rate of interest that floats at a spread of 3.50% over the prevailing three-month LIBOR rate.  As of March 31, 2016, the interest rate was 4.13%. The BCTII trust preferred securities and Bimini Capital's BCTII Junior Subordinated Notes require quarterly interest distributions and are redeemable at Bimini Capital's option, in whole or in part and without penalty. Bimini Capital's BCTII Junior Subordinated Notes are subordinate and junior in right of payment of all present and future senior indebtedness.

BCTII is a VIE because the holders of the equity investment at risk do not have adequate decision making ability over BCTII’s activities. Since Bimini Capital's investment in BCTII’s common equity securities was financed directly by BCTII as a result of its loan of the proceeds to Bimini Capital, that investment is not considered to be an equity investment at risk. Since Bimini Capital's common share investment in BCTII is not a variable interest, Bimini Capital is not the primary beneficiary of BCTII. Therefore, Bimini Capital has not consolidated the financial statements of BCTII into its consolidated financial statements.

The accompanying consolidated financial statements present Bimini Capital's BCTII Junior Subordinated Notes issued to BCTII as a liability and Bimini Capital's investment in the common equity securities of BCTII as an asset (included in other assets).  For financial statement purposes, Bimini Capital records payments of interest on the Junior Subordinated Notes issued to BCTII as interest expense.

 
-15-
 
NOTE 9.  COMMON STOCK

The table below presents information related to Bimini Capital’s Class A Common Stock issued during the three months ended March 31, 2016 and 2015.

   
Three Months Ended March 31,
  
Shares Issued Related To:
  
2016
    
2015
  
Directors' compensation
     -       8,115  
Vesting incentive plan shares
     258,333       -  
Total shares of Class A Common Stock issued
     258,333       8,115  

There were no issuances of Bimini Capital's Class B Common Stock and Class C Common Stock during the three months ended March 31, 2016 and 2015.

NOTE 10.    STOCK INCENTIVE PLANS

On August 12, 2011, Bimini Capital’s shareholders approved the 2011 Long Term Compensation Plan (the “2011 Plan”) to assist the Company in recruiting and retaining employees, directors and other service providers by enabling them to participate in the success of Bimini Capital and to associate their interests with those of the Company and its stockholders.  The 2011 Plan is intended to permit the grant of stock options, stock appreciation rights (“SARs”), stock awards, performance units and other equity-based and incentive awards.  The maximum aggregate number of shares of common stock that may be issued under the 2011 Plan pursuant to the exercise of options and SARs, the grant of stock awards or other equity-based awards and the settlement of incentive awards and performance units is equal to 4,000,000 shares.

Share Awards

During the three months ended March 31, 2016, the Compensation Committee of the Board of Directors of Bimini Capital (the “Committee”) approved certain performance bonuses for members of management.  These bonuses were awarded primarily in recognition of service in 2015.  The bonuses consisted of cash of approximately $0.5 million and 258,333 fully vested shares of the Company’s Class A Common Stock with an approximate value of $0.2 million, or $0.75 per share.  The shares were issued under the 2011 Plan.  For purposes of these bonuses, shares of the Company’s common stock were valued based on the closing price of the Company’s Class A Common Stock on January 15, 2016, the Bonus Date. The expense related to this bonus was accrued at December 31, 2015 and does not affect the results of operations for the three months ended March 31, 2016.

Performance Units

The Compensation Committee of the Board of Directors (the “Committee”) may issue Performance Units under the 2011 Plan to certain officers and employees.  “Performance Units” represent the participant’s right to receive an amount, based on the value of a specified number of shares of common stock, if the terms and conditions prescribed by the Committee are satisfied.  The Committee will determine the requirements that must be satisfied before Performance Units are earned, including but not limited to any applicable performance period and performance goals.  Performance goals may relate to the Company’s financial performance or the participant’s performance or such other criteria determined by the Committee, including goals stated with reference to the performance measures discussed below.  If Performance Units are earned, they will be settled in cash, shares of common stock or a combination thereof.


 
-16-
 


The following table presents the activity related to Performance Units during the three months ended March 31, 2016 and 2015:

   
Three Months Ended
  
   
2016
    
2015
  
         
Weighted
          
Weighted
  
         
Average
          
Average
  
         
Grant Date
          
Grant Date
  
 
  
Shares
    
Fair Value
  
Shares
    
Fair Value
  
Unvested, beginning of period
     77,500     $ 1.22       31,500     $ 1.78  
Granted
     -       -       -       -  
Vested and issued
     -       -       -       -  
Unvested, end of period
     77,500     $ 1.22       31,500     $ 1.78  
                                 
Compensation expense during the period
           $ 8             $ 5  
Unrecognized compensation expense at period end
           $ 67             $ 51  
Weighted-average remaining vesting term (in years)
             2.3               2.7  
Intrinsic value of unvested shares at period end
           $ 127             $ 55  

NOTE 11.  COMMITMENTS AND CONTINGENCIES

From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any significant reported or unreported contingencies at March 31, 2016.

NOTE 12.  INCOME TAXES

The total income tax provision recorded for the three months ended March 31, 2016 and 2015 was $0.3 million and $0.3 million, respectively, on consolidated pre-tax book income (loss) of $0.7 million and $(1.1) million in the three months ended March 31, 2016 and 2015, respectively.

The consolidated loss for the three months ended March 31, 2015 consisted of a loss of approximately $3.0 million attributed to Bimini Capital and income of approximately $1.9 million attributed to the operation of Bimini Advisors and MortCo.  At March 31, 2015, the Company anticipated Bimini Capital retaining its Real Estate Investment Trust exemption under the Internal Revenue Code of 1986; therefore, no income tax benefit was accrued related to this loss.

The Company’s tax provision is based on projected effective rate based annualized amounts and includes the expected realization of a portion of the tax benefits of the federal and state net operating losses carryforwards (“NOLs”) in 2016. In assessing the realizability of deferred tax assets, management considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of capital loss and NOL carryforwards is dependent upon the generation of future capital gains and taxable income in periods prior to their expiration. The Company currently provides a valuation allowance against a portion of the NOLs since the Company believes that it is more likely than not that some of the benefits will not be realized in the future. The Company will continue to assess the need for a valuation allowance at each reporting date.

NOTE 13.   EARNINGS PER SHARE

Shares of Class B common stock, participating and convertible into Class A common stock, are entitled to receive dividends in an amount equal to the dividends declared on each share of Class A common stock if, and when, authorized and declared by the Board of Directors. Following the provisions of FASB ASC 260, the Class B common stock is included in the computation of basic EPS using the two-class method, and consequently is presented separately from Class A common stock. Shares of Class B common stock are not included in the computation of diluted Class A EPS as the conditions for conversion to Class A common stock were not met at March 31, 2016 and 2015.

 
-17-
 
Shares of Class C common stock are not included in the basic EPS computation as these shares do not have participation rights. Shares of Class C common stock are not included in the computation of diluted Class A EPS as the conditions for conversion to Class A common stock were not met at March 31, 2016 and 2015.

The Company has dividend eligible stock incentive plan shares that were outstanding during the three months ended March 31, 2016. The basic and diluted per share computations include these unvested incentive plan shares if there is income available to Class A common stock, as they have dividend participation rights. The stock incentive plan shares have no contractual obligation to share in losses. Because there is no such obligation, the incentive plan shares are not included in the basic and diluted EPS computations when no income is available to Class A common stock even though they are considered participating securities. The average number of dividend eligible stock incentive plan shares that were anti-dilutive and not included in diluted earnings per share for the three months ended March 31, 2015 was 31,600.

The table below reconciles the numerator and denominator of EPS for the three months ended March 31, 2016 and 2015.

(in thousands, except per-share information)
            
   
2016
    
2015
  
Basic and diluted EPS per Class A common share:
            
Income (loss) attributable to Class A common shares:
            
Basic and diluted
   $ 445     $ (1,385 )
Weighted average common shares:
                
Class A common shares outstanding at the balance sheet date
     12,632       12,333  
Unvested dividend-eligible incentive plan shares
                
outstanding at the balance sheet date
     78       -  
Effect of weighting
     (43 )     (1 )
Weighted average shares-basic and diluted
     12,667       12,332  
Income (loss) per Class A common share:
                
Basic and diluted
   $ 0.04     $ (0.11 )

(in thousands, except per-share information)
            
   
2016
    
2015
  
Basic and diluted EPS per Class B common share:
            
Income (loss) attributable to Class B common shares:
            
Basic and diluted
   $ 1     $ (4 )
Weighted average common shares:
                
Class B common shares outstanding at the balance sheet date
     32       32  
Effect of weighting
     -       -  
Weighted average shares-basic and diluted
     32       32  
Income (loss) per Class B common share:
                
Basic and diluted
   $ 0.04     $ (0.11 )

NOTE 14.   FAIR VALUE

Authoritative accounting literature establishes a framework for using fair value to measure assets and liabilities and defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price) as opposed to the price that would be paid to acquire the asset or received to assume the liability (an entry price). A fair value measure should reflect the assumptions that market participants would use in pricing the asset or liability, including the assumptions about the risk inherent in a particular valuation technique, the effect of a restriction on the sale or use of an asset and the risk of non-performance. Required disclosures include stratification of balance sheet amounts measured at fair value based on inputs the Company uses to derive fair value measurements. These stratifications are:
 
 
-18-
 
 

 
·  
Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active markets (which include exchanges and over-the-counter markets with sufficient volume),
·  
Level 2 valuations, where the valuation is based on quoted market prices for similar instruments traded in active markets, quoted prices for identical or similar instruments in markets that are not active and model-based valuation techniques for which all significant assumptions are observable in the market, and
·  
Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in the market, but observable based on Company-specific data. These unobservable assumptions reflect the Company’s own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques typically include option pricing models, discounted cash flow models and similar techniques, but may also include the use of market prices of assets or liabilities that are not directly comparable to the subject asset or liability.

The Company’s MBS are valued using Level 2 valuations, and such valuations currently are determined by the Company based on independent pricing sources and/or third-party broker quotes, when available. Because the price estimates may vary, the Company must make certain judgments and assumptions about the appropriate price to use to calculate the fair values. Alternatively, the Company could opt to have the value of all of our MBS positions determined by either an independent third-party or do so internally.

MBS, Orchid common stock, retained interests and futures contracts were all recorded at fair value on a recurring basis during the three months ended March 31, 2016 and 2015. When determining fair value measurements, the Company considers the principal or most advantageous market in which it would transact and considers assumptions that market participants would use when pricing the asset. When possible, the Company looks to active and observable markets to price identical assets.  When identical assets are not traded in active markets, the Company looks to market observable data for similar assets.  Fair value measurements for the retained interests are generated by a model that requires management to make a significant number of assumptions.

The following table presents financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2016 and December 31, 2015:

(in thousands)
                        
         
Quoted Prices
              
         
in Active
    
Significant
        
         
Markets for
    
Other
    
Significant
  
         
Identical
    
Observable
    
Unobservable
  
   
Fair Value
    
Assets
    
Inputs
    
Inputs
  
   
Measurements
    
(Level 1)
    
(Level 2)
    
(Level 3)
  
March 31, 2016
                        
Mortgage-backed securities
   $ 109,196     $ -     $ 109,196     $ -  
Margin posted on derivative agreements
     672       672       -       -  
Orchid Island Capital, Inc. common stock
     14,467       14,467       -       -  
Retained interests
     1,242       -       -       1,242  
December 31, 2015
                                
Mortgage-backed securities
   $ 83,988     $ -     $ 83,988     $ -  
Margin posted on derivative agreements
     402       402       -       -  
Orchid Island Capital, Inc. common stock
     13,853       13,853       -       -  
Retained interests
     1,124       -       -       1,124  


 
-19-
 


The following table illustrates a roll forward for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2016 and 2015:

(in thousands)
            
   
Retained Interests
  
   
2016
    
2015
  
Balances, January 1
   $ 1,124     $ 1,900  
Gain included in earnings
     546       1,486  
Collections
     (428 )     (996 )
Balances, March 31
   $ 1,242     $ 2,390  

During the three months ended March 31, 2016 and 2015, there were no transfers of financial assets or liabilities between levels 1, 2 or 3.

Our retained interests are valued based on a discounted cash flow approach.  These values are sensitive to changes in unobservable inputs, including: estimated prepayment speeds, default rates and loss severity, weighted-average life, and discount rates.  Significant increases or decreases in any of these inputs may result in significantly different fair value measurements.

The following table summarizes the significant quantitative information about our level 3 fair value measurements as of March 31, 2016.

Retained interests fair value (in thousands)
    
$
 1,242
   
CPR Range
    
Prepayment Assumption
  
(Weighted Average)
    
Constant Prepayment Rate
  
10% (10%)
    
   
Severity
    
Default Assumptions
Probability of Default
(Weighted Average)
  
Range Of Loss Timing
Real Estate Owned
100%
29%
  
Next 10 Months
Loans in Foreclosure
100%
29%
  
 Month 4 - 13
Loans 90 Day Delinquent
100%
45%
  
Month 11-28
Loans 60 Day Delinquent
85%
45%
  
Month 11-28
Loans 30 Day Delinquent
75%
45%
  
Month 11-28
Current Loans
3.0%
45%
  
Month 29 and Beyond
   
Remaining Life Range
  
Discount Rate Range
Cash Flow Recognition
Valuation Technique
(Weighted Average)
  
(Weighted Average)
Nominal Cash Flows
Discounted Cash Flow
0.2 - 14.9 (9.8)
  
27.50% (27.50%)
Discounted Cash Flows
Discounted Cash Flow
0.3 - 4.1 (1.7)
  
27.50% (27.50%)
 

NOTE 15. RELATED PARTY TRANSACTIONS

Management Agreement

Upon completion of its initial public offering, Orchid became externally managed and advised by Bimini Advisors pursuant to the terms of a management agreement.  As Manager, Bimini Advisors is responsible for administering Orchid’s business activities and day-to-day operations.  Pursuant to the terms of the management agreement, Bimini Advisors provides Orchid with its management team, including its officers, along with appropriate support personnel.  Bimini Advisors is at all times subject to the supervision and oversight of Orchid’s board of directors and has only such functions and authority as delegated to it. Bimini Advisors receives a monthly management fee in the amount of:

·  
One-twelfth of 1.5% of the first $250 million of the Orchid’s equity, as defined in the management agreement,
·  
One-twelfth of 1.25% of the Orchid’s equity that is greater than $250 million and less than or equal to $500 million, and
·  
One-twelfth of 1.00% of the Orchid’s equity that is greater than $500 million.
 

 
 
-20-
 
 
NOTE 15. RELATED PARTY TRANSACTIONS

Management Agreement

Upon completion of its initial public offering, Orchid became externally managed and advised by Bimini Advisors pursuant to the terms of a management agreement.  As Manager, Bimini Advisors is responsible for administering Orchid’s business activities and day-to-day operations.  Pursuant to the terms of the management agreement, Bimini Advisors provides Orchid with its management team, including its officers, along with appropriate support personnel.  Bimini Advisors is at all times subject to the supervision and oversight of Orchid’s board of directors and has only such functions and authority as delegated to it. Bimini Advisors receives a monthly management fee in the amount of:

·  
One-twelfth of 1.5% of the first $250 million of the Orchid’s equity, as defined in the management agreement,
·  
One-twelfth of 1.25% of the Orchid’s equity that is greater than $250 million and less than or equal to $500 million, and
·  
One-twelfth of 1.00% of the Orchid’s equity that is greater than $500 million.
  
Orchid is obligated to reimburse the Bimini Advisors for any direct expenses incurred on its behalf and to pay to Bimini Advisors Orchid’s pro rata portion of certain overhead costs set forth in the management agreement.  Should the Orchid terminate the management agreement without cause, it will pay to Bimini Advisors a termination fee equal to three times the average annual management fee, as defined in the management agreement, before or on the last day of the initial term or automatic renewal term.

The following table summarizes the advisory services revenue from Orchid for the three months ended March 31, 2016 and 2015.

($ in thousands)
            
   
2016
    
2015
  
Management fee
   $ 971     $ 855  
Allocated overhead
     298       240  
Total
   $ 1,269     $ 1,095  

At March 31, 2016 and December 31, 2015, the net amount due from Orchid was approximately $0.4 million and $0.5 million, respectively, and is included in “other assets” in the consolidated balance sheets.  During the three months ended March 31, 2016 and 2015, Orchid accrued cash and equity compensation payable to officers and employees of Bimini of $0.2 million and $0.2 million, respectively.  This compensation is not included in the consolidated statements of operations.

Other Relationships with Orchid

At March 31, 2016 and December 31, 2015, the Company owned 1,395,036 shares of Orchid common stock representing approximately 6.4% of the outstanding shares.  During the three months ended March 31, 2016 and 2015, the Company received dividends on this common stock investment of approximately $0.6 million and $0.5 million, respectively.

Robert Cauley, the Chief Executive Officer and Chairman of the Board of Directors of the Company, also serves as Chief Executive Officer and Chairman of the Board of Directors of Orchid and owns shares of common stock of Orchid.  Also, Hunter Haas, the Chief Financial Officer, Chief Investment Officer and Treasurer of the Company, also serves as Chief Financial Officer, Chief Investment Officer and Secretary of Orchid, is a member of Orchid’s Board of Directors and owns shares of common stock of Orchid.
 
 


 
-21-
 


ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

The following discussion of our financial condition and results of operations should be read in conjunction with the financial statements and notes to those statements included in Item 1 of this Form 10-Q. The discussion may contain certain forward-looking statements that involve risks and uncertainties. Forward-looking statements are those that are not historical in nature. As a result of many factors, such as those set forth under “Risk Factors” in our most recent Annual Report on Form 10-K, our actual results may differ materially from those anticipated in such forward-looking statements.

Overview

Bimini Capital Management, Inc. (“Bimini Capital” or the “Company”) was formed in September 2003 to invest primarily in residential mortgage-backed securities (“MBS”) issued and guaranteed by a federally chartered corporation or agency (“Agency MBS”). Our investment strategy focuses on, and our portfolio consists of, two categories of Agency MBS: (i) traditional pass-through Agency MBS (“PT MBS”) and (ii) structured Agency MBS, such as collateralized mortgage obligations (“CMOs”), interest only securities (“IOs”), inverse interest only securities (“IIOs”) and principal only securities (“POs”), among other types of structured Agency MBS.
 
 
As described more fully below under “Outlook/Tax Matters”, the Company no longer operates as a Real Estate Investment Trust (“REIT”) and possesses significant net operating loss carryforwards (“NOL”), as does its wholly-owned subsidiary, MortCo TRS, LLC (“MortCo”). In order to more effectively utilize the NOLs the Company began the process of transferring MBS assets from the Company to MortCo in late 2015 and continued to do so during the period ended March 31, 2016.  The Company plans to ultimately transfer all or substantially all of the existing MBS assets to MortCo and to grow the MBS portfolio at MortCo over time in order to utilize NOLs at MortCo before their expiration.  After such transfer is complete the MBS portfolio management operations will be conducted at MortCo and not at the Company.

In 2013, the Company also began to serve as the external manager of the portfolio of Orchid Island Capital, Inc. (“Orchid”), through its wholly owned subsidiary, Bimini Advisors Holdings, LLC (“Bimini Advisors”).  From this arrangement, the Company receives management fees and expense reimbursements.  As Manager, Bimini Advisors is responsible for administering Orchid’s business activities and day-to-day operations.  Pursuant to the terms of the management agreement, Bimini Advisors provides Orchid with its management team, including its officers, along with appropriate support personnel.  Bimini Advisors is at all times subject to the supervision and oversight of Orchid’s board of directors and has only such functions and authority as delegated to it. In addition, the Company receives dividends from its investment in Orchid common shares.  

Factors that Affect our Results of Operations and Financial Condition

A variety of industry and economic factors may impact our results of operations and financial condition. These factors include:

·  
interest rate trends;
·  
the difference between Agency MBS yields and our funding and hedging costs;
·  
competition for investments in Agency MBS;
·  
actions taken by the Federal Reserve and the U.S. Treasury;
·  
prepayment rates on mortgages underlying our Agency MBS, and credit trends insofar as they affect prepayment rates; and
·  
other market developments.

In addition, a variety of factors relating to our business may also impact our results of operations and financial condition. These factors include:

·  
our degree of leverage;
·  
our access to funding and borrowing capacity;
·  
our borrowing costs;
·  
our hedging activities;
·  
the market value of our investments;
·  
the requirements to qualify for a registration exemption under the Investment Company Act; and
·  
our ability to utilize net operating loss carryforwards and capital loss carryforwards to reduce our taxable income.


 
-22-
 
Dividends to Stockholders

During the three months ended March 31, 2016, Bimini Capital made no dividend declarations.  All distributions are made at the discretion of the Company’s Board of Directors and will depend on the Company’s results of operations, financial conditions, availability of net operating losses and other factors that may be deemed relevant.

Results of Operations

Described below are the Company’s results of operations for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015.

Net Income (Loss) Summary

Consolidated net income for the three months ended March 31, 2016 was $0.4 million, or $0.04 basic and diluted income per share of Class A Common Stock, as compared to a consolidated net loss of $1.4 million, or $0.11 basic and diluted loss per share of Class A Common Stock, for the three months ended March 31, 2015.

The components of net income (loss) for the three months ended March 31, 2016 and 2015, along with the changes in those components are presented in the table below.  As described below, expenses in the three month period ended March 31, 2015, include $3.5 million to settle litigation.

(in thousands)
                  
   
2016
    
2015
    
Change
  
Net portfolio interest
   $ 690     $ 1,107     $ (417 )
Interest expense on junior subordinated notes
     (264 )     (243 )     (21 )
Losses on MBS and derivative agreements
     (1,356 )     (186 )     (1,170 )
Net portfolio (loss) income
     (930 )     678       (1,608 )
Other income
     3,015       3,297       (282 )
Expenses, including income taxes
     (1,639 )     (5,364 )     3,725  
Net income (loss)
   $ 446     $ (1,389 )   $ 1,835  

GAAP and Non-GAAP Reconciliation

Economic Interest Expense and Economic Net Interest Income

To date, the Company has used derivatives, specifically interest rate futures contracts, such as Eurodollar and Treasury Note (“T-Note”) futures contracts, to hedge a portion of the interest rate risk on its repurchase agreements and junior subordinate notes in a rising rate environment. Each interest rate futures contract covers a specific three month period, but the Company typically has many contracts in place at any point in time — usually covering several years in the aggregate.


 
-23-
 


The Company has not elected to designate its derivative holdings for hedge accounting treatment under the Financial Accounting Standards Board, (the “FASB”), Accounting Standards Codification, (“ASC”), Topic 815, Derivatives and Hedging. Changes in fair value of these instruments are presented in a separate line item in the Company’s consolidated statements of operations and not included in interest expense. As such, for financial reporting purposes, interest expense and cost of funds are not impacted by the fluctuation in value of the derivative instruments. In the future, the Company may use other derivative instruments to hedge its interest expense and/or elect to designate its derivative holdings for hedge accounting treatment.

For the purpose of computing economic net interest income and ratios relating to cost of funds measures, GAAP interest expense has been adjusted to reflect the realized gains or losses on specific derivative instruments that pertain to each period presented. As of March 31, 2016, the Company has Eurodollar futures contracts in place through 2021. Adjusting our interest expense for the periods presented by the gains or losses on all derivative instruments would not accurately reflect our economic interest expense for these periods.

For each period presented, the Company has combined the effects of the derivative financial instruments in place for the respective period with the actual interest expense incurred on repurchase agreements and junior subordinated notes to reflect total expense for the applicable period. Interest expense, including the effect of derivative instruments for the period, is referred to as economic interest expense. Net interest income, when calculated to include the effect of derivative instruments for the period, is referred to as economic net interest income.
 
However, because the Company has not elected hedging treatment under ASC Topic 815, the gains or losses on all of the Company’s derivative instruments held during the period are reflected in our consolidated statements of operations. This presentation includes gains or losses on all contracts in effect during the reporting period, including those covering both the current period as well as future periods.

The Company believes that economic interest expense and economic net interest income provides meaningful information to consider, in addition to the respective amounts prepared in accordance with GAAP. The non-GAAP measures help the Company to evaluate its financial position and performance without the effects of certain transactions and GAAP adjustments that are not necessarily indicative of its current investment portfolio or operations. The realized and unrealized gains or losses presented in the Company’s consolidated statements of operations are not necessarily representative of the total interest rate expense that the Company will ultimately realize. This is because as interest rates move up or down in the future, the gains or losses the Company ultimately realizes, and which will affect the Company’s total interest rate expense in future periods, may differ from the unrealized gains or losses recognized as of the reporting date.

The Company’s presentation of the economic value of its hedging strategy has important limitations. First, other market participants may calculate economic interest expense and economic net interest income differently than the Company calculates them. Second, while the Company believes that the calculation of the economic value of our hedging strategy described above helps to present our financial position and performance, it may be of limited usefulness as an analytical tool. Therefore, the economic value of the Company’s investment strategy should not be viewed in isolation and is not a substitute for interest expense and net interest income computed in accordance with GAAP.


 
-24-
 


The tables below present a reconciliation of the adjustments to interest expense shown for each period relative to our derivative instruments, and the consolidated statements of operations line item, losses on derivative instruments, calculated in accordance with GAAP for the three months ended March 31, 2016 and for each quarter in 2015.

Gains (Losses) on Derivative Instruments - Recognized in Consolidated Statement of Operations (GAAP)
  
(in thousands)
                  
         
Junior
        
   
Repurchase
    
Subordinated
        
   
Agreements
    
Debt
    
Total
  
Three Months Ended
                  
March 31, 2016
   $ (787 )   $ (513 )   $ (1,300 )
December 31, 2015
     426       197       623  
September 30, 2015
     (676 )     (315 )     (991 )
June 30, 2015
     7       (1 )     6  
March 31, 2015
     (687 )     (328 )     (1,015 )

Losses on Derivative Instruments - Attributed to Current Period (Non-GAAP)
  
(in thousands)
                  
         
Junior
        
   
Repurchase
    
Subordinated
        
   
Agreements
    
Debt
    
Total
  
Three Months Ended
                  
March 31, 2016
   $ (45 )   $ (80 )   $ (125 )
December 31, 2015
     (31 )     (80 )     (111 )
September 30, 2015
     (20 )     (74 )     (94 )
June 30, 2015
     (9 )     (64 )     (73 )
March 31, 2015
     (1 )     (54 )     (55 )

Gains (Losses) on Derivative Instruments - Attributed to Future Periods (Non-GAAP)
  
(in thousands)
                  
         
Junior
        
   
Repurchase
    
Subordinated
        
   
Agreements
    
Debt
    
Total
  
Three Months Ended
                  
March 31, 2016
   $ (742 )   $ (433 )   $ (1,175 )
December 31, 2015
     457       277       734  
September 30, 2015
     (656 )     (241 )     (897 )
June 30, 2015
     16       63       79  
March 31, 2015
     (686 )     (274 )     (960 )


 
-25-
 


Economic Net Portfolio Interest Income
  
(in thousands)
  
         
Interest Expense on Repurchase Agreements
        
               
Gains
                    
               
(Losses) on
                    
               
Derivative
                    
               
Instruments
          
Net Portfolio
  
               
Attributed
          
Interest Income
  
   
Interest
    
GAAP
    
to Current
    
Economic
    
GAAP
    
Economic
  
   
Income
    
Basis
    
Period(1)
    
Basis(2)
    
Basis
    
Basis(3)
  
Three Months Ended
  
March 31, 2016
   $ 817     $ 128     $ (45 )   $ 173     $ 690     $ 645  
December 31, 2015
     1,035       120       (31 )     151       915       884  
September 30, 2015
     996       107       (20 )     127       889       869  
June 30, 2015
     1,074       98       (9 )     107       976       967  
March 31, 2015
     1,207       100       (1 )     101       1,107       1,106  

(1)  
Reflects the effect of derivative instrument hedges for only the period presented.
(2)  
Calculated by subtracting the effect of derivative instrument hedges attributed to the period presented from GAAP interest expense.
(3)  
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net portfolio interest income.

Economic Net Interest Income
  
(in thousands)
  
         
Interest Expense on Junior Subordinated Notes
              
                     
Gains
                    
                     
(Losses) on
                    
                     
Derivative
                    
   
Net Portfolio
          
Instruments
                    
   
Interest Income
          
Attributed
          
Net Interest Income
  
   
GAAP
    
Economic
    
GAAP
    
to Current
    
Economic
    
GAAP
    
Economic
  
   
Basis
    
Basis(1)
    
Basis
    
Period(2)
    
Basis(3)
    
Basis
    
Basis(4)
  
Three Months Ended
  
March 31, 2016
   $ 690     $ 645     $ 264     $ (80 )   $ 344     $ 426     $ 301  
December 31, 2015
     915       884       255       (80 )     335       660       549  
September 30, 2015
     889       869       252       (74 )     326       637       543  
June 30, 2015
     976       967       248       (64 )     312       728       655  
March 31, 2015
     1,107       1,106       243       (54 )     297       864       809  

(1)  
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net portfolio interest income.
(2)  
Reflects the effect of derivative instrument hedges for only the period presented.
(3)  
Calculated by subtracting the effect of derivative instrument hedges attributed to the period presented from GAAP interest expense.
(4)  
Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net interest income.

Net Portfolio Income

During the three months ended March 31, 2016, the Company generated $0.7 million of net portfolio interest income, consisting of $0.8 million of interest income from MBS assets offset by $0.1 million of interest expense on repurchase liabilities.  For the comparable period ended March 31, 2015, the Company generated $1.1 million of net portfolio interest income, consisting of $1.2 million of interest income from MBS assets offset by $0.1 million of interest expense on repurchase liabilities.  The $0.4 million decrease in interest income for the three months ended March 31, 2016 was due to a combination of a 75 basis point decrease in yields earned on the portfolio and the $20.1 million decrease in average MBS balances.

 
-26-
 
The Company’s economic interest expense on repurchase liabilities for the three months ended March 31, 2016 and 2015 was $0.2 million and $0.1 million, respectively, resulting in $0.6 million and $1.1 million of economic net portfolio interest income, respectively.

The tables below provide information on our portfolio average balances, interest income, yield on assets, average repurchase agreement balances, interest expense, cost of funds, net interest income and net interest rate spread for the three months ended March 31, 2016 and for each quarter in 2015 on both a GAAP and economic basis.

($ in thousands)
                                                
   
Average
          
Yield on
    
Average
    
Interest Expense
    
Average Cost of Funds
  
   
MBS
    
Interest
    
Average
    
Repurchase
    
GAAP
    
Economic
    
GAAP
    
Economic
  
   
Held(1)
    
Income(2)
    
MBS
    
Agreements(1)
    
Basis
    
Basis(2)
    
Basis
    
Basis(3)
  
Three Months Ended
                                                
March 31, 2016
   $ 96,592     $ 817       3.39 %     90,014     $ 128     $ 173       0.57 %     0.77 %
December 31, 2015
     103,551       1,035       4.00 %     95,456       119       151       0.50 %     0.63 %
September 30, 2015
     115,437       996       3.45 %     107,442       108       127       0.40 %     0.47 %
June 30, 2015
     111,674       1,074       3.85 %     103,750       98       107       0.38 %     0.41 %
March 31, 2015
     116,709       1,207       4.14 %     108,129       100       101       0.37 %     0.37 %

($ in thousands)
                        
   
Net Portfolio
    
Net Portfolio
  
   
Interest Income
    
Interest Spread
  
   
GAAP
    
Economic
    
GAAP
    
Economic
  
   
Basis
    
Basis(2)
    
Basis
    
Basis(4)
  
Three Months Ended
                        
March 31, 2016
   $ 690     $ 645       2.82 %     2.62 %
December 31, 2015
     915       884       3.50 %     3.37 %
September 30, 2015
     889       869       3.05 %     2.98 %
June 30, 2015
     976       967       3.47 %     3.44 %
March 31, 2015
     1,107       1,106       3.77 %     3.77 %

(1)  
Portfolio yields and costs of borrowings presented in the table above and the tables on pages 28 and 29 are calculated based on the average balances of the underlying investment portfolio/repurchase agreement balances and are annualized for the quarterly periods presented. Average balances for quarterly periods are calculated using two data points, the beginning and ending balances.
(2)  
Economic interest expense and economic net interest income presented in the table above and the tables on page 28 include the effect of derivative instrument hedges for only the period presented.
(3)  
Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period related to hedging activities divided by Average MBS Held.
(4)  
Economic Net Interest Spread is calculated by subtracting Average Economic Cost of Funds from Yield on Average MBS Securities.

Interest Income and Average Earning Asset Yield

Interest income for the Company was $0.8 million for the three months ended March 31, 2016 and $1.2 million for the three months ended March 31, 2015.  Average MBS holdings were $96.6 million and $116.7 million for the three months ended March 31, 2016 and 2015, respectively. The $0.4 million decrease in interest income was due to a $20.1 million decrease in average MBS holdings, combined with a 75 basis point decrease in yields.


 
-27-
 


The table below presents the average portfolio size, income and yields of our respective sub-portfolios, consisting of structured MBS and pass-through MBS (“PT MBS”).

($ in thousands)
                                                      
   
Average MBS Held
    
Interest Income
    
Realized Yield on Average MBS
  
   
PT
    
Structured
          
PT
    
Structured
          
PT
    
Structured
        
   
MBS
    
MBS
    
Total
    
MBS
    
MBS
    
Total
    
MBS
    
MBS
    
Total
  
Three Months Ended
  
March 31, 2016
   $ 92,365     $ 4,227     $ 96,592     $ 783     $ 34     $ 817       3.39 %     3.25 %     3.39 %
December 31, 2015
     98,585       4,966       103,551       1,057       (22 )     1,035       4.29 %     (1.82 )%     4.00 %
September 30, 2015
     109,582       5,855       115,437       1,038       (42 )     996       3.79 %     (2.90 )%     3.45 %
June 30, 2015
     105,368       6,306       111,674       1,031       43       1,074       3.91 %     2.75 %     3.85 %
March 31, 2015
     111,035       5,674       116,709       1,090       117       1,207       3.93 %     8.25 %     4.14 %

Interest Expense on Repurchase Agreements and the Cost of Funds

Average outstanding balances under repurchase agreements for the Company were $90.0 million and $108.1 million, generating interest expense of $0.1 million and $0.1 million for the three months ended March 31, 2016 and 2015, respectively.  Our average cost of funds was 0.57% and 0.37% for three months ended March 31, 2016 and 2015, respectively.  There was a 20 basis point increase in the average cost of funds and an $18.1 million decrease in average outstanding balances under repurchase agreements during the three months ended March 31, 2016 as compared to the three months ended March 31, 2015. 
 
 
Because all of our repurchase agreements are short-term, changes in market rates directly affect our interest expense.  The Company’s average cost of funds calculated on a GAAP basis was 17 basis points above the average one-month LIBOR and 27 basis points below the average six-month LIBOR for the quarter ended March 31, 2016.  The Company’s average economic cost of funds was 37 basis points above the average one-month LIBOR and 7 basis points below the average six-month LIBOR for the quarter ended March 31, 2016. The average term to maturity of the outstanding repurchase agreements increased from 17 days at December 31, 2015 to 20 days at March 31, 2016.

The tables below present the average outstanding balances under all repurchase agreements, interest expense and average economic cost of funds, and average one-month and six-month LIBOR rates for the three months ended March 31, 2016 and for each quarter in 2015 on both a GAAP and economic basis.

($ in thousands)
                              
   
Average
                          
   
Balance of
    
Interest Expense
    
Average Cost of Funds
  
   
Repurchase
    
GAAP
    
Economic
    
GAAP
    
Economic
  
   
Agreements
    
Basis
    
Basis
    
Basis
    
Basis
  
Three Months Ended
                              
March 31, 2016
   $ 90,014     $ 128     $ 173       0.57 %     0.77 %
December 31, 2015
     95,456       120       151       0.50 %     0.63 %
September 30, 2015
     107,442       107       127       0.40 %     0.47 %
June 30, 2015
     103,750       98       107       0.38 %     0.41 %
March 31, 2015
     108,129       100       101       0.37 %     0.37 %


 
-28-
 



               
Average GAAP Cost of Funds
    
Average Economic Cost of Funds
  
               
Relative to Average
    
Relative to Average
  
   
Average LIBOR
    
One-Month
    
Six-Month
    
One-Month
    
Six-Month
  
   
One-Month
    
Six-Month
    
LIBOR
    
LIBOR
    
LIBOR
    
LIBOR
  
Three Months Ended
                                    
March 31, 2016
     0.40 %     0.84 %     0.17 %     (0.27 )%     0.37 %     (0.07 )%
December 31, 2015
     0.28 %     0.65 %     0.22 %     (0.15 )%     0.35 %     (0.02 )%
September 30, 2015
     0.19 %     0.49 %     0.21 %     (0.09 )%     0.28 %     (0.02 )%
June 30, 2015
     0.18 %     0.40 %     0.20 %     (0.02 )%     0.23 %     0.01 %
March 31, 2015
     0.17 %     0.35 %     0.20 %     0.02 %     0.20 %     0.02 %

Junior Subordinated Notes

Interest expense on the Company’s junior subordinated debt securities was approximately $0.3 million for the three month period ended March 31, 2016, compared to $0.2 for the same period in 2015.  The average rate of interest paid for the three months ended March 31, 2016 was 4.01% compared to 3.75% for the comparable period in 2015. The junior subordinated debt securities pay interest at a floating rate.  The rate is adjusted quarterly and set at a spread of 3.50% over the prevailing three-month LIBOR rate on the determination date.  As of March 31, 2016, the interest rate was 4.13%.

Gains or Losses and Other Income

The table below presents the Company’s gains or losses and other income for the three months ended March 31, 2016 and 2015.

(in thousands)
                  
   
2016
    
2015
    
Change
  
Realized gains on sales of MBS
   $ 232     $ -     $ 232  
Unrealized (losses) gains on MBS
     (288 )     829       (1,117 )
Total (losses) gains on MBS
     (56 )     829       (885 )
Losses on derivative instruments
     (1,300 )     (1,015 )     (285 )
Advisory services
     1,269       1,095       174  
Gains on retained interests
     546       1,486       (940 )
Unrealized gains on Orchid Island Capital, Inc.
     614       187       427  
Orchid Island Capital, Inc. dividends
     586       530       56  

We invest in MBS with the intent to earn net income from the realized yield on those assets over their related funding and hedging costs, and not for purposes of making short term gains from trading in these securities.   However, we have sold, and may continue to sell, existing assets to acquire new assets, which our management believes might have higher risk-adjusted returns in light of current or anticipated interest rates, federal government programs or general economic conditions or to manage our balance sheet as part of our asset/liability management strategy.  During the three months ended March 31, 2016, the Company received proceeds of $25.8 million from the sales of MBS.   For the three months ended March 31, 2015, the Company did not dispose of any MBS.
 
 

 
-29-
 


The fair value of the Company’s MBS portfolio and derivative instruments, and the gains (losses) reported on those financial instruments, are sensitive to changes in interest rates.  The table below presents historical interest rate data for each quarter end during 2016 and 2015.

               
15 Year
    
30 Year
    
Three
  
   
5 Year
    
10 Year
    
Fixed-Rate
    
Fixed-Rate
    
Month
  
   
Treasury Rate(1)
    
Treasury Rate(1)
    
Mortgage Rate(2)
    
Mortgage Rate(2)
    
Libor(3)
  
March 31, 2016
     1.22 %     1.79 %     2.97 %     3.69 %     0.63 %
December 31, 2015
     1.76 %     2.27 %     3.21 %     3.96 %     0.54 %
September 30, 2015
     1.38 %     2.06 %     3.10 %     3.89 %     0.33 %
June 30, 2015
     1.63 %     2.34 %     3.19 %     3.98 %     0.28 %
March 31, 2015
     1.38 %     1.93 %     3.04 %     3.77 %     0.27 %

(1)  
Historical 5 Year and 10 Year Treasury Rates are obtained from quoted end of day prices on the Chicago Board Options Exchange.
 
(2)  
Historical 30 Year and 15 Year Fixed Rate Mortgage Rates are obtained from Freddie Mac’s Primary Mortgage Market Survey.
 
(3)  
Historical LIBOR are obtained from the Intercontinental Exchange Benchmark Administration Ltd.
 

The retained interests in securitizations represent the residual net interest spread remaining after payments on the notes issued through the securitization.  Fluctuations in value of retained interests are primarily driven by projections of future interest rates (the forward LIBOR curve), the discount rate used to determine the present value of the residual cash flows and prepayment and loss estimates on the underlying mortgage loans.  During the three months ended March 31, 2016, the Company recorded gains on retained interests of $0.5 million compared to gains of $1.5 million and for the three months ended March 31, 2015.  The lower value in the current period is primarily due to lower projected future cash flows and a longer projected weighted average life.

Advisory Services

Advisory services revenue consist of management fees and overhead reimbursements charged to Orchid for the management of its portfolio pursuant to the terms of a management agreement.

Operating Expenses

For the three months ended March 31, 2016, the Company’s total operating expenses were approximately $1.4 million compared to approximately $5.0 million for the three months ended March 31, 2015.

(in thousands)
                  
   
2016
    
2015
    
Change
  
Compensation and benefits
   $ 796     $ 784     $ 12  
Legal fees
     64       177       (113 )
Accounting, auditing and other professional fees
     93       157       (64 )
Directors’ fees and liability insurance
     156       168       (12 )
Settlement of litigation
     -       3,500       (3,500 )
Other G&A expenses
     261       241       20  
    $ 1,370     $ 5,027     $ (3,657 )

In May 2015, Bimini Capital agreed to settle a legal action.  In connection with the settlement, a loss of $3.5 million was charged to operations for the three months ended March 31, 2015.


 
-30-
 


Financial Condition:

Mortgage-Backed Securities

As of March 31, 2016, the Company’s MBS portfolio consisted of $109.2 million of agency or government MBS at fair value and had a weighted average coupon of 4.33%.  During the three months ended March 31, 2016, the Company received principal repayments of $2.8 million compared to $4.1 million for the comparable period ended March 31, 2015.  The average prepayment speeds for the quarters ended March 31, 2016 and 2015 were 14.3% and 10.5%, respectively.

The following table presents the constant prepayment rate (“CPR”) experienced on the Company’s structured and PT MBS sub-portfolios, on an annualized basis, for the quarterly periods presented (including the impact of Orchid for all periods presented prior to Orchid’s deconsolidation on December 31, 2014).  CPR is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year. Specifically, the CPR in the chart below represents the three month prepayment rate of the securities in the respective asset category.  Assets that were not owned for the entire quarter have been excluded from the calculation.  The exclusion of certain assets during periods of high trading activity can create a very high, and often volatile, reliance on a small sample of underlying loans. The increase in prepayments during the three months ended June 30, 2015 was primarily due to the effects of lower residential mortgage rates in the previous quarter.

         
Structured
        
   
PT MBS
    
MBS
    
Total
  
Three Months Ended
  
Portfolio (%)
    
Portfolio (%)
    
Portfolio (%)
  
March 31, 2016
     11.8       16.6       14.3  
December 31, 2015
     7.9       13.7       10.4  
September 30, 2015
     13.4       12.4       13.0  
June 30, 2015
     16.2       15.3       15.9  
March 31, 2015
     9.6       12.3       10.5  

The following tables summarize certain characteristics of the Company’s PT MBS and structured MBS as of March 31, 2016 and December 31, 2015:

($ in thousands)
                  
         
Weighted
  
Weighted
    
     
Percentage
  
Average
  
Average
Weighted
Weighted
     
of
Weighted
Maturity
  
Coupon
Average
Average
   
Fair
Entire
Average
in
Longest
Reset in
Lifetime
Periodic
Asset Category
  
Value
Portfolio
Coupon
Months
Maturity
Months
Cap
Cap
March 31, 2016
                  
Fixed Rate MBS
$
105,325
96.5%
4.32%
326
1-Mar-46
NA
NA
NA
Hybrid Adjustable Rate MBS
  
116
0.1%
4.00%
310
20-Jan-42
12.03
9.00%
1.00%
Total PT MBS
  
105,441
96.6%
4.32%
326
1-Mar-46
NA
NA
NA
Interest-Only Securities
  
1,805
1.6%
3.10%
236
25-Feb-39
n/a
n/a
n/a
Inverse Interest-Only Securities
  
1,950
1.8%
6.09%
298
25-Apr-41
n/a
6.52%
n/a
Total Structured MBS
  
3,755
3.4%
4.65%
268
25-Apr-41
NA
NA
NA
Total Mortgage Assets
$
109,196
100.0%
4.33%
324
1-Mar-46
NA
NA
NA
December 31, 2015
                  
Fixed Rate MBS
$
79,170
94.3%
4.26%
313
1-Sep-45
NA
NA
NA
Hybrid Adjustable Rate MBS
  
118
0.1%
4.00%
313
20-Jan-42
15.03
9.00%
1.00%
Total PT MBS
  
79,288
94.4%
4.26%
313
1-Sep-45
NA
NA
NA
Interest-Only Securities
  
2,554
3.0%
3.10%
242
25-Dec-39
NA
NA
NA
Inverse Interest-Only Securities
  
2,146
2.6%
6.12%
301
25-Apr-41
NA
6.53%
NA
Total Structured MBS
  
4,700
5.6%
4.48%
269
25-Apr-41
NA
NA
NA
Total Mortgage Assets
$
83,988
100.0%
4.27%
310
1-Sep-45
NA
NA
NA
 
 
 
-31-
 

 
($ in thousands)
                        
   
March 31, 2016
    
December 31, 2015
  
         
Percentage of
          
Percentage of
  
Agency
  
Fair Value
    
Entire Portfolio
    
Fair Value
    
Entire Portfolio
  
Fannie Mae
   $ 75,994       69.6 %   $ 42,065       50.1 %
Freddie Mac
     32,542       29.8 %     40,929       48.7 %
Ginnie Mae
     660       0.6 %     994       1.2 %
Total Portfolio
   $ 109,196       100.0 %   $ 83,988       100.0 %

   
March 31, 2016
    
December 31, 2015
  
Weighted Average Pass-through Purchase Price
   $ 109.12     $ 107.96  
Weighted Average Structured Purchase Price
   $ 6.11     $ 6.11  
Weighted Average Pass-through Current Price
   $ 109.92     $ 107.86  
Weighted Average Structured Current Price
   $ 7.20     $ 8.45  
Effective Duration (1)
     2.701       2.326  

(1)  
Effective duration is the approximate percentage change in price for a 100 basis point change in rates.  An effective duration of 2.701 indicates that an interest rate increase of 1.0% would be expected to cause a 2.701% decrease in the value of the MBS in the Company’s investment portfolio at March 31, 2016.  An effective duration of 2.326 indicates that an interest rate increase of 1.0% would be expected to cause a 2.326% decrease in the value of the MBS in the Company’s investment portfolio at December 31, 2015. These figures include the structured securities in the portfolio but do include the effect of the Company’s funding cost hedges. Effective duration quotes for individual investments are obtained from The Yield Book, Inc.

The following table presents a summary of the Company’s portfolio assets acquired during the three months ended March 31, 2016 and 2015.

($ in thousands)
                                    
 
Three Months Ended March 31,
  
 
2016
  
2015
  
   
Total Cost
    
Average Price
    
Weighted Average Yield
    
Total Cost
    
Average Price
    
Weighted Average Yield
  
PT MBS
   $ 53,818     $ 111.36       2.51 %   $ -     $ -       -  
Structured MBS
     -       -       -       986       8.18       10.23 %

The Company’s portfolio of PT MBS is typically comprised of adjustable-rate MBS, fixed-rate MBS and hybrid adjustable-rate MBS. The Company generally seeks to acquire low duration assets that offer high levels of protection from mortgage prepayments provided they are reasonably priced by the market.  Although the duration of an individual asset can change as a result of changes in interest rates, the Company strives to maintain a hedged PT MBS portfolio with an effective duration of less than 2.0. The stated contractual final maturity of the mortgage loans underlying the Company’s portfolio of PT MBS generally ranges up to 30 years. However, the effect of prepayments of the underlying mortgage loans tends to shorten the resulting cash flows from the Company’s investments substantially. Prepayments occur for various reasons, including refinancing of underlying mortgages and loan payoffs in connection with home sales.

The duration of the Company’s IO and IIO portfolio will vary greatly depending on the structural features of the securities.  While prepayment activity will always affect the cash flows associated with the securities, the interest only nature of IO’s may cause their durations to become extremely negative when prepayments are high, and less negative when prepayments are low. Prepayments affect the durations of IIO’s similarly, but the floating rate nature of the coupon of IIOs (which is inversely related to the level of one month LIBOR) cause their price movements - and model duration - to be affected by changes in both prepayments and one month LIBOR - both current and anticipated levels.  As a result, the duration of IIO securities will also vary greatly.


 
-32-
 


Prepayments on the loans underlying the Company’s MBS can alter the timing of the cash flows from the underlying loans to the Company. As a result, the Company gauges the interest rate sensitivity of its assets by measuring their effective duration. While modified duration measures the price sensitivity of a bond to movements in interest rates, effective duration captures both the movement in interest rates and the fact that cash flows to a mortgage related security are altered when interest rates move. Accordingly, when the contract interest rate on a mortgage loan is substantially above prevailing interest rates in the market, the effective duration of securities collateralized by such loans can be quite low because of expected prepayments.

The Company faces the risk that the market value of its PT MBS assets will increase or decrease at different rates than that of its structured MBS or liabilities, including its hedging instruments. Accordingly, the Company assesses its interest rate risk by estimating the duration of its assets and the duration of its liabilities. The Company generally calculates duration and effective duration using various third-party models or obtains these quotes from third parties.  However, empirical results and various third-party models may produce different duration numbers for the same securities.

The following sensitivity analysis shows the estimated impact on the fair value of our interest rate-sensitive investments and hedge positions as of March 31, 2016, assuming rates instantaneously fall 100 basis points (“bps”), rise 100 bps and rise 200 bps, adjusted to reflect the impact of convexity, which is the measure of the sensitivity of our hedge positions and Agency MBS’ effective duration to movements in interest rates.
 
($ in thousands)
                                          
   
Fair
    
$ Change in Fair Value
    
% Change in Fair Value
  
MBS Portfolio
  
Value
    
-100BPS
    
+100BPS
    
+200BPS
    
-100BPS
    
+100BPS
    
+200BPS
  
Hybrid Adjustable Rate MBS
   $ 116     $ 2     $ (2 )   $ (3 )     1.51 %     (1.52 )%     (2.77 )%
Fixed Rate MBS
     105,325       2,789       (5,035 )     (10,972 )     2.65 %     (4.78 )%     (10.42 )%
Interest-Only MBS
     1,805       (872 )     754       1,227       (48.32 )%     41.77 %     67.94 %
Inverse Interest-Only MBS
     1,950       (299 )     9       (229 )     (15.35 )%     0.45 %     (11.75 )%
Total MBS Portfolio
   $ 109,196     $ 1,620     $ (4,274 )   $ (9,977 )     1.48 %     (3.91 )%     (9.14 )%

($ in thousands)
                                          
   
Notional
    
$ Change in Fair Value
    
% Change in Fair Value
  
   
Amount(1)
    
-100BPS
    
+100BPS
    
+200BPS
    
-100BPS
    
+100BPS
    
+200BPS
  
Eurodollar Futures Contracts
                                          
Repurchase Agreement Hedges
   $ 684,000     $ (718 )   $ 1,710     $ 3,420       (0.42 )%     1.01 %     2.02 %
Junior Subordinated Debt Hedges
     598,000       (993 )     1,495       2,990       (0.67 )%     1.01 %     2.03 %
    $ 1,282,000     $ (1,711 )   $ 3,205     $ 6,410       (0.54 )%     1.01 %     2.02 %
                                                         
Gross Totals
           $ (91 )   $ (1,069 )   $ (3,567 )                        
 
(1)  
Represents the total cumulative contract/notional amount of Eurodollar futures contracts.

In addition to changes in interest rates, other factors impact the fair value of the Company’s interest rate-sensitive investments and hedging instruments, such as the shape of the yield curve, market expectations as to future interest rate changes and other market conditions. Accordingly, in the event of changes in actual interest rates, the change in the fair value of the Company’s assets would likely differ from that shown above and such difference might be material and adverse to the Company’s stockholders.

Repurchase Agreements

As of March 31, 2016, the Company had established borrowing facilities in the repurchase agreement market with a number of commercial banks and other financial institutions and had borrowings in place with three of these counterparties.  We believe these facilities provide borrowing capacity in excess of our needs.  None of these lenders are affiliated with the Company. These borrowings are secured by the Company’s MBS and cash and bear interest rates that are based on a spread to LIBOR.

 
-33-
 
As of March 31, 2016, the Company had obligations outstanding under the repurchase agreements of approximately $102.8 million with a net weighted average borrowing cost of 0.68%. The remaining maturity of the Company’s outstanding repurchase agreement obligations ranged from 11 to 43 days, with a weighted average maturity of 20 days.  Securing the repurchase agreement obligation as of March 31, 2016 are MBS with an estimated fair value, including accrued interest and receivable for securities sold, of $107.5 million and a weighted average maturity of 326 months.  Through May 11, 2016, the Company has been able to maintain its repurchase facilities with comparable terms to those that existed at March 31, 2016 with maturities through July 25, 2016.

The table below presents information about our period-end and average repurchase agreement obligations for each quarter in 2016 and 2015.

($ in thousands)
  
               
Difference Between Ending
  
   
Ending Balance
    
Average Balance
    
Repurchase Agreements and
  
   
of Repurchase
    
of Repurchase
    
Average Repurchase Agreements
  
Three Months Ended
  
Agreements
    
Agreements
    
Amount
    
Percent
  
March 31, 2016
   $ 102,794     $ 90,014     $ 12,780       14.20 %(1)
December 31, 2015
     77,234       95,456       (18,222 )     (19.09 )%(2)
September 30, 2015
     113,677       107,442       6,235       5.80 %
June 30, 2015
     101,206       103,750       (2,544 )     (2.45 )%
March 31, 2015
     106,294       108,129       (1,835 )     (1.70 )%

(1)  
The higher ending balance relative to the average balance during the quarter ended March 31, 2016 reflects the repositioning of the portfolio. During the quarter ended March 31, 2016, the Company’s investment in PT MBS increased $26.2 million.
(2)  
The lower ending balance relative to the average balance during the quarter ended December 31, 2015 reflects the repositioning of the portfolio. During the quarter ended December 31, 2015, the Company’s investment in PT MBS decreased $38.6 million.

Liquidity and Capital Resources

Liquidity is our ability to turn non-cash assets into cash, purchase additional investments, repay principal and interest on borrowings, fund overhead, fulfill margin calls and pay dividends.  Our principal immediate sources of liquidity include cash balances, unencumbered assets, the availability to borrow under repurchase agreements, and fees and dividends received from Orchid.  Our borrowing capacity will vary over time as the market value of our interest earning assets varies.  Our balance sheet also generates liquidity on an on-going basis through payments of principal and interest we receive on our MBS portfolio, and from cash flows received from the retained interests and the collection of servicing advances.  Management believes that we currently have sufficient liquidity and capital resources available for (a) the acquisition of additional investments consistent with the size and nature of our existing MBS portfolio, (b) the repayments on borrowings, (c) the payment of overhead and operating expenses, and (d) the payment of other accrued obligations.

Our strategy for hedging our funding costs typically involves taking short positions in Eurodollar futures, T-Note futures, swaptions or other instruments. Since inception we have primarily used short positions in Eurodollar futures.  When the market causes these short positions to decline in value we are required to meet margin calls with cash.  This can reduce our liquidity position to the extent other securities in our portfolio move in price in such a way that we do not receive enough cash through margin calls to offset the Eurodollar related margin calls. If this were to occur in sufficient magnitude, the loss of liquidity might force us to reduce the size of the levered portfolio, pledge additional structured securities to raise funds or risk operating the portfolio with less liquidity.

Our master repurchase agreements have no stated expiration, but can be terminated at any time at our option or at the option of the counterparty. However, once a definitive repurchase agreement under a master repurchase agreement has been entered into, it generally may not be terminated by either party.  A negotiated termination can occur, but may involve a fee to be paid by the party seeking to terminate the repurchase agreement transaction.
 
 
 
-34-
 
Under our repurchase agreement funding arrangements, we are required to post margin at the initiation of the borrowing.  The margin posted represents the haircut, which is a percentage of the market value of the collateral pledged. To the extent the market value of the asset collateralizing the financing transaction declines, the market value of our posted margin will be insufficient and we will be required to post additional collateral.  Conversely, if the market value of the asset pledged increases in value, we would be over collateralized and we would be entitled to have excess margin returned to us by the counterparty.  Our lenders typically value our pledged securities daily to ensure the adequacy of our margin and make margin calls as needed, as do we.  Typically, but not always, the parties agree to a minimum threshold amount for margin calls so as to avoid the need for nuisance margin calls on a daily basis.

As discussed above, the Company invests a portion of its capital in structured MBS.  We do not apply leverage to this portion of our portfolio. The leverage inherent in the structured securities replaces the leverage obtained by acquiring PT securities and funding them in the repurchase market.  This structured MBS strategy has been a core element of the Company’s overall investment strategy since 2008.  However, we have and may continue to pledge a portion of our structured MBS in order to raise our cash levels, but generally will not pledge these securities in order to acquire additional assets.

In future periods we expect to continue to finance our activities through repurchase agreements.  As of March 31, 2016, the Company had cash and cash equivalents of $3.1 million.  We generated cash flows of $3.5 million from principal and interest payments on our MBS portfolio and $0.4 million from retained interests and had average repurchase agreements outstanding of $90.0 million during the three months ended March 31, 2016.  In addition, during the three months ended March 31, 2016, the Company received approximately $1.3 million in management fees and expense reimbursements as manager of Orchid and approximately $0.6 million in dividends from its investment in Orchid common shares.

In May 2015, Bimini Capital agreed to settle a legal action.  A loss of $3.5 million has been charged to operations for the three months ended March 31, 2015 related to this settlement.  Although payments under the settlement agreement will reduce the Company’s liquidity, management believes that the Company will be able to generate sufficient cash from its operations to meet the remaining payment obligations as they come due.

The table below summarizes the effect that certain future contractual obligations existing as of March 31, 2016 will have on our liquidity and cash flows.

(in thousands)
                              
   
Obligations Maturing
  
   
Within One Year
    
One to Three Years
    
Three to Five Years
    
More than Five Years
    
Total
  
Repurchase agreements
   $ 102,794     $ -     $ -     $ -     $ 102,794  
Interest expense on repurchase agreements(1)
     66       -       -       -       66  
Junior subordinated notes(2)
     -       -       -       26,000       26,000  
Interest expense on junior subordinated notes(1)
     1,136       2,179       2,182       16,038       21,535  
Litigation settlement
     250       500       250       -       1,000  
Totals
   $ 104,246     $ 2,679     $ 2,432     $ 42,038     $ 151,395  

(1)  
Interest expense on repurchase agreements and junior subordinated notes are based on current interest rates as of March 31, 2016 and the remaining term of liabilities existing at that date.
(2)  
The Company holds a common equity interest in Bimini Capital Trust II.  The amount presented represents the net cash outlay of the Company.


 
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Outlook

Orchid Island Capital Inc.

To the extent Orchid is able to increase its capital base over time, we will benefit via increased management fees.  In addition, Orchid is obligated to reimburse us for direct expenses paid on its behalf and to pay to us Orchid’s pro rata share of overhead as defined in the management agreement.  As a stockholder of Orchid, we will also continue to share in distributions, if any, paid by Orchid to its stockholders.

The independent Board of Directors of Orchid has the ability to terminate the management agreement and thus end our ability to collect management fees and share overhead costs.  Should Orchid terminate the management agreement without cause, it will pay us a termination fee equal to three times the average annual management fee, as defined in the management agreement, before or on the last day of the initial term or automatic renewal term.

Tax Matters

Bimini Capital was taxed as a REIT under the Code until December 31, 2014.  Certain trends and events experienced during 2015 caused Bimini Capital to no longer meet the Code’s rules and regulations to be taxed as a REIT, effective January 1, 2015.  In particular, additional offerings of common stock by Orchid in 2015 increased revenue attributable to management fees received from Orchid by Bimini Advisors. In addition, payments that have been and will be made by Bimini Capital pursuant to a litigation settlement agreement entered into in 2015 reduced and may continue to reduce the value of Bimini Capital’s assets and revenues generated by our MBS portfolio.  Consequently, the aggregate value of our two TRSs (MortCo and Bimini Advisors) increased in relation to the value of Bimini Capital’s assets to a level that exceeds the limits permitted under the Code.

The termination of our REIT status subjects Bimini Capital’s taxable income to federal and state corporate income taxes at regular corporate rates.  However, Bimini Capital and its subsidiaries have NOL carryforwards that, subject to various expiration dates, are available to offset taxable income.  Under our current ownership structure, the NOL carryforwards of each entity may generally be applied only to offset the taxable income of that entity. However, management is implementing certain internal restructuring transactions that would maximize our ability to utilize the existing federal NOL carryforwards.

In assessing the realizability of deferred tax assets, management considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of capital loss and NOL carryforwards is dependent upon the generation of future capital gains and taxable income in periods prior to their expiration.  We currently provide a valuation allowance for a portion of the deferred tax assets.  The valuation allowance relates primarily to the ability to utilize the NOL carryforwards of MortCo in future periods and is based on management’s estimated projections of future taxable income.

In addition, the termination of our REIT status eliminated the income, asset, distribution, and stock ownership requirements applicable to REITs, which provides us with more flexibility in executing our business strategy. Specifically, because we are no longer required to derive a significant portion of our income from mortgage or other real estate related investments, we have greater flexibility to invest in other types of assets as part of our principal investing activity, subject to maintaining compliance with our exclusion from regulation as an investment company under the Investment Company Act. In addition, because we no longer are subject to the REIT distribution requirement, we have greater flexibility to retain our earnings to fund future growth.


 
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Interest Rates

The global interest rate and capital markets volatility we experienced during the fourth quarter of 2015 continued for the first six or seven weeks of 2016. Economic data for the fourth quarter appeared weak and, as we moved into 2016, early reads on the state of the economy for the first quarter appeared weak as well.  Global financial markets were rocked by a new leg lower in oil which touched a multi-decade low in late January/early February.  Global equity markets reacted negatively and reached new lows last seen in August of 2015, when events in China roiled the markets. Both the oil and equity markets have since recovered, but the impact of these events had a meaningful impact on the Federal Reserve (the ”Fed”) and their outlook for additional rate hikes.  At the conclusion of the Federal Open Market Committee meeting in March and again in a public speech at the Economics Club of NY shortly thereafter, Chair Yellen made it clear the Fed was keenly focused on overseas events, the condition of the financial markets and their impact of the domestic economy.  Financial markets took these words to heart and current market pricing implied by Fed Funds futures and Eurodollar futures markets is for at most one additional hike in 2016.  This is in sharp contrast to the four 2016 rate hikes signaled by the Fed last December.  Public pronouncements by some Fed members have sounded more hawkish and implied the Fed may be close to resuming their removal of accommodation but Chair Yellen has also made it clear that words to the contrary spoken by other members of the committee will not carry the vote at future meetings.  The Chair’s position of control of the Fed appears to have strengthened over the past few months.

As we entered the second quarter of 2016 the U.S. economy generally appears to be on a trajectory of slow, sustainable growth.  However, many production based economic indicators were less positive in the fourth quarter of 2015 and the consensus forecast for first quarter of 2016 economic growth in the U.S. has dropped substantially from approximately 2.5% at the onset of the quarter to well under 1% currently. Most market participants expect a slight rebound over the course of the year.  The outlook has become somewhat less clear of late as output and production based measures of economic growth remain quite weak – reflecting the severe slow-down in mining and oil production as well as manufacturing slow down resulting from the strong dollar.  Employment based measures remain quite strong, however, and indicate the economy may be approaching full employment.  This divergence in economic indicators has contributed to the volatility in the markets and, as the Fed appears quite concerned with financial market volatility, reinforced the market’s conviction that the Fed will raise rates at an even slower rate than the Fed itself believes.

When and if the Fed does resume their tightening cycle and raises short term interest rates, a higher cost of capital for the Company could, in the longer-term, lead to narrowing net interest margins and lower yields on existing Agency MBS. Home sales and new single-family home construction remain relatively slow due, in part, to mortgage lending rules implemented under the Wall Street Reform and Consumer Protection Act (“Dodd-Frank”) and bank conservatism in efforts to, among other things, prevent future MBS repurchase requests. These factors have created a shortage of mortgage origination, resulting in low Agency MBS issuance. The Fed’s purchases of Agency MBS through reinvesting principal and interest payments it receives on its existing Agency MBS portfolio have continued to dominate the Agency MBS markets, where many participants perceive a lack of liquidity. The Fed’s purchases have contributed to strong Agency MBS demand and limited new investment opportunities in the fourth quarter of 2015. While the Fed has not indicated when it will cease or reduce its Agency MBS purchases by reinvesting principal and interest payments, private banks have less incentive to purchase Freddie Mac and Fannie Mae MBS, as the Basel III liquidity coverage ratio rules provide lower quality liquid asset credit for such securities on their balance sheet than for cash, U.S. Treasuries and MBS issued by Ginnie Mae.

While there are signs that slow and steady economic growth will continue to persist in the United States, uncertainty continues to dominate the market. We believe the general business environment will continue to be challenging for the rest of 2016. Our growth outlook is dependent, in part, on the strength of the financial markets, the impact of fiscal and monetary policy actions by the United States and other countries, and liquidity in the financial system. We do not anticipate the U.S. moving into a negative interest rate environment, and believe that the Fed will continue to remove accommodation at a very slow rate.  Our portfolio positioning is therefore unlikely to change materially over the course of the year.  We will continue to closely monitor the developments in the market and may seek to re-align our strategy as we evaluate the opportunities across the spectrum in the mortgage industry and other types of assets in a continuing effort to seek the highest risk-adjusted returns for our capital.


 
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Recent Regulatory Developments

In March 2015, housing and mortgage financial reform legislation, H.R. 1491, was proposed by congressmen John Delaney (D-MD), John Camey (D-DE) and James A. Himes (D­-CT), each of whom is a member of the House Financial Services Committee. The bill is called The Partnership to Strengthen Homeownership Act, and is similar to one introduced by the same congressmen in the last Congress (H.R. 5055), which never made it out of committee.   Under this proposed legislation, all government guaranteed single-family and multi-family mortgage­ backed securities will be supported by a minimum of 5% private sector capital, which will stand in a first loss position. The remaining 95% of the risk will be shared between Ginnie Mae and a private reinsurer on a pari passu basis. Fees paid to Ginnie Mae for providing these securities will be allocated to affordable housing programs.  Under the bill, Freddie Mac and Fannie Mae would be wound down over a five-year period, and their multifamily businesses will be spun out as separate entities. Ginnie Mae would be required to create and implement a workable multifamily guarantee that utilizes private sector pricing consistent with the single family model. The GSEs' current multifamily businesses would continue to function within the new multifamily housing market as purely private organizations with an explicit government guarantee provided by Ginnie Mae and a private sector reinsurer.

In May 2015, Senate Banking Committee Chairman Richard Shelby (R-AL) released a draft bill entitled The Regulatory Relief Bill of 2015 (the "Regulatory Relief Bill"). If enacted, this bill would increase the threshold for a financial institution to be deemed a Systemically Important Financial Institution ("SIFI") from $50 billion to $500 billion while giving the Financial Stability Oversight Council discretion to designate banks with greater than $50 billion in assets as SIFIs, give non-banks an opportunity to file a remedial plan addressing regulators' concerns before being designated as SIFIs, require an affirmative vote every five-years to renew the SIFI designation of non-banks, provide regulatory relief for community banks and broaden the Consumer Financial Protection Bureau Qualified Mortgage rule.  The draft bill was unable to win the support to bring it to a floor vote in the Senate.  In July 2015, Senator Shelby attached this bill to a Senate Appropriations Subcommittee mark-up of the Financial Services and General Government Appropriations Act for Fiscal Year 2016, which passed a subcommittee vote.

We expect debate and discussion on residential housing and mortgage reform to continue in 2016.  However, we cannot be certain if H.R. 1491, the Regulatory Relief Bill or any other housing- and/or mortgage-related bill will be approved by Congress, and if so, what the effect will be.

Effect on Us

Regulatory developments, movements in interest rates and prepayment rates as well as loan modification programs affect us in many ways, including the following:

Effects on our Assets

A change in or elimination of the guarantee structure of Agency MBS may increase our costs (if, for example, guarantee fees increase) or require us to change our investment strategy altogether. For example, the elimination of the guarantee structure of Agency MBS may cause us to change our investment strategy to focus on non-Agency MBS, which in turn would require us to significantly increase our monitoring of the credit risks of our investments in addition to interest rate and prepayment risks.

Lower long-term interest rates can affect the value of our Agency MBS in a number of ways. If prepayment rates are relatively low (due, in part, to the refinancing problems described above), lower long-term interest rates can increase the value of higher-coupon Agency MBS. This is because investors typically place a premium on assets with yields that are higher than market yields. Although lower long-term interest rates may increase asset values in our portfolio, we may not be able to invest new funds in similarly-yielding assets.


 
-38-
 


If prepayment levels increase, the value of our Agency MBS affected by such prepayments may decline. This is because a principal prepayment accelerates the effective term of an Agency MBS, which would shorten the period during which an investor would receive above-market returns (assuming the yield on the prepaid asset is higher than market yields). Also, prepayment proceeds may not be able to be reinvested in similar-yielding assets. Agency MBS backed by mortgages with high interest rates are more susceptible to prepayment risk because holders of those mortgages are most likely to refinance to a lower rate. IOs and IIOs, however, may be the types of Agency MBS most sensitive to increased prepayment rates. Because the holder of an IO or IIO receives no principal payments, the values of IOs and IIOs are entirely dependent on the existence of a principal balance on the underlying mortgages. If the principal balance is eliminated due to prepayment, IOs and IIOs essentially become worthless. Although increased prepayment rates can negatively affect the value of our IOs and IIOs, they have the opposite effect on POs. Because POs act like zero-coupon bonds, meaning they are purchased at a discount to their par value and have an effective interest rate based on the discount and the term of the underlying loan, an increase in prepayment rates would reduce the effective term of our POs and accelerate the yields earned on those assets, which would increase our net income.

Because we base our investment decisions on risk management principles rather than anticipated movements in interest rates, in a volatile interest rate environment we may allocate more capital to structured Agency MBS with shorter durations, such as short-term fixed and floating rate CMOs. We believe these securities have a lower sensitivity to changes in long-term interest rates than other asset classes. We may attempt to mitigate our exposure to changes in long-term interest rates by investing in IOs and IIOs, which typically have different sensitivities to changes in long-term interest rates than pass-through Agency MBS, particularly pass-through Agency MBS backed by fixed-rate mortgages.

We do not believe our investment portfolio will be materially affected by loan modification programs because Agency MBS backed by loans that would qualify for such programs (e.g., seriously delinquent loans) will be purchased by Fannie Mae and Freddie Mac at their par value prior to the implementation of such programs. However, if Fannie Mae and Freddie Mac were to modify or end their repurchase programs or if the U.S. Government modified its loan modification programs to modify non-delinquent mortgage loans, our investment portfolio could be negatively impacted.

Effects on our borrowing costs

We leverage our pass-through Agency MBS portfolio and a portion of our structured Agency MBS with principal balances through the use of short-term repurchase agreement transactions. The interest rates on our debt are determined by market levels of both the Federal Funds Rate and LIBOR. An increase in the U.S. Federal Funds Rate or LIBOR would increase our borrowing costs, which could affect our interest rate spread if there is no corresponding increase in the interest we earn on our assets. This would be most prevalent with respect to our Agency MBS backed by fixed rate mortgage loans because the interest rate on a fixed-rate mortgage loan does not change even though market rates may change.

In order to protect our net interest margin against increases in short-term interest rates, we may enter into interest rate swaps, which effectively convert our floating-rate repurchase agreement debt to fixed-rate debt, or utilize other hedging instruments such as Eurodollar and T-Note futures contracts or interest rate swaptions.


 
-39-
 


Summary

Over the past quarter the spread between short and long-term interest rates has been volatile as the market reacted to economic data and changing views on future rate hikes by the Federal Reserve.  This has marginally affected our net interest margin as spreads between Agency MBS and benchmark interest rates widened during the early stages of the first quarter before tightening into quarter end.  The spread ended the quarter above the year end level of 2015, but has since retraced most of the first quarter widening. Prepayment rates have increased as longer term rates declined during the quarter and, to the extent prepayment rates remain elevated, this could put pressure on our net interest margin. The market remains highly skeptical of the extent and timing of Federal Reserve increases in interest rates and the growth prospects for the global economy. However, economic data, as it is released, continues to have a significant impact in shaping market expectations.  These developments are very important to our results as increases in the Federal Funds Rate and LIBOR could significantly increase our financing costs, which could lower our net interest margin.

Critical Accounting Policies

Management’s discussion and analysis of financial condition and results of operations is based on the amounts reported in our consolidated financial statements.  These consolidated financial statements are prepared in accordance with GAAP. The Company’s significant accounting policies are described in Note 1 to the Company’s accompanying consolidated financial statements.
 
 
GAAP requires the Company’s management to make complex and subjective decisions and assessments.  The Company’s most critical accounting policies involve decisions and assessments which could significantly affect reported assets and liabilities, as well as reported revenues and expenses. The Company believes that all of the decisions and assessments upon which its financial statements are based were reasonable at the time made based upon information available to it at that time. There have been no changes to our critical accounting policies as discussed in our annual report on Form 10-K for the year ended December 31, 2015.

Capital Expenditures

At March 31, 2016, we had no material commitments for capital expenditures.

Off-Balance Sheet Arrangements

At March 31, 2016, we did not have any off-balance sheet arrangements.

Inflation

Virtually all of our assets and liabilities are interest rate sensitive in nature. As a result, interest rates and other factors influence our performance far more so than does inflation. Changes in interest rates do not necessarily correlate with inflation rates or changes in inflation rates. Our activities and balance sheet are measured with reference to historical cost and/or fair market value without considering inflation.

ITEM 3.  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

Not Applicable.


 
-40-
 


ITEM 4. CONTROLS AND PROCEDURES.

Evaluation of Disclosure Controls and Procedures

As of the end of the period covered by this report (the “evaluation date”), we carried out an evaluation, under the supervision and with the participation of our management, including our Chief Executive Officer (the “CEO”) and Chief Financial Officer (the “CFO”), of the effectiveness of the design and operation of our disclosure controls and procedures, as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934, as amended (“Exchange Act”). Based on this evaluation, the CEO and CFO concluded our disclosure controls and procedures, as designed and implemented, were effective as of the evaluation date (1) in ensuring that information regarding the Company and its subsidiaries 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) in providing reasonable assurance that information we must disclose in its periodic reports under the Exchange Act is recorded, processed, summarized and reported within the time periods prescribed by the SEC’s rules and forms.

Changes in Internal Controls over Financial Reporting

There were no significant changes in the Company’s internal control over financial reporting that occurred during the Company’s most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.

 
-41-
 

PART II.  OTHER INFORMATION

ITEM 1.  LEGAL PROCEEDINGS

We are not party to any material pending legal proceedings as described in Item 103 of Regulation S-K.

 

ITEM 1A.  RISK FACTORS.

There have been no material changes from the risk factors disclosed in the “Risk Factors” section of our Annual Report on Form 10-K filed with the SEC on March 22, 2016.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

During the three months ended March 31, 2016, the Company issued a total of 258,333 shares of Class A Common Stock to the Company’s executive officers in consideration for services performed for the Company.  The shares were issued pursuant to the exemption from registration under the Securities Act of 1933, as amended, contained in Section 4(a)(2) thereto.

ITEM 3.                      DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4.  MINE SAFETY DISCLOSURES.

Not Applicable.

ITEM 5.  OTHER INFORMATION

None.


 
-42-
 


ITEM 6. EXHIBITS

Exhibit No

3.1
Articles of Amendment and Restatement, incorporated by reference to Exhibit 3.1 to the Company’s Form S-11/A, filed with the SEC on April 29, 2004
  
3.2
Articles Supplementary, incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K, dated November 3, 2005, filed with the SEC on November 8, 2005
  
3.3
Articles of Amendment, incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K, dated February 10, 2006, filed with the SEC on February 15, 2006
  
3.4
Articles of Amendment, incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K, dated September 24, 2007, filed with the SEC on September 24, 2007
  
3.5
Amended and Restated Bylaws, incorporated by reference to Exhibit 3.2 to the Company’s Current Report on Form 8-K, dated September 24, 2007, filed with the SEC on September 24, 2007
  
31.1
Certification of the Principal Executive Officer, pursuant to Rule 13a-14(a) or 15d-14(a) of the Securities Exchange Act of 1934, as adopted pursuant to Section 302 of the Sarbanes Oxley Act of 2002*
  
31.2
Certification of the Principal Financial Officer, pursuant to Rule 13a-14(a) or 15d-14(a) of the Securities Exchange Act of 1934, as adopted pursuant to Section 302 of the Sarbanes Oxley Act of 2002*
  
32.1
Certification of the Chief Executive Officer, 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 the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes Oxley Act of 2002**
  
 
101.INS
Instance Document***
101.SCH
Taxonomy Extension Schema Document***
101.CAL
Taxonomy Extension Calculation Linkbase Document***
101.DEF
Additional Taxonomy Extension Definition Linkbase Document***
101.LAB
Taxonomy Extension Label Linkbase Document***
101.PRE
Taxonomy Extension Presentation Linkbase Document***

 
*
Filed herewith.
 
**
Furnished herewith
 
***
Submitted electronically herewith.

 
-43-
 

Signatures
 
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
BIMINI CAPITAL MANAGEMENT, INC.
 


Date:           May 11, 2016
  
By:
  /s/ Robert E. Cauley  
     
Robert E. Cauley
Chairman and Chief Executive Officer



Date:           May 11, 2016
  
By:
   /s/ G. Hunter Haas, IV  
     
G. Hunter Haas, IV
President, Chief Financial Officer, Chief Investment Officer and Treasurer (Principal Financial Officer and Principal Accounting Officer)

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Exhibit 31.1

CERTIFICATIONS
 
 

I, Robert E. Cauley, certify that:
 
1.  
I have reviewed this Quarterly Report on Form 10-Q of Bimini Capital Management, Inc. (the "registrant");
  
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 equivalent functions):
 
 
a)
all significant deficiencies and material weakness 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: May 11, 2016
  
   
  /s/ Robert E. Cauley  
Robert E. Cauley
  
Chairman of the Board and Chief Executive Officer
  
EX-31.2 4 bmnm10q20160331x312.htm EXHIBIT 31.2 bmnm10q20160331x312.htm
Exhibit 31.2

CERTIFICATIONS
 
 

I, G. Hunter Haas, certify that:
 
1.  
I have reviewed this Quarterly Report on Form 10-Q of Bimini Capital Management, Inc. (the "registrant");
  
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 equivalent functions):
 
 
a)
all significant deficiencies and material weakness 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: May 11, 2016
  
   
  /s/ G. Huner Haas, IV  
G. Hunter Haas, IV
  
President and Chief Financial Officer
  
 
 
 EX-32.1 5 bmnm10q20160331x321.htm EXHIBIT 32.1 bmnm10q20160331x321.htm
Exhibit 32.1

 
CERTIFICATION
PURSUANT TO SECTION 906 OF THE
SARBANES-OXLEY ACT OF 2002, 10 U.S.C. SECTION 1350

I, Robert E. Cauley, in compliance 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, hereby certify that, the Company’s Quarterly Report on Form 10-Q for the period ended March 31, 2016 (the “Report”) filed with the Securities and Exchange Commission:
 
 
1.  
fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2.  
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

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



May 11, 2016
     /s/ Robert E. Cauley
   
Robert E. Cauley,
Chairman of the Board and
Chief Executive Officer
 
 
 EX-32.2 6 bmnm10q20160331x322.htm EXHIBIT 32.2 bmnm10q20160331x322.htm
Exhibit 32.2

 

 
CERTIFICATION
PURSUANT TO SECTION 906 OF THE
SARBANES-OXLEY ACT OF 2002, 10 U.S.C. SECTION 1350

I, G. Hunter Haas, in compliance 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, hereby certify that, the Company’s Quarterly Report on Form 10-Q for the period ended March 31, 2016 (the “Report”) filed with the Securities and Exchange Commission:
 
 
1.  
fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2.  
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

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



May 11, 2016
     /s/ G. Hunter Haas, IV
   
G. Hunter Haas, IV
President and Chief Financial Officer

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style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 2</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. MORTGAGE-BACKED SECURITIES </font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table presents the Company&#8217;s </font><font style='font-family:Arial Narrow;font-size:11pt;' >MBS</font><font style='font-family:Arial Narrow;font-size:11pt;' > portfolio as of</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >: </font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >March 31, 2016</font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2015</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Pass-Through MBS:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Hybrid Adjustable-rate Mortgages </font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >116</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >118</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fixed-rate Mortgages </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >105,325</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >79,170</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total Pass-Through MBS</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >105,441</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >79,288</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Structured MBS:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Interest-Only Securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,805</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,554</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Inverse Interest-Only Securities</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,950</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,146</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total Structured MBS</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,755</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >4,700</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,196</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >83,988</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table summarizes the Company&#8217;s MBS portfolio as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, according to the contractual maturities</font><font style='font-family:Arial Narrow;font-size:11pt;' > of the securities in the portfolio</font><font style='font-family:Arial Narrow;font-size:11pt;' >. Actual maturities of MBS investments are generally shorter than stated </font><font style='font-family:Arial Narrow;font-size:11pt;' >contractual maturities and are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >March 31, 2016</font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Greater than five years and less than ten years </font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Greater than or equal to ten years</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,194</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >83,985</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,196</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >83,988</font></td></tr></table></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 3</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. RETAINED INTERESTS</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > IN SECURITIZATIONS</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table summarizes the </font><font style='font-family:Arial Narrow;font-size:11pt;' >estimated fair value of the </font><font style='font-family:Arial Narrow;font-size:11pt;' >Company&#8217;s re</font><font style='font-family:Arial Narrow;font-size:11pt;' >tained </font><font style='font-family:Arial Narrow;font-size:11pt;' >interests in asset backed securities as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:116.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:236.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Series</font></td><td style='width:236.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Issue Date</font></td><td colspan='2' rowspan='1' style='width:93.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:93.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >March 31, 2016</font></td><td colspan='2' rowspan='1' style='width:93.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:93.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-2</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >May 10, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >159</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >110</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-3</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >June 30, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >482</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >453</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-4</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >August 16, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >264</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >75</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-5</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >September 28, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >163</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >182</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-6</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >November 17, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >174</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >304</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > Total</font></td><td style='width:236.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,242</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,124</font></td></tr></table></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 4</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. REPURCHASE AGREEMENTS</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >, </font><font style='font-family:Arial Narrow;font-size:11pt;' >the Company</font><font style='font-family:Arial Narrow;font-size:11pt;' > had outstanding repurchase </font><font style='font-family:Arial Narrow;font-size:11pt;' >agreement </font><font style='font-family:Arial Narrow;font-size:11pt;' >obligations of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$102.8</font><font style='font-family:Arial Narrow;font-size:11pt;' > million with a net weighted average borrowing rate of </font><font style='font-family:Arial Narrow;font-size:11pt;' >0.68%</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' > These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$107.5</font><font style='font-family:Arial Narrow;font-size:11pt;' > million</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font><font style='font-family:Arial Narrow;font-size:11pt;' > As of December&#160;31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company had outstanding repurchase agreement obligations of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$77.2</font><font style='font-family:Arial Narrow;font-size:11pt;' > mil</font><font style='font-family:Arial Narrow;font-size:11pt;' >lion with a net weighted average borrowing rate of </font><font style='font-family:Arial Narrow;font-size:11pt;' >0.61%</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >These agreements were collateralized by MBS with a fair value</font><font style='font-family:Arial Narrow;font-size:11pt;' >, including accrued interest,</font><font style='font-family:Arial Narrow;font-size:11pt;' > of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$81.5</font><font style='font-family:Arial Narrow;font-size:11pt;' > million</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As of</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, </font><font style='font-family:Arial Narrow;font-size:11pt;' >the Company&#8217;s</font><font style='font-family:Arial Narrow;font-size:11pt;' > repurchase agreements had remaining maturities as summarized below:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >OVERNIGHT</font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >BETWEEN 2</font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >BETWEEN 31</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >GREATER </font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1 DAY OR</font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >AND</font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >AND</font></td><td style='width:7.5pt;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >THAN</font></td><td style='width:7.5pt;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >LESS)</font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >30 DAYS</font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >90 DAYS</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >90 DAYS</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >TOTAL</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >March 31, 2016</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fair value of securities pledged, including accrued</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >interest receivable</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >105,786</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,730</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,516</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase agreement liabilities associated with</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >these securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,503</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,291</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >102,794</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net weighted average borrowing rate</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.68%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.30%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.68%</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2015</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fair value of securities pledged, including accrued</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >interest receivable</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >81,464</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >81,464</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase agreement liabilities associated with</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >these securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,234</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,234</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net weighted average borrowing rate</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.61%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.61%</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >If, during the term of a repurchase agreement, a lender file</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > for bankruptcy, the Company might experience difficulty recovering its pledged assets</font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender</font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' >, including the accrued interest recei</font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' >vable</font><font style='font-family:Arial Narrow;font-size:11pt;color:#000000;' >, and cash posted by the Company as collateral, if any. </font><font style='font-family:Arial Narrow;font-size:11pt;' >At </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest payable, and the fair value of s</font><font style='font-family:Arial Narrow;font-size:11pt;' >ecurities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately </font><font style='font-family:Arial Narrow;font-size:11pt;' >$4.7</font><font style='font-family:Arial Narrow;font-size:11pt;' > million and </font><font style='font-family:Arial Narrow;font-size:11pt;' >$3.5</font><font style='font-family:Arial Narrow;font-size:11pt;' > million, respectively. The Company did not have an amount at risk with any </font><font style='font-family:Arial Narrow;font-size:11pt;' >individual coun</font><font style='font-family:Arial Narrow;font-size:11pt;' >terpart</font><font style='font-family:Arial Narrow;font-size:11pt;' >y greater than 10% of the Company&#8217;s equity at </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > or December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 5</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. DERIVATIVE FINANCIAL INSTRUMENTS</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding</font><font style='font-family:Arial Narrow;font-size:11pt;' > and junior subordinated notes</font><font style='font-family:Arial Narrow;font-size:11pt;' > by entering into derivative</font><font style='font-family:Arial Narrow;font-size:11pt;' >s and other hedging contracts. To date the Company has entered into Eurodollar and T-Note futures contracts, but may enter into other contracts in the future</font><font style='font-family:Arial Narrow;font-size:11pt;' >. The Company has not elected hedging treatment under GAAP, and as s</font><font style='font-family:Arial Narrow;font-size:11pt;' >uch all gains or losses (realized and unrealized) on these instruments are reflected in earnings for all periods presented.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, such instruments were comprised entirely of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Eurodollar futures contracts</font><font style='font-family:Arial Narrow;font-size:11pt;' >. Eurodollar f</font><font style='font-family:Arial Narrow;font-size:11pt;' >utures are cash settled futures contracts on an interest rate, with gains or losses credited or charged to the Company&#8217;s account on a daily basis and reflected in earnings as they occur. A minimum balance, or &#8220;margin&#8221;, is required to be maintained in the a</font><font style='font-family:Arial Narrow;font-size:11pt;' >ccount on a daily basis. The Company is exposed to the changes in value of the futures by the amount of margin held by the broker. This margin represents the collateral the Company has posted for its open positions and is recorded on the consolidated bala</font><font style='font-family:Arial Narrow;font-size:11pt;' >nce sheets as part of restricted cash.</font></p></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Eurodollar and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company&#8217;s cash accounts on a daily basis. A minimum balance, or &#8220;margin&#8221;, is required to be maintained in the account on</font><font style='font-family:Arial Narrow;font-size:11pt;' > a daily basis. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The </font><font style='font-family:Arial Narrow;font-size:11pt;' >tables below present information related to the Company&#8217;s Eurodollar futures positions at </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of March 31, 2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='5' rowspan='1' style='width:248.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:248.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase Agreement Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.59%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.76%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(351)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.95%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(719)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >43,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.21%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.17%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(444)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2019</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >30,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.63%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.46%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(51)</font></td></tr><tr style='height:15.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45,600</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.96%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.05%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,565)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of March 31, 2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='6' rowspan='1' style='width:258pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:258pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Junior Subordinated Debt Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.73%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.76%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(190)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.49%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.95%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(399)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.16%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.19%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(252)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2019</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.65%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.46%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(47)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2020</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.95%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.73%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(56)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2021</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.22%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.99%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(61)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.05%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.37%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,005)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of December 31, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='5' rowspan='1' style='width:249pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:249pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase Agreement Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.45%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.98%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(264)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.59%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(362)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.65%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.91%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(207)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.00%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.41%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(833)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of December 31, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='6' rowspan='1' style='width:258pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:258pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Junior Subordinated Debt Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.77%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.98%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(205)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.49%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.59%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(234)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.94%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.91%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(134)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.29%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.41%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(573)</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:10pt;' >Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.</font></p></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Loss </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >From Derivative Instruments, Net</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The table below presents the effect of the Company&#8217;s derivative financial instruments on the consolidated statements of operations for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:397.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:397.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:397.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:397.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:397.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:397.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Eurodollar futures contracts (short positions)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,300)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,015)</font></td></tr><tr style='height:12.75pt;' ><td style='width:397.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:397.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net losses on derivative instruments</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,300)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,015)</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Credit Risk-Related Contingent Features</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the </font><font style='font-family:Arial Narrow;font-size:11pt;' >contracts. The Company attempts to minimize this risk </font><font style='font-family:Arial Narrow;font-size:11pt;' >in several ways. For instruments which are not</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >centrally cleared on a registered exchange</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company limits its counterparties </font><font style='font-family:Arial Narrow;font-size:11pt;' >to major financial institutions with acceptable credit ratings</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >by </font><font style='font-family:Arial Narrow;font-size:11pt;' >m</font><font style='font-family:Arial Narrow;font-size:11pt;' >onitoring positions with individual counterparties. In addition, the Company may be required to pledge assets as collateral for its derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative co</font><font style='font-family:Arial Narrow;font-size:11pt;' >ntract. In the event of a default by a counterparty, the Company may not receive payments provided for under the terms of its derivative agreements, and may have difficulty obtaining its assets pledged as collateral for its derivatives. The cash and cash e</font><font style='font-family:Arial Narrow;font-size:11pt;' >quivalents pledged as collateral for the Company&#8217;s derivative instruments are included in restricted cash on the consolidated balance sheets.</font></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 7</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >OFFSETTING ASSETS AND LIABILITIES</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company&#8217;s derivatives and repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the </font><font style='font-family:Arial Narrow;font-size:11pt;' >event of bankruptcy of either party to the transactions. The Company reports its assets and liabilities subject to these arrangements on a gross basis. The following table presents information regarding those assets and liabilities subject to such arrang</font><font style='font-family:Arial Narrow;font-size:11pt;' >ements as if the Company had presented them on a net basis as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='13' rowspan='1' style='width:541.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:541.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Offsetting of Liabilities</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:134.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:134.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount Not Offset in the</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net Amount</font></td><td colspan='4' rowspan='1' style='width:134.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:134.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated Balance Sheet</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Calibri;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >of Liabilities</font></td><td colspan='2' rowspan='1' style='width:69pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Financial</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Offset in the</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Presented in the</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Instruments</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Cash</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >of Recognized</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Posted as</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Posted as</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Liabilities</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Balance Sheet</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Balance Sheet</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Collateral</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Collateral</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >March 31, 2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase Agreements</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >102,794</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >102,794</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(102,794)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2015</font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase Agreements</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,234</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,234</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(77,234)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The amounts disclosed for collateral received by or posted to the same counterparty are limited to the amount sufficient to reduce the asset or liability presented in the consolidated balance sheet to zero in accordance with ASU No. 2011-11, as amended by</font><font style='font-family:Arial Narrow;font-size:11pt;' > ASU No. 2013-01. The fair value of the actual collateral received by or posted to the same counterparty typically exceeds the amounts presented. See Note</font><font style='font-family:Arial Narrow;font-size:11pt;' > 6</font><font style='font-family:Arial Narrow;font-size:11pt;' > for a discussion of collateral posted for, or received against, repurchase obliga</font><font style='font-family:Arial Narrow;font-size:11pt;' >tions and derivative instruments.</font></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 8</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. TRUST PREFERRED SECURITIES</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >During 2005, </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Capital sponsored </font><font style='font-family:Arial Narrow;font-size:11pt;' >the formation of a </font><font style='font-family:Arial Narrow;font-size:11pt;' >statutory trust, known as Bimini Capital Trust II (&#8220;BCTII&#8221;) of which 100% of the common eq</font><font style='font-family:Arial Narrow;font-size:11pt;' >uity is owned by Bimini Capital. It was</font><font style='font-family:Arial Narrow;font-size:11pt;' > formed for the purpose of issuing trust preferred capital securities to third-party investors and investing the proceeds from the sale of such capital securities solely in junior subordinated debt securities of Bimini Capital. The debt securities held by </font><font style='font-family:Arial Narrow;font-size:11pt;' >BCTII</font><font style='font-family:Arial Narrow;font-size:11pt;' > are the sole assets of </font><font style='font-family:Arial Narrow;font-size:11pt;' >BCTII</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >As of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > the outstanding principal balance on the junior subordinated debt securities owed to BCTII was $26.8 million. The BCTII trust preferred securities and Bimini Capital&#39;s BCTII </font><font style='font-family:Arial Narrow;font-size:11pt;' >Junior Subordinated Notes have a rate of interest that floats at a spread of 3.50% over the prevailing three-month LIBOR rate. </font><font style='font-family:Arial Narrow;font-size:11pt;' >As of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the interest rate was </font><font style='font-family:Arial Narrow;font-size:11pt;' >4.13%</font><font style='font-family:Arial Narrow;font-size:11pt;' >. The BCTII trust preferred securities and Bimini Capital&#39;s BCTII Junior </font><font style='font-family:Arial Narrow;font-size:11pt;' >Subordinated Notes require quarterly interest distributions and are</font><font style='font-family:Arial Narrow;font-size:11pt;' > redeemable at Bimini Capital&#39;s option, in whole or in part and without penalty. Bimini Capital&#39;s BCTII Junior Subordinated Notes are subordinate and junior in right of payment of all pr</font><font style='font-family:Arial Narrow;font-size:11pt;' >esent and future senior indebtedness. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >BCTII is a VIE because the holders of the equity investment at risk do not have adequate decision making ability over BCTII&#8217;s activities. Since Bimini Capital&#39;s investment in BCTII&#8217;s common equity securities was fina</font><font style='font-family:Arial Narrow;font-size:11pt;' >nced directly by BCTII as a result of its loan of the proceeds to Bimini Capital, that investment is not considered to be an equity investment at risk. Since Bimini Capital&#39;s common share investment in BCTII is not a variable interest, Bimini Capital is no</font><font style='font-family:Arial Narrow;font-size:11pt;' >t the primary beneficiary of BCTII. Therefore, Bimini Capital has not consolidated the financial statements of BCTII into its consolidated financial statements.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The accompanying consolidated financial statements present Bimini Capital&#39;s BCTII Junior Subor</font><font style='font-family:Arial Narrow;font-size:11pt;' >dinated Notes issued to BCTII as a liability and Bimini Capital&#39;s investment in the common equity securities of BCTII as an asset (included in other assets). For financial statement purposes, Bimini Capital records payments of interest on the Junior Subor</font><font style='font-family:Arial Narrow;font-size:11pt;' >dinated Notes issued to BCTII as interest expense.</font></p></div> <div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 9. </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >COMMON</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > STOCK</font></p></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The table below presents information related to Bimini Capital&#8217;s Class A Common Stock issued during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >. </font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:15pt;' ><td style='width:375pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:375pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:150pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:150pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended March 31,</font></td></tr><tr style='height:12.75pt;' ><td style='width:375pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:375pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Shares Issued Related To:</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:375pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:375pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Directors&#39; compensation</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >8,115</font></td></tr><tr style='height:12.75pt;' ><td style='width:375pt;text-align:left;border-color:Black;min-width:375pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Vesting incentive plan shares</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >258,333</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:375pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:375pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total shares of Class A Common Stock issued</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >258,333</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >8,115</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >There were no issuances of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Capital</font><font style='font-family:Arial Narrow;font-size:11pt;' >&#39;s Class B Common Stock and Class C Common Stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 14</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. FAIR VALUE</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Authoritative accounting literature establishes a framework for using fair value to measure assets and liabilities and defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an </font><font style='font-family:Arial Narrow;font-size:11pt;' >exit price) as opposed to the price that would be paid to acquire the asset or received to assume the liability (an entry price). A fair value measure should reflect the assumptions that market participants would use in pricing the asset or liability, incl</font><font style='font-family:Arial Narrow;font-size:11pt;' >uding the assumptions about the risk inherent in a particular valuation technique, the effect of a restriction on the sale or use of an asset and the risk of non-performance. Required disclosures include stratification of balance sheet amounts measured at </font><font style='font-family:Arial Narrow;font-size:11pt;' >fair value based on inputs the Company uses to derive fair value measurements. These stratifications are:</font></p><p style='text-align:left;line-height:13.8pt;' ></p><ul><li style='list-style:disc;text-align:left;margin-top:0pt;margin-bottom:0pt;' ><font style='font-family:Arial Narrow;font-size:11pt;' >Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active markets (which include </font><font style='font-family:Arial Narrow;font-size:11pt;' >exchanges and over-the-counter markets with sufficient volume),</font></li><li style='list-style:disc;text-align:left;margin-top:0pt;margin-bottom:0pt;' ><font style='font-family:Arial Narrow;font-size:11pt;' >Level 2 valuations, where the valuation is based on quoted market prices for similar instruments traded in active markets, quoted prices for identical or similar instruments in markets that ar</font><font style='font-family:Arial Narrow;font-size:11pt;' >e not active and model-based valuation techniques for which all significant assumptions are observable in the market, and</font></li><li style='list-style:disc;text-align:left;margin-top:0pt;margin-bottom:0pt;' ><font style='font-family:Arial Narrow;font-size:11pt;' >Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in th</font><font style='font-family:Arial Narrow;font-size:11pt;' >e market, but observable based on Company-specific data. These unobservable assumptions reflect the Company&#8217;s own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques typically include option </font><font style='font-family:Arial Narrow;font-size:11pt;' >pricing models, discounted cash flow models and similar techniques, but may also include the use of market prices of assets or liabilities that are not directly comparable to the subject asset or liability.</font></li></ul><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company&#8217;s MBS are valued using Level 2 valua</font><font style='font-family:Arial Narrow;font-size:11pt;' >tions, and such valuations currently are determined by the Company based on independent pricing sources and/or third-party broker quotes, when available. Because the price estimates may vary, the Company must make certain judgments and assumptions about th</font><font style='font-family:Arial Narrow;font-size:11pt;' >e appropriate price to use to calculate the fair values. Alternatively, the Company could opt to have the value of all of our MBS positions determined by either an independent third-party or do so internally. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >MBS, </font><font style='font-family:Arial Narrow;font-size:11pt;' >Orchid common stock, </font><font style='font-family:Arial Narrow;font-size:11pt;' >retained interests and futures contracts were all </font><font style='font-family:Arial Narrow;font-size:11pt;' >recorded at fair value on a recurring basis during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >. When determining fair value measurements, the Company considers the principal or m</font><font style='font-family:Arial Narrow;font-size:11pt;' >ost advantageous market in which it would transact and considers assumptions that market participants would use when pricing the asset. When possible, the Company looks to active and observable markets to price identical assets. When identical assets are </font><font style='font-family:Arial Narrow;font-size:11pt;' >not traded in active markets, the Company looks to market observable data for similar assets. Fair value measurements for the retained interests are generated by a model that requires management to make a significant number of assumptions. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following</font><font style='font-family:Arial Narrow;font-size:11pt;' > table presents financial assets and liabilities measured at fair value on a recurring basis as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >:</font></p></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table illustrates a roll forward for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:153.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:153.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Retained Interests</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balances, January 1</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,124</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,900</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Gain included in earnings</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >546</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,486</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Collections</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(428)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(996)</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balances, March 31</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,242</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,390</font></td></tr></table></div><p style='line-height:20pt;' /><div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >During the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, there were no transfers of financial assets or liabilities between levels 1, 2 or 3.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Our retained interests are valued based on a discounted cash flow approach. These values are sensitive to changes in unobservable inputs, including: estimated prepayment speeds, default rates and loss severity, weighted-average life, and discount rates. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Significant increases or decreases in any of these inputs may result in significantly different fair value measurements.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table summarizes the significant quantitative information about our level 3 fair value measurements as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Retained interests fair value </font><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 1,242 </font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >CPR Range</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Prepayment Assumption</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Constant Prepayment Rate</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10% (10%)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Severity</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Default Assumptions</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Probability of Default</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Range Of Loss Timing</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Real Estate Owned</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >29%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Next 10 Months</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans in Foreclosure</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >29%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > Month 4 - 13</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 90 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 60 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >85%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 30 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >75%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Current Loans</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3.0%</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 29 and Beyond</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Remaining Life Range</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Discount Rate Range</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Cash Flow Recognition</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Valuation Technique</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Nominal Cash Flows</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flow</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.2 - 14.9 (9.8)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >27.50% (27.50%)</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flows</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flow</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.3 - 4.1 (1.7)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >27.50% (27.50%)</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >March 31, 2016</font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2015</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Pass-Through MBS:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Hybrid Adjustable-rate Mortgages </font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >116</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >118</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fixed-rate Mortgages </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >105,325</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >79,170</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total Pass-Through MBS</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >105,441</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >79,288</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Structured MBS:</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Interest-Only Securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,805</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,554</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Inverse Interest-Only Securities</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,950</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,146</font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:348.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:348.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total Structured MBS</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3,755</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >4,700</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,196</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >83,988</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of March 31, 2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='5' rowspan='1' style='width:248.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:248.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase Agreement Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.59%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.76%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(351)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.95%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(719)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >43,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.21%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.17%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(444)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2019</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:59.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >30,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.63%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.46%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(51)</font></td></tr><tr style='height:15.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:59.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:59.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45,600</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.96%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.05%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,565)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of March 31, 2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='6' rowspan='1' style='width:258pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:258pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Junior Subordinated Debt Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.73%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.76%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(190)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.49%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.95%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(399)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.16%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.19%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(252)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2019</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.65%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.46%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(47)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2020</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.95%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.73%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(56)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2021</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.22%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.99%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(61)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.05%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.37%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,005)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of December 31, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='5' rowspan='1' style='width:249pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:249pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase Agreement Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.45%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.98%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(264)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.23%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.59%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(362)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.65%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.91%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(207)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >56,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.00%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.41%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(833)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of December 31, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='6' rowspan='1' style='width:258pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:258pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Junior Subordinated Debt Funding Hedges</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Contract</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:center;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Notional</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Entry</font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Effective</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Open</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Expiration Year</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Rate</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Equity</font><sup><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1)</font></sup></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.77%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.98%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(205)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2017</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.49%</font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.59%</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(234)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2018</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.94%</font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.91%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(134)</font></td></tr><tr style='height:12.75pt;' ><td style='width:273.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:273.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total / Weighted Average</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >26,000</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.29%</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.41%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(573)</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:397.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:397.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:397.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:397.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:397.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:397.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Eurodollar futures contracts (short positions)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,300)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,015)</font></td></tr><tr style='height:12.75pt;' ><td style='width:397.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:397.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net losses on derivative instruments</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,300)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,015)</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='13' rowspan='1' style='width:541.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:541.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Offsetting of Liabilities</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:134.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:134.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount Not Offset in the</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net Amount</font></td><td colspan='4' rowspan='1' style='width:134.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:134.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated Balance Sheet</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Calibri;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >of Liabilities</font></td><td colspan='2' rowspan='1' style='width:69pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Financial</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Gross Amount</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Offset in the</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Presented in the</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Instruments</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Cash</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >of Recognized</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Consolidated</font></td><td colspan='2' rowspan='1' style='width:69pt;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Posted as</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Posted as</font></td><td colspan='2' rowspan='1' style='width:65.25pt;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Net</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Liabilities</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Balance Sheet</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Balance Sheet</font></td><td colspan='2' rowspan='1' style='width:69pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Collateral</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Collateral</font></td><td colspan='2' rowspan='1' style='width:65.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:65.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Amount</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >March 31, 2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase Agreements</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >102,794</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >102,794</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(102,794)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2015</font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:56.25pt;border-top-style:double;border-top-width:3;text-align:center;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:135pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:135pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase Agreements</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,234</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,234</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(77,234)</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:double;border-bottom-width:3;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:56.25pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:56.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:15pt;' ><td style='width:375pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:375pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:150pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:150pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended March 31,</font></td></tr><tr style='height:12.75pt;' ><td style='width:375pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:375pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Shares Issued Related To:</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:375pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:375pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Directors&#39; compensation</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >8,115</font></td></tr><tr style='height:12.75pt;' ><td style='width:375pt;text-align:left;border-color:Black;min-width:375pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Vesting incentive plan shares</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >258,333</font></td><td style='width:75pt;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:375pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:375pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total shares of Class A Common Stock issued</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >258,333</font></td><td style='width:75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >8,115</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:153.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:153.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Retained Interests</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial;font-size:10pt;color:#000000;' ></font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balances, January 1</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,124</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,900</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Gain included in earnings</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >546</font></td><td style='width:14.25pt;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,486</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Collections</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(428)</font></td><td style='width:14.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:69.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(996)</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Balances, March 31</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,242</font></td><td style='width:14.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:14.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:69.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:69.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2,390</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Retained interests fair value </font><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:114pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > 1,242 </font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >CPR Range</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Prepayment Assumption</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Constant Prepayment Rate</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >10% (10%)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Severity</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Default Assumptions</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Probability of Default</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Range Of Loss Timing</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Real Estate Owned</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >29%</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Next 10 Months</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans in Foreclosure</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >29%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > Month 4 - 13</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 90 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >100%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 60 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >85%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Loans 30 Day Delinquent</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >75%</font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 11-28</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Current Loans</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3.0%</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >45%</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Month 29 and Beyond</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Remaining Life Range</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Discount Rate Range</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Cash Flow Recognition</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Valuation Technique</font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:114pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(Weighted Average)</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Nominal Cash Flows</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flow</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.2 - 14.9 (9.8)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >27.50% (27.50%)</font></td></tr><tr style='height:12.75pt;' ><td style='width:187.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:187.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flows</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Discounted Cash Flow</font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.3 - 4.1 (1.7)</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:114pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:114pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >27.50% (27.50%)</font></td></tr></table></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Consolidation </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The accompanying consolidated financial statements include the accounts of Bimini Capital, Bimini Advisors Holdings, LLC, and its </font><font style='font-family:Arial Narrow;font-size:11pt;' >wholly-owned subsidiary, Bimini Advisors, LLC (together &#8220;Bimini Advisors&#8221;), and MortCo </font><font style='font-family:Arial Narrow;font-size:11pt;' >TRS, LLC </font><font style='font-family:Arial Narrow;font-size:11pt;' >and its consolidated subsidiaries </font><font style='font-family:Arial Narrow;font-size:11pt;' >(&#8220;MortCo&#8221;)</font><font style='font-family:Arial Narrow;font-size:11pt;' >. All inter-company accounts and transactions have been eliminated from the consolidated financial statements. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Fi</font><font style='font-family:Arial Narrow;font-size:11pt;' >nancial Accounting Standards Board (the &#8220;FASB&#8221;) Accounting Standards Codification (&#8220;ASC&#8221;) T</font><font style='font-family:Arial Narrow;font-size:11pt;' >opic 810, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Consolidation</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires </font><font style='font-family:Arial Narrow;font-size:11pt;' >the </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidat</font><font style='font-family:Arial Narrow;font-size:11pt;' >ion of a</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >variable interest entity (&#8220;</font><font style='font-family:Arial Narrow;font-size:11pt;' >VIE</font><font style='font-family:Arial Narrow;font-size:11pt;' >&#8221;)</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >by an enterprise </font><font style='font-family:Arial Narrow;font-size:11pt;' >if it is deemed the primary beneficiary of the VIE. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE</font><font style='font-family:Arial Narrow;font-size:11pt;' >, an</font><font style='font-family:Arial Narrow;font-size:11pt;' > ongoing assessment of whether an enterprise is the primary beneficiary of a VIE</font><font style='font-family:Arial Narrow;font-size:11pt;' >, and</font><font style='font-family:Arial Narrow;font-size:11pt;' > additional disclosures for entities that have variable interests in VI</font><font style='font-family:Arial Narrow;font-size:11pt;' >Es</font><font style='font-family:Arial Narrow;font-size:11pt;' >. As further described in Note 8, Bimini Capital has a common share investment in a trust used in connection with the issuance of Bimini Capital&#8217;s junior subordinated notes. Pursuant to ASC 810, management has concluded that, while the trust is a V</font><font style='font-family:Arial Narrow;font-size:11pt;' >IE, Bimini Capital&#8217;s common share investment in the trust is not a variable interest. Therefore, the trust has not been consolidated in the financial statements of Bimini Capital, and accordingly, this investment has been accounted for on the equity metho</font><font style='font-family:Arial Narrow;font-size:11pt;' >d. </font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Basis of Presentation </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The accompanying unaudited </font><font style='font-family:Arial Narrow;font-size:11pt;' >condensed </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statements have been prepared in accordance with accounting principles generally accepted in the United States (&#8220;GAAP&#8221;) for interim financial information and with the instructio</font><font style='font-family:Arial Narrow;font-size:11pt;' >ns to Form 10-Q and Article 8 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accru</font><font style='font-family:Arial Narrow;font-size:11pt;' >als) considered necessary for a fair presentation have been included. Operating results fo</font><font style='font-family:Arial Narrow;font-size:11pt;' >r the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > month period</font><font style='font-family:Arial Narrow;font-size:11pt;' > ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > are not necessarily indicative of the results that may be expected for the year end</font><font style='font-family:Arial Narrow;font-size:11pt;' >ing</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The </font><font style='font-family:Arial Narrow;font-size:11pt;' >c</font><font style='font-family:Arial Narrow;font-size:11pt;' >onsolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >balance sheet at December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > has been derived from the audited financial statements at that date but does not include all of the information and footnotes required by GAAP for complete </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statements. For further in</font><font style='font-family:Arial Narrow;font-size:11pt;' >formation, refer to the financial statements and footnotes thereto included in the Company&#8217;s </font><font style='font-family:Arial Narrow;font-size:11pt;' >A</font><font style='font-family:Arial Narrow;font-size:11pt;' >nnual </font><font style='font-family:Arial Narrow;font-size:11pt;' >R</font><font style='font-family:Arial Narrow;font-size:11pt;' >eport on Form 10-K for the year ended December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Use of Estimates</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The preparation of financial statements in conformity with GAAP requires </font><font style='font-family:Arial Narrow;font-size:11pt;' >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</font><font style='font-family:Arial Narrow;font-size:11pt;' > reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying consolidated financial statements include the fair values of MBS, investment in Orchid common shares, derivatives, retained interests, as</font><font style='font-family:Arial Narrow;font-size:11pt;' >set valuation allowances and deferred tax asset allowances recorded for each accounting period.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Statement of Comprehensive Income</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In accordance with ASC Topic 220, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Comprehensive Income</font><font style='font-family:Arial Narrow;font-size:11pt;' >, a statement of comprehensive income has not been included as the Com</font><font style='font-family:Arial Narrow;font-size:11pt;' >pany has no items of other comprehensive income</font><font style='font-family:Arial Narrow;font-size:11pt;' > (loss)</font><font style='font-family:Arial Narrow;font-size:11pt;' >.&#160; Comprehensive </font><font style='font-family:Arial Narrow;font-size:11pt;' >income (loss)</font><font style='font-family:Arial Narrow;font-size:11pt;' > is the same as net </font><font style='font-family:Arial Narrow;font-size:11pt;' >income (loss)</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >for all periods presented.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Cash and Cash Equivalents and Restricted Cash</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Cash and cash equivalents include cash on deposit with </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase. Restricted cash includes cash pledged as collateral for repurchase agreements </font><font style='font-family:Arial Narrow;font-size:11pt;' >and </font><font style='font-family:Arial Narrow;font-size:11pt;' >derivative instruments.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company maintains </font><font style='font-family:Arial Narrow;font-size:11pt;' >cash balances at several banks, and at times these balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Federal Deposit Insurance Corporation insures </font><font style='font-family:Arial Narrow;font-size:11pt;' >eligible accounts </font><font style='font-family:Arial Narrow;font-size:11pt;' >up to $250,000 per de</font><font style='font-family:Arial Narrow;font-size:11pt;' >positor at each financial institution. At </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company&#8217;s cash deposits exceeded federally insured limits by approximately</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >$1.7</font><font style='font-family:Arial Narrow;font-size:11pt;' > million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segreg</font><font style='font-family:Arial Narrow;font-size:11pt;' >ated from the general funds of the counterparty. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Company </font><font style='font-family:Arial Narrow;font-size:11pt;' >limits uninsured balances to only </font><font style='font-family:Arial Narrow;font-size:11pt;' >large, well-known bank</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > and derivative counterparties and believes that it is not exposed to significant credit risk on cash and cash equivalents or restricted </font><font style='font-family:Arial Narrow;font-size:11pt;' >cash balances.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Mortgage-Backed Securities</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company invests primarily in mortgage pass-through (&#8220;PT&#8221;) certificates, collateralized mor</font><font style='font-family:Arial Narrow;font-size:11pt;' >tgage obligations, and interest-</font><font style='font-family:Arial Narrow;font-size:11pt;' >only (&#8220;IO&#8221;) </font><font style='font-family:Arial Narrow;font-size:11pt;' >securities and inverse interest-</font><font style='font-family:Arial Narrow;font-size:11pt;' >only (&#8220;IIO&#8221;) securities representing </font><font style='font-family:Arial Narrow;font-size:11pt;' >interest in or obligations backed by pools of mortgage-backed loans. The</font><font style='font-family:Arial Narrow;font-size:11pt;' > Company has </font><font style='font-family:Arial Narrow;font-size:11pt;' >elected to account for its investment in MBS under the fair value option. Electing the fair value option </font><font style='font-family:Arial Narrow;font-size:11pt;' >requires</font><font style='font-family:Arial Narrow;font-size:11pt;' > the Company to record changes in fair value in the </font><font style='font-family:Arial Narrow;font-size:11pt;' >conso</font><font style='font-family:Arial Narrow;font-size:11pt;' >lidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >statement of operations, which, in management&#8217;s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company records</font><font style='font-family:Arial Narrow;font-size:11pt;' > MBS transactions on the trade date. Security purchases that have not settled as of the balance sheet date are included in the MBS balance with an offsetting liability recorded, whereas securit</font><font style='font-family:Arial Narrow;font-size:11pt;' >ies</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >sold</font><font style='font-family:Arial Narrow;font-size:11pt;' > that have not settled as of the balance sheet date ar</font><font style='font-family:Arial Narrow;font-size:11pt;' >e removed from the MBS balance with an offsetting receivable recorded.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The fair value of the Company&#8217;s investment in MBS is governed by ASC Topic 820, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Fair Value Measurement</font><font style='font-family:Arial Narrow;font-size:11pt;' >.&#160; The definition of fair value in ASC Topic 820 focuses on the price that would </font><font style='font-family:Arial Narrow;font-size:11pt;' >be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occur</font><font style='font-family:Arial Narrow;font-size:11pt;' >s in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for MBS are based on independent pricing sources and/or third-party brok</font><font style='font-family:Arial Narrow;font-size:11pt;' >er quotes, when available. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Income on PT MBS is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amortized. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Premium lost and discount accretion resulting from monthly principal repayments ar</font><font style='font-family:Arial Narrow;font-size:11pt;' >e reflected in unrealize</font><font style='font-family:Arial Narrow;font-size:11pt;' >d gains on MBS in the c</font><font style='font-family:Arial Narrow;font-size:11pt;' >ons</font><font style='font-family:Arial Narrow;font-size:11pt;' >olidated statements of operations. </font><font style='font-family:Arial Narrow;font-size:11pt;' >For IO securities, the income is accrued based on the carrying value and the effective yield. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The difference between income accrued and the interest received on the secur</font><font style='font-family:Arial Narrow;font-size:11pt;' >ity is characterized as a return of investment and serves </font><font style='font-family:Arial Narrow;font-size:11pt;' >to reduce the asset&#8217;s carrying value. </font><font style='font-family:Arial Narrow;font-size:11pt;' >At each reporting date, the effective yield is adjusted prospectively from the reporting period based on the new estimate of prepayments and the contractual </font><font style='font-family:Arial Narrow;font-size:11pt;' >terms of the security. For IIO securities, effective yield and income recognition calculations also take into account the index value applicable to the security. Changes in fair value of MBS during each reporting period are recorded in earnings and repor</font><font style='font-family:Arial Narrow;font-size:11pt;' >ted as unrealized gains or losses on mortgage-backed securities in the accompanying consolidated statements of operations.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >The </font><font style='font-family:Arial Narrow;font-size:11pt;' >amount </font><font style='font-family:Arial Narrow;font-size:11pt;' >reported as unrealized gains or losses on mortgage backed securities thus captures the net effect of changes in the fair m</font><font style='font-family:Arial Narrow;font-size:11pt;' >arket value of securities caused by market developments and any premium or discount lost as a result of principal repayments during the period.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Retained Interests in Securitizations</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Retained interests in the subordinated tranches of securities created in securitization transactions were initially recorded at their fair value when issued by MortCo.</font><font style='font-family:Arial Narrow;font-size:11pt;' > Subsequent adjustments to fair value are reflected in earnings. Quoted market prices for these assets are generally not available, so the Company estimates fair value based on the present value of expected future cash flows using management&#8217;s best estimat</font><font style='font-family:Arial Narrow;font-size:11pt;' >es of key assumptions, which include expected credit losses, prepayment speeds, weighted-average life, and discount rates commensurate with the inherent risks of the asset.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Derivative Financial Instruments</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company uses derivative instruments to </font><font style='font-family:Arial Narrow;font-size:11pt;' >manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are Eurodollar futures contracts, but it may enter into oth</font><font style='font-family:Arial Narrow;font-size:11pt;' >er transactions in the future. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company has elected not to treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair </font><font style='font-family:Arial Narrow;font-size:11pt;' >value option. FASB ASC Topic 815, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Derivatives and Hedging</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires that all derivative instruments be carried at fair value. Changes in fair value are recorded in earnings for each period.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Holding derivatives creates exposure to credit risk related to </font><font style='font-family:Arial Narrow;font-size:11pt;' >the potential for failure on the part of counterparties to honor their commitments. In addition, the Company may be required to post collateral based on any declines in the market value of the derivatives. In the event of default by a counterparty, the C</font><font style='font-family:Arial Narrow;font-size:11pt;' >ompany may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement. To mitigate this risk, the Company uses only well-established commercial banks as counterparties.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Financial Instruments</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >ASC </font><font style='font-family:Arial Narrow;font-size:11pt;' >Topic 825</font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >, Financial Instruments</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. MBS, Orchid common stock, Euro</font><font style='font-family:Arial Narrow;font-size:11pt;' >dollar futures contracts, interest rate swaptions and retained interests in securitization transactions are accounted for at fair value in the consolidated balance sheets. The methods and assumptions used to estimate fair value for these instruments are pr</font><font style='font-family:Arial Narrow;font-size:11pt;' >esented in Note 14 of the consolidated financial statements.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, other assets, repurchase agreements, payable for unsettled securities purchased, accrued in</font><font style='font-family:Arial Narrow;font-size:11pt;' >terest payable and other liabilities generally approximates their carrying value as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, due to the short-term nature of these financial instruments. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >It is impractical to estimate the fair value of the Company&#8217;s junior</font><font style='font-family:Arial Narrow;font-size:11pt;' > subordinated notes. Currently, there is a limited market for these types of instruments and the Company is unable to ascertain what interest rates would be available to the Company for similar financial instruments. Information regarding carrying amount,</font><font style='font-family:Arial Narrow;font-size:11pt;' > effective interest rate and maturity date for these instruments is presented in Note 8 to the consolidated financial statements.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Property and Equipment, net</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Property and equipment, net, consists of computer equipment with a depreciable life of 3 </font><font style='font-family:Arial Narrow;font-size:11pt;' >years, office furniture and equipment with depreciable lives of 8 to 20 years, land which has no depreciable life, and buildings and improvements with depreciable lives of 30 years. Property and equipment is recorded at acquisition cost and depreciated us</font><font style='font-family:Arial Narrow;font-size:11pt;' >ing the straight-line method over the estimated useful lives of the assets.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Repurchase Agreements</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company finances the </font><font style='font-family:Arial Narrow;font-size:11pt;' >acquisition of the majority of its PT MBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Transfers and Servicing</font><font style='font-family:Arial Narrow;font-size:11pt;' >, </font><font style='font-family:Arial Narrow;font-size:11pt;' >the Company </font><font style='font-family:Arial Narrow;font-size:11pt;' >account</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > for repurchase transactions as collateralized financing transact</font><font style='font-family:Arial Narrow;font-size:11pt;' >ions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Share-Based Compensation</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company follows the provisions of ASC Topic 718, Compensation &#8211; Stock Compensation, to account for s</font><font style='font-family:Arial Narrow;font-size:11pt;' >tock and stock-based awards. For stock and stock-based awards issued to employees, a compensation charge is recorded against earnings over the vesting period based on the fair value of the award. Payments pursuant to dividend equivalent rights, which are</font><font style='font-family:Arial Narrow;font-size:11pt;' > granted along with certain equity based awards, are charged to stockholders&#8217; equity when dividends are declared. The Company applies a zero forfeiture rate for its equity based awards, as such awards have been granted to a limited number of employees and</font><font style='font-family:Arial Narrow;font-size:11pt;' > historical forfeitures have been minimal. A significant forfeiture, or an indication that significant forfeitures may occur, would result in a revised forfeiture rate which would be accounted for prospectively as a change in an estimate. For transactions</font><font style='font-family:Arial Narrow;font-size:11pt;' > with non-employees in which services are performed in exchange for the Company&#8217;s common stock or other equity instruments, the transactions are recorded on the basis of the fair value of the service received or the fair value of the equity instruments iss</font><font style='font-family:Arial Narrow;font-size:11pt;' >ued, whichever is more readily measurable at the date of issuance.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Earnings Per Share</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company follows the provisions of ASC Topic 260, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Earnings Per Share</font><font style='font-family:Arial Narrow;font-size:11pt;' >, which requires companies with complex capital structures, common stock equivalents or two (or more) classes of securities that participate in </font><font style='font-family:Arial Narrow;font-size:11pt;' >dividend distributions</font><font style='font-family:Arial Narrow;font-size:11pt;' > to present both basic and diluted earnings per share (&#8220;EPS&#8221;) on the face of the consolida</font><font style='font-family:Arial Narrow;font-size:11pt;' >ted statement of operations. Basic EPS is calculated as income available to common stockholders divided by the weighted average number of common shares outstanding during the period. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Diluted EPS is calculated using the treasury stock or two-class method, a</font><font style='font-family:Arial Narrow;font-size:11pt;' >s applicable for common stock equivalents. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Outstanding shares of Class B Common Stock, participating and convertible into Class A Common Stock,</font><font style='font-family:Arial Narrow;font-size:11pt;' > are entitled to receive dividends in an amount equal to the dividends declared on each share of Class A Common Stock if, as and when authorized and declared by the Board of Directors. Accordingly, shares of the Class B Common Stock are included in the com</font><font style='font-family:Arial Narrow;font-size:11pt;' >putation of basic EPS using the two-class method and, consequently, are presented separately from Class A Common Stock.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The shares of Class&#160;C Common Stock are not included in the basic EPS computation as these shares do not have participation rights. The </font><font style='font-family:Arial Narrow;font-size:11pt;' >outstanding shares of Class B and Class&#160;C Common Stock are not included in the computation of diluted EPS for the Class A Common Stock as the conditions for conversion into shares of Class&#160;A Common Stock were not met.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Income Taxes</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >For the calendar year </font><font style='font-family:Arial Narrow;font-size:11pt;' >ended December 31, 2015, Bimini Capital, Bimini Advisors and MortCo were separate taxpaying entities for income tax purposes and filed separate Federal income tax returns. Bimini Advisors remained a separate tax paying entity through January 31, 2016; on </font><font style='font-family:Arial Narrow;font-size:11pt;' >that date, Bimini Advisors was reorganized to be an LLC wholly-owned by Bimini Capital. Beginning with the tax period starting on February 1, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >, Bimini Capital and Bimini Advisors will be a single tax paying entity. MortCo</font><font style='font-family:Arial Narrow;font-size:11pt;' > continues to be treated as a separate tax paying entity for the year ending December 31, 2016.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities represent the differences between the financial stateme</font><font style='font-family:Arial Narrow;font-size:11pt;' >nt and income tax bases of assets and liabilities using enacted tax rates. The measurement of net deferred tax assets is adjusted by a valuation allowance if, based on the Company&#8217;s evaluation, it is more likely than not that they will not be realized.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Th</font><font style='font-family:Arial Narrow;font-size:11pt;' >e Company&#8217;s U.S. federal income tax returns for years end</font><font style='font-family:Arial Narrow;font-size:11pt;' >ed</font><font style='font-family:Arial Narrow;font-size:11pt;' > on or after December 31, 20</font><font style='font-family:Arial Narrow;font-size:11pt;' >12</font><font style='font-family:Arial Narrow;font-size:11pt;' > remain open for examination. Although management believes its calculations for tax returns are correct and the positions taken thereon are reasonable, the final outco</font><font style='font-family:Arial Narrow;font-size:11pt;' >me of tax audits could be materially different from the </font><font style='font-family:Arial Narrow;font-size:11pt;' >tax returns filed by the Company, and those differences could result in significant costs or benefits to the Company.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company measures, recognizes and presents its uncertain tax positions in acco</font><font style='font-family:Arial Narrow;font-size:11pt;' >rdance with ASC Topic 740, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Income Taxes</font><font style='font-family:Arial Narrow;font-size:11pt;' >. Under that guidance, the Company assesses the likelihood, based on their technical merit, that tax positions will be sustained upon examination based on the facts, circumstances and information available at the end</font><font style='font-family:Arial Narrow;font-size:11pt;' > of each period. The measurement of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Company recognizes tax positions in the financial statements only when it is more likely than no</font><font style='font-family:Arial Narrow;font-size:11pt;' >t that the position will be sustained upon examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured at the largest amount of benefit that will more likely than not be realiz</font><font style='font-family:Arial Narrow;font-size:11pt;' >ed upon settlement. The difference between the benefit recognized and the tax benefit claimed on a tax return is referred to as an unrecognized tax benefit and is recorded as a liability in the consolidated balance sheets. The Company records income tax-re</font><font style='font-family:Arial Narrow;font-size:11pt;' >lated interest and penalties, if applicable, within the income tax provision.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ></p></div> 3 3 8 20 30 30 1700000 250000 107516000 0.0068 1486000 996000 1 1 1 0.85 0.75 0.293 0.293 0.45 0.45 0.45 0.45 Next 10 Months Month 4 - 13 Month 11-28 Month 11-28 Month 11-28 Month 29 and Beyond -552059 -1764242 false 2016-03-31 2016 Bimini Capital Management, Inc. --12-31 BMNM 12631627 31938 31938 Constant Prepayment Rate 0.1 0.1 0.1 <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 13</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. EARNINGS PER SHARE</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Shares of Class&#160;B </font><font style='font-family:Arial Narrow;font-size:11pt;' >common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' >, participating and convertible into Class&#160;A </font><font style='font-family:Arial Narrow;font-size:11pt;' >common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' >, are entitled to receive dividends in an amount equal to the dividends declared on each share of Class&#160;A </font><font style='font-family:Arial Narrow;font-size:11pt;' >common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > if, and when, </font><font style='font-family:Arial Narrow;font-size:11pt;' >authorized and declared by the Board of Directors. Following the provisions of FASB ASC 260, the Class&#160;B </font><font style='font-family:Arial Narrow;font-size:11pt;' >common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > is included in the computation of basic EPS using the two-class method, and consequently is presented separately from Class&#160;A </font><font style='font-family:Arial Narrow;font-size:11pt;' >common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' >. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Shares of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Class B </font><font style='font-family:Arial Narrow;font-size:11pt;' >common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > are not included in the computation of diluted Class&#160;A EPS as the conditions for conversion to Class&#160;A </font><font style='font-family:Arial Narrow;font-size:11pt;' >common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > were not met at </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Shares of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Class&#160;C </font><font style='font-family:Arial Narrow;font-size:11pt;' >common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > are not included in the basic EPS computation as these shares do not have participation rights. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Shares of </font><font style='font-family:Arial Narrow;font-size:11pt;' >Class&#160;C </font><font style='font-family:Arial Narrow;font-size:11pt;' >common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > are not included in the computation of diluted Class&#160;A EPS as the conditions for conversion to Class&#160;A </font><font style='font-family:Arial Narrow;font-size:11pt;' >common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > were not met</font><font style='font-family:Arial Narrow;font-size:11pt;' > at</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company has </font><font style='font-family:Arial Narrow;font-size:11pt;' >dividend eligible stock incentive plan shares that were outstanding during the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months </font><font style='font-family:Arial Narrow;font-size:11pt;' >ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >. The basic and diluted per share computations include</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >these unvested incentive plan shares</font><font style='font-family:Arial Narrow;font-size:11pt;' > if</font><font style='font-family:Arial Narrow;font-size:11pt;' > there is income available to Class A common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' >, as they have dividend participation rights. The stock incentive plan shares have no contractual obligation to share in losses. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Because</font><font style='font-family:Arial Narrow;font-size:11pt;' > there is no such obligation, the incentive plan shares are not includ</font><font style='font-family:Arial Narrow;font-size:11pt;' >ed in the basic and diluted EPS computations </font><font style='font-family:Arial Narrow;font-size:11pt;' >when no income is available to Class A common stock</font><font style='font-family:Arial Narrow;font-size:11pt;' > even though they are </font><font style='font-family:Arial Narrow;font-size:11pt;' >considered </font><font style='font-family:Arial Narrow;font-size:11pt;' >participating securities.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >The average number of dividend eligible stock incentive plan shares that were anti-dilutive and not i</font><font style='font-family:Arial Narrow;font-size:11pt;' >ncluded in diluted earnings per share for the three months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015 </font><font style='font-family:Arial Narrow;font-size:11pt;' >was</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >31,600</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The table below reconciles the numerator and denominator of EPS for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td colspan='3' rowspan='1' style='width:251.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:251.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands, except per-share information)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Basic and diluted EPS per Class A common share:</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Income (loss) attributable to Class A common shares:</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >445</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,385)</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average common shares:</font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class A common shares outstanding at the balance sheet date</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,632</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,333</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unvested dividend-eligible incentive plan shares</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:15pt;text-align:center;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:228.75pt;text-align:left;border-color:Black;min-width:228.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >outstanding at the balance sheet date</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >78</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Effect of weighting </font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(43)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1)</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average shares-basic and diluted</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,667</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,332</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Income (loss) per Class A common share:</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.04</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.11)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands, except per-share information)</font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Basic and diluted EPS per Class B common share:</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Income (loss) attributable to Class B common shares:</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(4)</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average common shares:</font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class B common shares outstanding at the balance sheet date</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Effect of weighting </font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average shares-basic and diluted</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Income (loss) per Class B common share:</font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.04</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.11)</font></td></tr></table></div> Q1 0001275477 Yes No Smaller Reporting Company No 10-Q <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >March 31, 2016</font></td><td colspan='2' rowspan='1' style='width:90pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:90pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Greater than five years and less than ten years </font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >3</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Greater than or equal to ten years</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,194</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:82.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >83,985</font></td></tr><tr style='height:12.75pt;' ><td style='width:360pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:360pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >109,196</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:82.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:82.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >83,988</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:116.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands)</font></td><td style='width:236.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Series</font></td><td style='width:236.25pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Issue Date</font></td><td colspan='2' rowspan='1' style='width:93.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:93.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >March 31, 2016</font></td><td colspan='2' rowspan='1' style='width:93.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:93.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-2</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >May 10, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >159</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >110</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-3</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >June 30, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >482</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >453</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-4</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >August 16, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >264</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >75</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-5</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >September 28, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >163</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >182</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >HMAC 2004-6</font></td><td style='width:236.25pt;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >November 17, 2004</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >174</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:86.25pt;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >304</font></td></tr><tr style='height:12.75pt;' ><td style='width:116.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:116.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > Total</font></td><td style='width:236.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:236.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,242</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:86.25pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:86.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,124</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;border-top-style:solid;border-top-width:2;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >OVERNIGHT</font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >BETWEEN 2</font></td><td colspan='2' rowspan='1' style='width:63pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >BETWEEN 31</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >GREATER </font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:2;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >(1 DAY OR</font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >AND</font></td><td colspan='2' rowspan='1' style='width:63pt;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >AND</font></td><td style='width:7.5pt;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >THAN</font></td><td style='width:7.5pt;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >LESS)</font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >30 DAYS</font></td><td colspan='2' rowspan='1' style='width:63pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >90 DAYS</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >90 DAYS</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >TOTAL</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >March 31, 2016</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fair value of securities pledged, including accrued</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >interest receivable</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >105,786</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,730</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,516</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase agreement liabilities associated with</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >these securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >101,503</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,291</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >102,794</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net weighted average borrowing rate</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.68%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.30%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.68%</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >December 31, 2015</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Fair value of securities pledged, including accrued</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >interest receivable</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >81,464</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >81,464</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Repurchase agreement liabilities associated with</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;text-align:left;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:11.25pt;text-align:left;border-color:Black;min-width:11.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:216.75pt;text-align:left;border-color:Black;min-width:216.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >these securities</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,234</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:55.5pt;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:48pt;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,234</font></td></tr><tr style='height:12.75pt;' ><td colspan='2' rowspan='1' style='width:228pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:228pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Net weighted average borrowing rate</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.61%</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:55.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:55.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >- </font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:48pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:48pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.61%</font></td></tr></table></div> 68540060 193750 7893 69187694 -266102640 334630263 0 0 445991 259 0 12696 193491 7893 334831647 0 0 -265656649 116000 105325000 118000 79170000 105441000 79288000 1805000 1950000 2554000 2146000 3755000 4700000 2000 3000 109194000 83985000 159000 110000 482000 453000 264000 75000 163000 182000 174000 304000 May 10, 2004 June 30, 2004 August 16, 2004 September 28, 2004 November 17, 2004 0 0 105786000 101503000 1730000 1291000 0 0 0 0.0068 0.013 0 45600000 -1565000 -833000 56000000 0.0141 0.0105 102794000 0 0 77234000 102794000 77234000 -102794000 -77234000 0 0 0 0 0 258333 258333 2390000 1242000 <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 10</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. STOCK INCENTIVE PLANS</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >On August 12, 2011, Bimini Capital&#8217;s shareholders approved the 2011 Long Term Compensation Plan (the &#8220;2011 Plan&#8221;) to assist the Company in recruiting and retaining employees, directors and other service providers by </font><font style='font-family:Arial Narrow;font-size:11pt;' >enabling them to participate in the success of Bimini Capital and to associate their interest</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > with those of the Company and its stockholders. The 2011 Plan is intended to permit the grant of stock options, stock appreciation rights (&#8220;SARs&#8221;), stock awards</font><font style='font-family:Arial Narrow;font-size:11pt;' >, performance units and other equity-based and incentive awards. The maximum aggregate number of shares of common stock that may be issued under the 2011 Plan pursuant to the exercise of options and SARs, the grant of stock awards or other equity-based aw</font><font style='font-family:Arial Narrow;font-size:11pt;' >ards and the settlement of incentive awards and performance units is equal to 4,000,000 shares.</font></p></div><p style='line-height:20pt;' /><div><p style='text-align:justify;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;margin-left:0pt;' >Performance Units</font></p><p style='text-align:justify;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Compensation Committee of the Board of Directors (the &#8220;Committee&#8221;) may issue Performance Units under the 2011 Plan to certain officers and employees. &#8220;Performance Units&#8221; represent the participant&#8217;s right to receive an amount, based</font><font style='font-family:Arial Narrow;font-size:11pt;' > on the value of a specified number of shares of common stock, if the terms and conditions prescribed by the Committee are satisfied. The Committee will determine the requirements that must be satisfied before Performance Units are earned, including but n</font><font style='font-family:Arial Narrow;font-size:11pt;' >ot limited to any applicable performance period and performance goals. Performance goals may relate to the Company&#8217;s financial performance or the participant&#8217;s performance or such other criteria determined by the Committee, including goals stated with ref</font><font style='font-family:Arial Narrow;font-size:11pt;' >erence to the performance measures discussed below. If Performance Units are earned, they will be settled in cash, shares of common stock or a combination thereof.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table presents </font><font style='font-family:Arial Narrow;font-size:11pt;' >the activity </font><font style='font-family:Arial Narrow;font-size:11pt;' >related to Performance Units </font><font style='font-family:Arial Narrow;font-size:11pt;' >during t</font><font style='font-family:Arial Narrow;font-size:11pt;' >he</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >:</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:292.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='9' rowspan='1' style='width:259.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:259.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:123pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:123pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:123pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:123pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Grant Date</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Grant Date</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > </font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Shares</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Fair Value</font></td><td colspan='2' rowspan='1' style='width:66pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:66pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Shares</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Fair Value</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unvested, beginning of period</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,500</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.22</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >31,500</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.78</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Granted</font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:13.5pt;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Vested and issued</font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:13.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unvested, end of period</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,500</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.22</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >31,500</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.78</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Compensation expense during the period</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >8</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >5</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unrecognized compensation expense at period end</font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >67</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >51</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted-average remaining vesting term (in years)</font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.3</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.7</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Intrinsic value of unvested shares at period end</font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >127</font></td><td style='width:13.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >55</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:292.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='9' rowspan='1' style='width:259.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:259.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Three Months Ended</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:123pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:123pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='4' rowspan='1' style='width:123pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:123pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Weighted</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Average</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Grant Date</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Grant Date</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' > </font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Shares</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Fair Value</font></td><td colspan='2' rowspan='1' style='width:66pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:66pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Shares</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Fair Value</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unvested, beginning of period</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,500</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.22</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >31,500</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.78</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Granted</font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:13.5pt;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Vested and issued</font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:13.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unvested, end of period</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >77,500</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.22</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >31,500</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1.78</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:13.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:double;border-top-width:3;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Compensation expense during the period</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >8</font></td><td style='width:13.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >5</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unrecognized compensation expense at period end</font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >67</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >51</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted-average remaining vesting term (in years)</font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.3</font></td><td style='width:13.5pt;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >2.7</font></td></tr><tr style='height:12.75pt;' ><td style='width:292.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:292.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Intrinsic value of unvested shares at period end</font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >127</font></td><td style='width:13.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:13.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:52.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:52.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >55</font></td></tr></table></div> 0 0 81464000 77234000 0 0 0 0 0 0.0061 0 0 0.0141 26000000 -573000 -1300000 -1015000 8115 0 8115 1900000 546000 428000 <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 11</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. COMMITMENTS AND CONTINGENCIES</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any significant </font><font style='font-family:Arial Narrow;font-size:11pt;' >reported or unreported contingencies at </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div> 0.0196 0.02 0.0229 4514148 107160357 2035979 3140142 672250 1241846 430449 3470370 81192199 2796200 6310683 401800 1124278 351049 3492612 64646903 64832242 2902065 200166884 2701655 177055425 102793559 26804440 0 74213 77234249 26804440 1859277 83957 1306978 2533442 130979190 108515365 0 0 334831647 334630263 -265656649 -266102640 69187694 68540060 200166884 177055425 817464 127903 689561 263611 425950 -288244 231847 -1299863 -930310 1207134 100192 1106942 243473 863469 829297 0 -1014700 678066 1269019 1094654.75 546020 1485756 613816 186516 585915 530099 230 262 3015000 3297287.75 795710 784102.73 155538 167766 157073 334777 0 3500000 261624 240542.02 1369945 5027187.75 714745 -1051834 268754 337095 445991 -1388929 0.04 0.04 -0.11 -0.11 0.04 0.04 -0.11 -0.11 12666545 12666545 12332416 12332416 31938 31938 31938 31938 12437 1859277 0 <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 1</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Organization and Business Description</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Bimini Capital Management, Inc., a Maryland </font><font style='font-family:Arial Narrow;font-size:11pt;' >corporation (&#8220;Bimini Capital&#8221;</font><font style='font-family:Arial Narrow;font-size:11pt;' > or the &#8220;Company&#8221;</font><font style='font-family:Arial Narrow;font-size:11pt;' >), was formed in September 2003 for the purpose of creating and managing a leveraged investment portfolio consisting of residential mortgage-backed securities (&#8220;MBS&#8221;). </font><font style='font-family:Arial Narrow;font-size:11pt;' >In addition, the Company manages an MBS p</font><font style='font-family:Arial Narrow;font-size:11pt;' >ortfolio for Orchid Island Capital, Inc. (&#8220;Orchid&#8221;) and receives fees for providing these services.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Consolidation </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The accompanying consolidated financial statements include the accounts of Bimini Capital, Bimini Advisors Holdings, LLC, and its </font><font style='font-family:Arial Narrow;font-size:11pt;' >wholly-owned subsidiary, Bimini Advisors, LLC (together &#8220;Bimini Advisors&#8221;), and MortCo </font><font style='font-family:Arial Narrow;font-size:11pt;' >TRS, LLC </font><font style='font-family:Arial Narrow;font-size:11pt;' >and its consolidated subsidiaries </font><font style='font-family:Arial Narrow;font-size:11pt;' >(&#8220;MortCo&#8221;)</font><font style='font-family:Arial Narrow;font-size:11pt;' >. All inter-company accounts and transactions have been eliminated from the consolidated financial statements. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Fi</font><font style='font-family:Arial Narrow;font-size:11pt;' >nancial Accounting Standards Board (the &#8220;FASB&#8221;) Accounting Standards Codification (&#8220;ASC&#8221;) T</font><font style='font-family:Arial Narrow;font-size:11pt;' >opic 810, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Consolidation</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires </font><font style='font-family:Arial Narrow;font-size:11pt;' >the </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidat</font><font style='font-family:Arial Narrow;font-size:11pt;' >ion of a</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >variable interest entity (&#8220;</font><font style='font-family:Arial Narrow;font-size:11pt;' >VIE</font><font style='font-family:Arial Narrow;font-size:11pt;' >&#8221;)</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >by an enterprise </font><font style='font-family:Arial Narrow;font-size:11pt;' >if it is deemed the primary beneficiary of the VIE. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE</font><font style='font-family:Arial Narrow;font-size:11pt;' >, an</font><font style='font-family:Arial Narrow;font-size:11pt;' > ongoing assessment of whether an enterprise is the primary beneficiary of a VIE</font><font style='font-family:Arial Narrow;font-size:11pt;' >, and</font><font style='font-family:Arial Narrow;font-size:11pt;' > additional disclosures for entities that have variable interests in VI</font><font style='font-family:Arial Narrow;font-size:11pt;' >Es</font><font style='font-family:Arial Narrow;font-size:11pt;' >. As further described in Note 8, Bimini Capital has a common share investment in a trust used in connection with the issuance of Bimini Capital&#8217;s junior subordinated notes. Pursuant to ASC 810, management has concluded that, while the trust is a V</font><font style='font-family:Arial Narrow;font-size:11pt;' >IE, Bimini Capital&#8217;s common share investment in the trust is not a variable interest. Therefore, the trust has not been consolidated in the financial statements of Bimini Capital, and accordingly, this investment has been accounted for on the equity metho</font><font style='font-family:Arial Narrow;font-size:11pt;' >d. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Basis of Presentation </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The accompanying unaudited </font><font style='font-family:Arial Narrow;font-size:11pt;' >condensed </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statements have been prepared in accordance with accounting principles generally accepted in the United States (&#8220;GAAP&#8221;) for interim financial information and with the instructio</font><font style='font-family:Arial Narrow;font-size:11pt;' >ns to Form 10-Q and Article 8 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accru</font><font style='font-family:Arial Narrow;font-size:11pt;' >als) considered necessary for a fair presentation have been included. Operating results fo</font><font style='font-family:Arial Narrow;font-size:11pt;' >r the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > month period</font><font style='font-family:Arial Narrow;font-size:11pt;' > ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > are not necessarily indicative of the results that may be expected for the year end</font><font style='font-family:Arial Narrow;font-size:11pt;' >ing</font><font style='font-family:Arial Narrow;font-size:11pt;' > December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The </font><font style='font-family:Arial Narrow;font-size:11pt;' >c</font><font style='font-family:Arial Narrow;font-size:11pt;' >onsolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >balance sheet at December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > has been derived from the audited financial statements at that date but does not include all of the information and footnotes required by GAAP for complete </font><font style='font-family:Arial Narrow;font-size:11pt;' >consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial statements. For further in</font><font style='font-family:Arial Narrow;font-size:11pt;' >formation, refer to the financial statements and footnotes thereto included in the Company&#8217;s </font><font style='font-family:Arial Narrow;font-size:11pt;' >A</font><font style='font-family:Arial Narrow;font-size:11pt;' >nnual </font><font style='font-family:Arial Narrow;font-size:11pt;' >R</font><font style='font-family:Arial Narrow;font-size:11pt;' >eport on Form 10-K for the year ended December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Use of Estimates</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The preparation of financial statements in conformity with GAAP requires </font><font style='font-family:Arial Narrow;font-size:11pt;' >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</font><font style='font-family:Arial Narrow;font-size:11pt;' > reporting period. Actual results could differ from those estimates. Significant estimates affecting the accompanying consolidated financial statements include the fair values of MBS, investment in Orchid common shares, derivatives, retained interests, as</font><font style='font-family:Arial Narrow;font-size:11pt;' >set valuation allowances and deferred tax asset allowances recorded for each accounting period.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Statement of Comprehensive Income</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In accordance with ASC Topic 220, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Comprehensive Income</font><font style='font-family:Arial Narrow;font-size:11pt;' >, a statement of comprehensive income has not been included as the Com</font><font style='font-family:Arial Narrow;font-size:11pt;' >pany has no items of other comprehensive income</font><font style='font-family:Arial Narrow;font-size:11pt;' > (loss)</font><font style='font-family:Arial Narrow;font-size:11pt;' >.&#160; Comprehensive </font><font style='font-family:Arial Narrow;font-size:11pt;' >income (loss)</font><font style='font-family:Arial Narrow;font-size:11pt;' > is the same as net </font><font style='font-family:Arial Narrow;font-size:11pt;' >income (loss)</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >for all periods presented.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Cash and Cash Equivalents and Restricted Cash</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Cash and cash equivalents include cash on deposit with </font><font style='font-family:Arial Narrow;font-size:11pt;' >financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase. Restricted cash includes cash pledged as collateral for repurchase agreements </font><font style='font-family:Arial Narrow;font-size:11pt;' >and </font><font style='font-family:Arial Narrow;font-size:11pt;' >derivative instruments.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company maintains </font><font style='font-family:Arial Narrow;font-size:11pt;' >cash balances at several banks, and at times these balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Federal Deposit Insurance Corporation insures </font><font style='font-family:Arial Narrow;font-size:11pt;' >eligible accounts </font><font style='font-family:Arial Narrow;font-size:11pt;' >up to $250,000 per de</font><font style='font-family:Arial Narrow;font-size:11pt;' >positor at each financial institution. At </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >, the Company&#8217;s cash deposits exceeded federally insured limits by approximately</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >$1.7</font><font style='font-family:Arial Narrow;font-size:11pt;' > million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segreg</font><font style='font-family:Arial Narrow;font-size:11pt;' >ated from the general funds of the counterparty. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Company </font><font style='font-family:Arial Narrow;font-size:11pt;' >limits uninsured balances to only </font><font style='font-family:Arial Narrow;font-size:11pt;' >large, well-known bank</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > and derivative counterparties and believes that it is not exposed to significant credit risk on cash and cash equivalents or restricted </font><font style='font-family:Arial Narrow;font-size:11pt;' >cash balances.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Mortgage-Backed Securities</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company invests primarily in mortgage pass-through (&#8220;PT&#8221;) certificates, collateralized mor</font><font style='font-family:Arial Narrow;font-size:11pt;' >tgage obligations, and interest-</font><font style='font-family:Arial Narrow;font-size:11pt;' >only (&#8220;IO&#8221;) </font><font style='font-family:Arial Narrow;font-size:11pt;' >securities and inverse interest-</font><font style='font-family:Arial Narrow;font-size:11pt;' >only (&#8220;IIO&#8221;) securities representing </font><font style='font-family:Arial Narrow;font-size:11pt;' >interest in or obligations backed by pools of mortgage-backed loans. The</font><font style='font-family:Arial Narrow;font-size:11pt;' > Company has </font><font style='font-family:Arial Narrow;font-size:11pt;' >elected to account for its investment in MBS under the fair value option. Electing the fair value option </font><font style='font-family:Arial Narrow;font-size:11pt;' >requires</font><font style='font-family:Arial Narrow;font-size:11pt;' > the Company to record changes in fair value in the </font><font style='font-family:Arial Narrow;font-size:11pt;' >conso</font><font style='font-family:Arial Narrow;font-size:11pt;' >lidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >statement of operations, which, in management&#8217;s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company records</font><font style='font-family:Arial Narrow;font-size:11pt;' > MBS transactions on the trade date. Security purchases that have not settled as of the balance sheet date are included in the MBS balance with an offsetting liability recorded, whereas securit</font><font style='font-family:Arial Narrow;font-size:11pt;' >ies</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >sold</font><font style='font-family:Arial Narrow;font-size:11pt;' > that have not settled as of the balance sheet date ar</font><font style='font-family:Arial Narrow;font-size:11pt;' >e removed from the MBS balance with an offsetting receivable recorded.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The fair value of the Company&#8217;s investment in MBS is governed by ASC Topic 820, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Fair Value Measurement</font><font style='font-family:Arial Narrow;font-size:11pt;' >.&#160; The definition of fair value in ASC Topic 820 focuses on the price that would </font><font style='font-family:Arial Narrow;font-size:11pt;' >be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occur</font><font style='font-family:Arial Narrow;font-size:11pt;' >s in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for MBS are based on independent pricing sources and/or third-party brok</font><font style='font-family:Arial Narrow;font-size:11pt;' >er quotes, when available. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Income on PT MBS is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amortized. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Premium lost and discount accretion resulting from monthly principal repayments ar</font><font style='font-family:Arial Narrow;font-size:11pt;' >e reflected in unrealize</font><font style='font-family:Arial Narrow;font-size:11pt;' >d gains on MBS in the c</font><font style='font-family:Arial Narrow;font-size:11pt;' >ons</font><font style='font-family:Arial Narrow;font-size:11pt;' >olidated statements of operations. </font><font style='font-family:Arial Narrow;font-size:11pt;' >For IO securities, the income is accrued based on the carrying value and the effective yield. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The difference between income accrued and the interest received on the secur</font><font style='font-family:Arial Narrow;font-size:11pt;' >ity is characterized as a return of investment and serves </font><font style='font-family:Arial Narrow;font-size:11pt;' >to reduce the asset&#8217;s carrying value. </font><font style='font-family:Arial Narrow;font-size:11pt;' >At each reporting date, the effective yield is adjusted prospectively from the reporting period based on the new estimate of prepayments and the contractual </font><font style='font-family:Arial Narrow;font-size:11pt;' >terms of the security. For IIO securities, effective yield and income recognition calculations also take into account the index value applicable to the security. Changes in fair value of MBS during each reporting period are recorded in earnings and repor</font><font style='font-family:Arial Narrow;font-size:11pt;' >ted as unrealized gains or losses on mortgage-backed securities in the accompanying consolidated statements of operations.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >The </font><font style='font-family:Arial Narrow;font-size:11pt;' >amount </font><font style='font-family:Arial Narrow;font-size:11pt;' >reported as unrealized gains or losses on mortgage backed securities thus captures the net effect of changes in the fair m</font><font style='font-family:Arial Narrow;font-size:11pt;' >arket value of securities caused by market developments and any premium or discount lost as a result of principal repayments during the period.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Orchid Island Capital, Inc.</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > Common Stock</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company elected the fair value option for its continuing investme</font><font style='font-family:Arial Narrow;font-size:11pt;' >nt in Orchid common shares. The change in the fair value of this investment and dividends received on this investment are reflected in other income in the consolidated statements of operations. We estimate the fair value of our investment in Orchid on a </font><font style='font-family:Arial Narrow;font-size:11pt;' >market approach using &#8220;Level 1&#8221; inputs based on the quoted market price of Orchid&#8217;s common stock.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >Electing the fair value option requires the Company to record changes in fair value in the consolidated statement</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > of operations, which, in management&#8217;s view, mo</font><font style='font-family:Arial Narrow;font-size:11pt;' >re</font><font style='font-family:Arial Narrow;font-size:11pt;' > appropriately reflects the results of our operations for a particular reporting period and is consistent with how the investment is managed.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Advisory Services</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Orchid </font><font style='font-family:Arial Narrow;font-size:11pt;' >is </font><font style='font-family:Arial Narrow;font-size:11pt;' >externally managed and advised by </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Advisors pursuant to the terms of a management agreement. Under the terms of the management agreement</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > Orchid is obligated to pay Bimini Advisors a monthly management fee and a pro rata portion of certain overhead costs and to reimburse the Company</font><font style='font-family:Arial Narrow;font-size:11pt;' > for any direct expenses incurred on its behalf.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Retained Interests in Securitizations</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Retained interests in the subordinated tranches of securities created in securitization transactions were initially recorded at their fair value when issued by MortCo.</font><font style='font-family:Arial Narrow;font-size:11pt;' > Subsequent adjustments to fair value are reflected in earnings. Quoted market prices for these assets are generally not available, so the Company estimates fair value based on the present value of expected future cash flows using management&#8217;s best estimat</font><font style='font-family:Arial Narrow;font-size:11pt;' >es of key assumptions, which include expected credit losses, prepayment speeds, weighted-average life, and discount rates commensurate with the inherent risks of the asset.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Derivative Financial Instruments</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company uses derivative instruments to </font><font style='font-family:Arial Narrow;font-size:11pt;' >manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are Eurodollar futures contracts, but it may enter into oth</font><font style='font-family:Arial Narrow;font-size:11pt;' >er transactions in the future. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company has elected not to treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair </font><font style='font-family:Arial Narrow;font-size:11pt;' >value option. FASB ASC Topic 815, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Derivatives and Hedging</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires that all derivative instruments be carried at fair value. Changes in fair value are recorded in earnings for each period.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Holding derivatives creates exposure to credit risk related to </font><font style='font-family:Arial Narrow;font-size:11pt;' >the potential for failure on the part of counterparties to honor their commitments. In addition, the Company may be required to post collateral based on any declines in the market value of the derivatives. In the event of default by a counterparty, the C</font><font style='font-family:Arial Narrow;font-size:11pt;' >ompany may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement. To mitigate this risk, the Company uses only well-established commercial banks as counterparties.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Financial Instruments</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >ASC </font><font style='font-family:Arial Narrow;font-size:11pt;' >Topic 825</font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >, Financial Instruments</font><font style='font-family:Arial Narrow;font-size:11pt;' >, requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. MBS, Orchid common stock, Euro</font><font style='font-family:Arial Narrow;font-size:11pt;' >dollar futures contracts, interest rate swaptions and retained interests in securitization transactions are accounted for at fair value in the consolidated balance sheets. The methods and assumptions used to estimate fair value for these instruments are pr</font><font style='font-family:Arial Narrow;font-size:11pt;' >esented in Note 14 of the consolidated financial statements.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, other assets, repurchase agreements, payable for unsettled securities purchased, accrued in</font><font style='font-family:Arial Narrow;font-size:11pt;' >terest payable and other liabilities generally approximates their carrying value as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, due to the short-term nature of these financial instruments. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >It is impractical to estimate the fair value of the Company&#8217;s junior</font><font style='font-family:Arial Narrow;font-size:11pt;' > subordinated notes. Currently, there is a limited market for these types of instruments and the Company is unable to ascertain what interest rates would be available to the Company for similar financial instruments. Information regarding carrying amount,</font><font style='font-family:Arial Narrow;font-size:11pt;' > effective interest rate and maturity date for these instruments is presented in Note 8 to the consolidated financial statements.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Property and Equipment, net</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Property and equipment, net, consists of computer equipment with a depreciable life of 3 </font><font style='font-family:Arial Narrow;font-size:11pt;' >years, office furniture and equipment with depreciable lives of 8 to 20 years, land which has no depreciable life, and buildings and improvements with depreciable lives of 30 years. Property and equipment is recorded at acquisition cost and depreciated us</font><font style='font-family:Arial Narrow;font-size:11pt;' >ing the straight-line method over the estimated useful lives of the assets.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Repurchase Agreements</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company finances the </font><font style='font-family:Arial Narrow;font-size:11pt;' >acquisition of the majority of its PT MBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Transfers and Servicing</font><font style='font-family:Arial Narrow;font-size:11pt;' >, </font><font style='font-family:Arial Narrow;font-size:11pt;' >the Company </font><font style='font-family:Arial Narrow;font-size:11pt;' >account</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > for repurchase transactions as collateralized financing transact</font><font style='font-family:Arial Narrow;font-size:11pt;' >ions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Share-Based Compensation</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company follows the provisions of ASC Topic 718, Compensation &#8211; Stock Compensation, to account for s</font><font style='font-family:Arial Narrow;font-size:11pt;' >tock and stock-based awards. For stock and stock-based awards issued to employees, a compensation charge is recorded against earnings over the vesting period based on the fair value of the award. Payments pursuant to dividend equivalent rights, which are</font><font style='font-family:Arial Narrow;font-size:11pt;' > granted along with certain equity based awards, are charged to stockholders&#8217; equity when dividends are declared. The Company applies a zero forfeiture rate for its equity based awards, as such awards have been granted to a limited number of employees and</font><font style='font-family:Arial Narrow;font-size:11pt;' > historical forfeitures have been minimal. A significant forfeiture, or an indication that significant forfeitures may occur, would result in a revised forfeiture rate which would be accounted for prospectively as a change in an estimate. For transactions</font><font style='font-family:Arial Narrow;font-size:11pt;' > with non-employees in which services are performed in exchange for the Company&#8217;s common stock or other equity instruments, the transactions are recorded on the basis of the fair value of the service received or the fair value of the equity instruments iss</font><font style='font-family:Arial Narrow;font-size:11pt;' >ued, whichever is more readily measurable at the date of issuance.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Earnings Per Share</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company follows the provisions of ASC Topic 260, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Earnings Per Share</font><font style='font-family:Arial Narrow;font-size:11pt;' >, which requires companies with complex capital structures, common stock equivalents or two (or more) classes of securities that participate in </font><font style='font-family:Arial Narrow;font-size:11pt;' >dividend distributions</font><font style='font-family:Arial Narrow;font-size:11pt;' > to present both basic and diluted earnings per share (&#8220;EPS&#8221;) on the face of the consolida</font><font style='font-family:Arial Narrow;font-size:11pt;' >ted statement of operations. Basic EPS is calculated as income available to common stockholders divided by the weighted average number of common shares outstanding during the period. </font><font style='font-family:Arial Narrow;font-size:11pt;' >Diluted EPS is calculated using the treasury stock or two-class method, a</font><font style='font-family:Arial Narrow;font-size:11pt;' >s applicable for common stock equivalents. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Outstanding shares of Class B Common Stock, participating and convertible into Class A Common Stock,</font><font style='font-family:Arial Narrow;font-size:11pt;' > are entitled to receive dividends in an amount equal to the dividends declared on each share of Class A Common Stock if, as and when authorized and declared by the Board of Directors. Accordingly, shares of the Class B Common Stock are included in the com</font><font style='font-family:Arial Narrow;font-size:11pt;' >putation of basic EPS using the two-class method and, consequently, are presented separately from Class A Common Stock.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The shares of Class&#160;C Common Stock are not included in the basic EPS computation as these shares do not have participation rights. The </font><font style='font-family:Arial Narrow;font-size:11pt;' >outstanding shares of Class B and Class&#160;C Common Stock are not included in the computation of diluted EPS for the Class A Common Stock as the conditions for conversion into shares of Class&#160;A Common Stock were not met.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Income Taxes</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >For the calendar year </font><font style='font-family:Arial Narrow;font-size:11pt;' >ended December 31, 2015, Bimini Capital, Bimini Advisors and MortCo were separate taxpaying entities for income tax purposes and filed separate Federal income tax returns. Bimini Advisors remained a separate tax paying entity through January 31, 2016; on </font><font style='font-family:Arial Narrow;font-size:11pt;' >that date, Bimini Advisors was reorganized to be an LLC wholly-owned by Bimini Capital. Beginning with the tax period starting on February 1, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >, Bimini Capital and Bimini Advisors will be a single tax paying entity. MortCo</font><font style='font-family:Arial Narrow;font-size:11pt;' > continues to be treated as a separate tax paying entity for the year ending December 31, 2016.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities represent the differences between the financial stateme</font><font style='font-family:Arial Narrow;font-size:11pt;' >nt and income tax bases of assets and liabilities using enacted tax rates. The measurement of net deferred tax assets is adjusted by a valuation allowance if, based on the Company&#8217;s evaluation, it is more likely than not that they will not be realized.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Th</font><font style='font-family:Arial Narrow;font-size:11pt;' >e Company&#8217;s U.S. federal income tax returns for years end</font><font style='font-family:Arial Narrow;font-size:11pt;' >ed</font><font style='font-family:Arial Narrow;font-size:11pt;' > on or after December 31, 20</font><font style='font-family:Arial Narrow;font-size:11pt;' >12</font><font style='font-family:Arial Narrow;font-size:11pt;' > remain open for examination. Although management believes its calculations for tax returns are correct and the positions taken thereon are reasonable, the final outco</font><font style='font-family:Arial Narrow;font-size:11pt;' >me of tax audits could be materially different from the </font><font style='font-family:Arial Narrow;font-size:11pt;' >tax returns filed by the Company, and those differences could result in significant costs or benefits to the Company.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company measures, recognizes and presents its uncertain tax positions in acco</font><font style='font-family:Arial Narrow;font-size:11pt;' >rdance with ASC Topic 740, </font><font style='font-family:Arial Narrow;font-size:11pt;font-style:italic;' >Income Taxes</font><font style='font-family:Arial Narrow;font-size:11pt;' >. Under that guidance, the Company assesses the likelihood, based on their technical merit, that tax positions will be sustained upon examination based on the facts, circumstances and information available at the end</font><font style='font-family:Arial Narrow;font-size:11pt;' > of each period. The measurement of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Company recognizes tax positions in the financial statements only when it is more likely than no</font><font style='font-family:Arial Narrow;font-size:11pt;' >t that the position will be sustained upon examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured at the largest amount of benefit that will more likely than not be realiz</font><font style='font-family:Arial Narrow;font-size:11pt;' >ed upon settlement. The difference between the benefit recognized and the tax benefit claimed on a tax return is referred to as an unrecognized tax benefit and is recorded as a liability in the consolidated balance sheets. The Company records income tax-re</font><font style='font-family:Arial Narrow;font-size:11pt;' >lated interest and penalties, if applicable, within the income tax provision.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Reclassifications</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Certain prior period amounts have been reclassified to conform to the current period presentations.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Recent Accounting Pronouncements</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >I</font><font style='font-family:Arial Narrow;font-size:11pt;' >n March 2016, the FASB issued </font><font style='font-family:Arial Narrow;font-size:11pt;' >Accounting Standards Update </font><font style='font-family:Arial Narrow;font-size:11pt;' >(&#8220;</font><font style='font-family:Arial Narrow;font-size:11pt;' >ASU</font><font style='font-family:Arial Narrow;font-size:11pt;' >&#8221;)</font><font style='font-family:Arial Narrow;font-size:11pt;' > 2016-09, Compensation&#8212;Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. ASU No. 2016-09 </font><font style='font-family:Arial Narrow;font-size:11pt;' >simplifies certain aspects related to the accounting for share-based payment transactions, including income tax consequences, statutory withholding requirements, forfeitures and classification on the statement of cash flows. The guidance in this update is effective for fiscal years beginning after December 15, 2016, including interim periods within those fiscal years. Early adoption is permitted. Certain of the amendments related to timing of the recognition of tax benefits and tax withholding requirements should be applied using a modified retrospective transition method. Amendments related to classification on the statement of cash flows should be applied retrospectively. All other provisions may be applied on a prospective or modified retrospective basis. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In January 2016, the FASB issued </font><font style='font-family:Arial Narrow;font-size:11pt;' >ASU</font><font style='font-family:Arial Narrow;font-size:11pt;' > 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities. ASU 2016-01 provides guidance for the recognition, me</font><font style='font-family:Arial Narrow;font-size:11pt;' >asurement, presentation and disclosure of financial assets and financial liabilities. ASU 2016-01 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2017 and, for most provisions, is effective using the</font><font style='font-family:Arial Narrow;font-size:11pt;' > cumulative-effect transition approach. Early application is permitted for certain provisions. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In June 2014, the FASB issued ASU 2014-12, </font><font style='font-family:Arial Narrow;font-size:11pt;' >Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. ASU 2014-12 requires that performance targets that affect vesting and th</font><font style='font-family:Arial Narrow;font-size:11pt;' >at could be achieved after the requisite service period be treated as performance conditions. The effective date of ASU 2014-12 is for interim and annual reporting periods beginning after December 15, 2015. The adoption of this ASU did not have a materia</font><font style='font-family:Arial Narrow;font-size:11pt;' >l impact on the Company&#8217;s consolidated financial statements.</font></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 6</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. </font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >PLEDGED ASSETS</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The table below summarizes our assets pledged as collateral under our repurchase agreements</font><font style='font-family:Arial Narrow;font-size:11pt;' > and</font><font style='font-family:Arial Narrow;font-size:11pt;' > derivative agreements pledged related to securities sold but not yet settled, as of </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and December 31, </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of March 31, 2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Derivative</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Assets Pledged to Counterparties</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Agreements</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Agreements</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Total</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >PT MBS - at fair value</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >105,441</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >105,441</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Structured MBS - at fair value</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,719</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,719</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Accrued interest on pledged securities</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >356</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >356</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Cash</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >672</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >672</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,516</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >672</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >108,188</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of December 31, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Derivative</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Assets Pledged to Counterparties</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Agreements</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Agreements</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Total</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >PT MBS - at fair value</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >79,288</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >79,288</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Structured MBS - at fair value</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,904</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,904</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Accrued interest on pledged securities</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >272</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >272</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Cash</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >402</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >402</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >81,464</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >402</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >81,866</font></td></tr></table></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 12</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' >. INCOME TAXES</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The total income tax provision recorded for the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months </font><font style='font-family:Arial Narrow;font-size:11pt;' >ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' > was $</font><font style='font-family:Arial Narrow;font-size:11pt;' >0.3</font><font style='font-family:Arial Narrow;font-size:11pt;' > million </font><font style='font-family:Arial Narrow;font-size:11pt;' >and </font><font style='font-family:Arial Narrow;font-size:11pt;' >$0.3 million, respectively, on consolidated </font><font style='font-family:Arial Narrow;font-size:11pt;' >pre-tax book income </font><font style='font-family:Arial Narrow;font-size:11pt;' >(loss) </font><font style='font-family:Arial Narrow;font-size:11pt;' >of $</font><font style='font-family:Arial Narrow;font-size:11pt;' >0.7 million </font><font style='font-family:Arial Narrow;font-size:11pt;' >and $</font><font style='font-family:Arial Narrow;font-size:11pt;' >(1.1) million </font><font style='font-family:Arial Narrow;font-size:11pt;' >in the </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >, respectively. </font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The consolidated loss for the three months ended March 31, 2015 consisted of a loss of approximately $3.0 million attributed to Bimini Capital and income of approximately $1.9 million</font><font style='font-family:Arial Narrow;font-size:11pt;' > attributed to the operation of Bimini Advisors and MortCo. At March 31, 2015, the Company anticipated Bimini Capital retaining its Real Estate Investment Trust exemption under the Internal Revenue Code of 1986; therefore, no income tax benefit was accrue</font><font style='font-family:Arial Narrow;font-size:11pt;' >d related to this loss.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company</font><font style='font-family:Arial Narrow;font-size:11pt;' >&#8217;s tax provision is based on projected effective rate based annualized amounts and includes the expected </font><font style='font-family:Arial Narrow;font-size:11pt;' >realiz</font><font style='font-family:Arial Narrow;font-size:11pt;' >ation of </font><font style='font-family:Arial Narrow;font-size:11pt;' >a portion of the tax benefits of the federal and state </font><font style='font-family:Arial Narrow;font-size:11pt;' >net operating losses carryforwards (&#8220;NOLs&#8221;) i</font><font style='font-family:Arial Narrow;font-size:11pt;' >n </font><font style='font-family:Arial Narrow;font-size:11pt;' >2016</font><font style='font-family:Arial Narrow;font-size:11pt;' >. </font><font style='font-family:Arial Narrow;font-size:11pt;' >In assessing the realizability of deferred tax assets, management considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of capital loss and NOL carryforwar</font><font style='font-family:Arial Narrow;font-size:11pt;' >ds is dependent upon the generation of future capital gains and taxable income in periods prior to their expiration. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Company </font><font style='font-family:Arial Narrow;font-size:11pt;' >currently provides a valuation allowance against a portion of the NOLs </font><font style='font-family:Arial Narrow;font-size:11pt;' >since the Company believes that it is more likely than not that </font><font style='font-family:Arial Narrow;font-size:11pt;' >some of </font><font style='font-family:Arial Narrow;font-size:11pt;' >the benefits will not be realized in the future. The Company will continue to assess the need for a valuation allowance at each reporting date.</font></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >NOTE 15. RELATED PARTY TRANSACTIONS</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:18pt;' >Management Agreement</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Upon completion of its initial public offering, Orchid became externally managed and advised by Bimini Advisors pursuant to the terms of a management agreement. As Manager, Bimini Advisors is </font><font style='font-family:Arial Narrow;font-size:11pt;' >responsible for administering Orchid&#8217;s business activities and day-to-day operations. Pursuant to the terms of the management agreement, Bimini Advisors provides Orchid with its management team, including its officers, along with appropriate support perso</font><font style='font-family:Arial Narrow;font-size:11pt;' >nnel. Bimini Advisors is at all times subject to the supervision and oversight of Orchid&#8217;s board of directors and has only such functions and authority as delegated to it. Bimini Advisors receives a monthly management fee in the amount of:</font></p><p style='text-align:left;line-height:13.8pt;' ></p><ul><li style='list-style:disc;text-align:left;margin-top:0pt;margin-bottom:0pt;' ><font style='font-family:Arial Narrow;font-size:11pt;' >One-twelfth of</font><font style='font-family:Arial Narrow;font-size:11pt;' > 1.5% of the first $250 million of the Orchid&#8217;s equity, as defined in the management agreement,</font></li><li style='list-style:disc;text-align:left;margin-top:0pt;margin-bottom:0pt;' ><font style='font-family:Arial Narrow;font-size:11pt;' >One-twelfth of 1.25% of the Orchid&#8217;s equity that is greater than $250 million and less than or equal to $500 million, and</font></li><li style='list-style:disc;text-align:left;margin-top:0pt;margin-bottom:0pt;' ><font style='font-family:Arial Narrow;font-size:11pt;' >One-twelfth of 1.00% of the Orchid&#8217;s e</font><font style='font-family:Arial Narrow;font-size:11pt;' >quity that is greater than $500 million.</font></li></ul><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Orchid</font><font style='font-family:Arial Narrow;font-size:11pt;' > is obligated to reimburse the </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Advisors</font><font style='font-family:Arial Narrow;font-size:11pt;' > for any direct expenses incurred on its behalf and to pay </font><font style='font-family:Arial Narrow;font-size:11pt;' >to Bimini Advisors</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >Orchid</font><font style='font-family:Arial Narrow;font-size:11pt;' >&#8217;s pro rata portion of certain overhead costs set forth in the management agre</font><font style='font-family:Arial Narrow;font-size:11pt;' >ement. Should the Orchid terminate the management agreement without cause, it </font><font style='font-family:Arial Narrow;font-size:11pt;' >will</font><font style='font-family:Arial Narrow;font-size:11pt;' > pay to Bimini Advisors a termination fee equal to three times the average annual management fee, as defined in the management agreement, before or on the last day of the in</font><font style='font-family:Arial Narrow;font-size:11pt;' >itial term or automatic renewal term.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The following table summarizes the advisory services revenue from Orchid for the</font><font style='font-family:Arial Narrow;font-size:11pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >three</font><font style='font-family:Arial Narrow;font-size:11pt;' > months ended </font><font style='font-family:Arial Narrow;font-size:11pt;' >March 31, 2016</font><font style='font-family:Arial Narrow;font-size:11pt;' > and </font><font style='font-family:Arial Narrow;font-size:11pt;' >2015</font><font style='font-family:Arial Narrow;font-size:11pt;' >.</font></p></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Management fee</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >971</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >855</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Allocated overhead</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >298</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >240</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,269</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,095</font></td></tr></table></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Orchid Island Capital, Inc.</font><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;' > Common Stock</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >The Company elected the fair value option for its continuing investme</font><font style='font-family:Arial Narrow;font-size:11pt;' >nt in Orchid common shares. The change in the fair value of this investment and dividends received on this investment are reflected in other income in the consolidated statements of operations. We estimate the fair value of our investment in Orchid on a </font><font style='font-family:Arial Narrow;font-size:11pt;' >market approach using &#8220;Level 1&#8221; inputs based on the quoted market price of Orchid&#8217;s common stock.</font><font style='font-family:Times New Roman;font-size:12pt;' > </font><font style='font-family:Arial Narrow;font-size:11pt;' >Electing the fair value option requires the Company to record changes in fair value in the consolidated statement</font><font style='font-family:Arial Narrow;font-size:11pt;' >s</font><font style='font-family:Arial Narrow;font-size:11pt;' > of operations, which, in management&#8217;s view, mo</font><font style='font-family:Arial Narrow;font-size:11pt;' >re</font><font style='font-family:Arial Narrow;font-size:11pt;' > appropriately reflects the results of our operations for a particular reporting period and is consistent with how the investment is managed.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Advisory Services</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Orchid </font><font style='font-family:Arial Narrow;font-size:11pt;' >is </font><font style='font-family:Arial Narrow;font-size:11pt;' >externally managed and advised by </font><font style='font-family:Arial Narrow;font-size:11pt;' >Bimini Advisors pursuant to the terms of a management agreement. Under the terms of the management agreement</font><font style='font-family:Arial Narrow;font-size:11pt;' >,</font><font style='font-family:Arial Narrow;font-size:11pt;' > Orchid is obligated to pay Bimini Advisors a monthly management fee and a pro rata portion of certain overhead costs and to reimburse the Company</font><font style='font-family:Arial Narrow;font-size:11pt;' > for any direct expenses incurred on its behalf.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Reclassifications</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >Certain prior period amounts have been reclassified to conform to the current period presentations.</font></p><p style='text-align:left;line-height:13.8pt;' ></p></div> <div><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;font-weight:bold;margin-left:0pt;' >Recent Accounting Pronouncements</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >I</font><font style='font-family:Arial Narrow;font-size:11pt;' >n March 2016, the FASB issued </font><font style='font-family:Arial Narrow;font-size:11pt;' >Accounting Standards Update </font><font style='font-family:Arial Narrow;font-size:11pt;' >(&#8220;</font><font style='font-family:Arial Narrow;font-size:11pt;' >ASU</font><font style='font-family:Arial Narrow;font-size:11pt;' >&#8221;)</font><font style='font-family:Arial Narrow;font-size:11pt;' > 2016-09, Compensation&#8212;Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. ASU No. 2016-09 </font><font style='font-family:Arial Narrow;font-size:11pt;' >simplifies certain aspects related to the accounting for share-based payment transactions, including income tax consequences, statutory withholding requirements, forfeitures and classification on the statement of cash flows. The guidance in this update is effective for fiscal years beginning after December 15, 2016, including interim periods within those fiscal years. Early adoption is permitted. Certain of the amendments related to timing of the recognition of tax benefits and tax withholding requirements should be applied using a modified retrospective transition method. Amendments related to classification on the statement of cash flows should be applied retrospectively. All other provisions may be applied on a prospective or modified retrospective basis. </font><font style='font-family:Arial Narrow;font-size:11pt;' >The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In January 2016, the FASB issued </font><font style='font-family:Arial Narrow;font-size:11pt;' >ASU</font><font style='font-family:Arial Narrow;font-size:11pt;' > 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities. ASU 2016-01 provides guidance for the recognition, me</font><font style='font-family:Arial Narrow;font-size:11pt;' >asurement, presentation and disclosure of financial assets and financial liabilities. ASU 2016-01 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2017 and, for most provisions, is effective using the</font><font style='font-family:Arial Narrow;font-size:11pt;' > cumulative-effect transition approach. Early application is permitted for certain provisions. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements.</font></p><p style='text-align:left;line-height:13.8pt;' ></p><p style='text-align:left;margin-top:0pt;margin-bottom:0pt;line-height:13.8pt;' ><font style='font-family:Arial Narrow;font-size:11pt;margin-left:18pt;' >In June 2014, the FASB issued ASU 2014-12, </font><font style='font-family:Arial Narrow;font-size:11pt;' >Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. ASU 2014-12 requires that performance targets that affect vesting and th</font><font style='font-family:Arial Narrow;font-size:11pt;' >at could be achieved after the requisite service period be treated as performance conditions. The effective date of ASU 2014-12 is for interim and annual reporting periods beginning after December 15, 2015. The adoption of this ASU did not have a materia</font><font style='font-family:Arial Narrow;font-size:11pt;' >l impact on the Company&#8217;s consolidated financial statements.</font></p></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of March 31, 2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Derivative</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Assets Pledged to Counterparties</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Agreements</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Agreements</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Total</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >PT MBS - at fair value</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >105,441</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >105,441</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Structured MBS - at fair value</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,719</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,719</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Accrued interest on pledged securities</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >356</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >356</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Cash</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >672</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >672</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >107,516</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >672</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >108,188</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >As of December 31, 2015</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Repurchase</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Derivative</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Assets Pledged to Counterparties</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Agreements</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Agreements</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Total</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >PT MBS - at fair value</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >79,288</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >79,288</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Structured MBS - at fair value</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,904</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,904</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Accrued interest on pledged securities</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >272</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >272</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Cash</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >402</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >402</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >81,464</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >402</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >81,866</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td colspan='3' rowspan='1' style='width:251.25pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:251.25pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands, except per-share information)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Basic and diluted EPS per Class A common share:</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Income (loss) attributable to Class A common shares:</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >445</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1,385)</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average common shares:</font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class A common shares outstanding at the balance sheet date</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,632</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,333</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Unvested dividend-eligible incentive plan shares</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial;font-size:8.5pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:15pt;text-align:center;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='2' rowspan='1' style='width:228.75pt;text-align:left;border-color:Black;min-width:228.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >outstanding at the balance sheet date</font></td><td style='width:63.75pt;text-align:right;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >78</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Effect of weighting </font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(43)</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(1)</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average shares-basic and diluted</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,667</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >12,332</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Income (loss) per Class A common share:</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.04</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.11)</font></td></tr></table></div><p style='line-height:20pt;' /><div><table style='border-collapse:collapse;' ><tr style='height:13.5pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >(in thousands, except per-share information)</font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >Basic and diluted EPS per Class B common share:</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Income (loss) attributable to Class B common shares:</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(4)</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average common shares:</font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Class B common shares outstanding at the balance sheet date</font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Effect of weighting </font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td><td style='width:7.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >-</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Weighted average shares-basic and diluted</font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td><td style='width:7.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >32</font></td></tr><tr style='height:12.75pt;' ><td colspan='4' rowspan='1' style='width:258.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:258.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Income (loss) per Class B common share:</font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:67.5pt;border-top-style:double;border-top-width:3;text-align:left;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:15pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:15pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td colspan='3' rowspan='1' style='width:243.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:243.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Basic and diluted</font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:63.75pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:63.75pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >0.04</font></td><td style='width:7.5pt;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:7.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:67.5pt;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:67.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >(0.11)</font></td></tr></table></div> <div><table style='border-collapse:collapse;' ><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' >($ in thousands)</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-style:italic;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:2;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2016</font></td><td style='width:9pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:2;border-bottom-style:solid;border-bottom-width:1;text-align:center;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;font-weight:bold;color:#000000;' >2015</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Management fee</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >971</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >855</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Allocated overhead</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >298</font></td><td style='width:9pt;border-bottom-style:solid;border-bottom-width:1;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-bottom-style:solid;border-bottom-width:1;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >240</font></td></tr><tr style='height:12.75pt;' ><td style='width:322.5pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:322.5pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >Total</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' ></font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,269</font></td><td style='width:9pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:left;border-color:Black;min-width:9pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >$</font></td><td style='width:60pt;border-top-style:solid;border-top-width:1;border-bottom-style:double;border-bottom-width:3;text-align:right;border-color:Black;min-width:60pt;' ><font style='font-family:Arial Narrow;font-size:10pt;color:#000000;' >1,095</font></td></tr></table></div> 2003-09-24 Maryland 56000000 56000000 43000000 30000000 -351000 -719000 -444000 -51000 0.0159 0.0076 0.0223 0.0095 0.0221 0.0117 0.0163 0.0146 26000000 26000000 26000000 26000000 26000000 26000000 -190000 -399000 -252000 -47000 -56000 -61000 26000000 -1005000 0.0173 0.0076 0.0249 0.0095 0.0216 0.0119 0.0165 0.0146 0.0195 0.0173 0.0222 0.0199 0.0205 0.0137 56000000 56000000 56000000 -264000 -362000 -207000 26000000 26000000 26000000 -205000 -234000 -134000 0.0145 0.0098 0.0223 0.0159 0.0265 0.0191 0.0177 0.0098 0.0249 0.0159 0.0294 0.0191 105441000 1719000 356000 0 0 0 105441000 1719000 356000 0 672000 672000 107516000 672000 108188000 79288000 1904000 272000 0 0 0 79288000 1904000 272000 0 402000 402000 81464000 402000 81866000 4000000 0.1 67000 51000 127000 55000 8000 5000 P2Y3M15D P2Y8M11D 0 2016-01-15 500000 200000 258333 258333 0.75 0.75 0 0 1.22 0 0 1.22 1.78 0 0 1.78 77500 77500 31500 0 0 31500 -3000000 1900000 445000 -1385000 445000 -1385000 -43000 -1000 0 31600 1000 -4000 1000 -4000 0 0 12333000 78000 0 32000 0.03 Discounted Cash Flow Discounted Cash Flow 0.2 14.9 9.8 0.3 4.1 1.7 0.275 0.275 0.275 0.275 0.275 0.275 0.015 0.0125 0.01 971000 298000 1269000 855000 240000 1095000 200000 200000 400000 500000 1395036 1395036 0.064 0.064 4700000 3500000 0.001 0.001 0.001 0.001 0.001 0.001 0.001 0.001 10000000 10000000 0.001 0.001 0.001 0.001 0 0 0.001 0.001 9900000 100000 100000 9900000 0 0 0 0 0 0 0 0 98000000 12631627 12631627 98000000 12373294 12373294 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Document and Entity Information - shares
 3 Months Ended
Mar. 31, 2016
May. 11, 2016
Document Type 10-Q  
Amendment Flag false  
Document Period End Date Mar. 31, 2016  
Document Fiscal Year Focus 2016  
Document Fiscal Period Focus Q1  
Entity Registrant Name Bimini Capital Management, Inc.  
Entity Central Index Key 0001275477  
Entity Current Reporting Status Yes  
Entity Voluntary Filers No  
Current Fiscal Year End Date --12-31  
Entity Filer Category Smaller Reporting Company  
Entity Well Known Seasoned Issuer No  
Trading Symbol BMNM  
Class A Common Stock [Member]    
Entity Common Stock Shares Outstanding   12,631,627
Class B Common Stock [Member]    
Entity Common Stock Shares Outstanding   31,938
Class C Common Stock [Member]    
Entity Common Stock Shares Outstanding   31,938
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Consolidated Balance Sheets - USD ($)
Mar. 31, 2016
Dec. 31, 2015
Mortgage-backed securities, at fair value    
Pledged to counterparties $ 107,160,357 $ 81,192,199
Unpledged 2,035,979 2,796,200
Total mortgage-backed securities 109,196,336,000 83,988,399,000
Cash and cash equivalents 3,140,142 6,310,683
Restricted cash 672,250 401,800
Orchid Island Capital, Inc. common stock, at fair value 14,466,523,000 13,852,707,000
Retained interests in securitizations 1,241,846 1,124,278
Accrued interest receivable 430,449 351,049
Property and equipment, net 3,470,370 3,492,612
Deferred tax assets, net 64,646,903 64,832,242
Other assets 2,902,065 2,701,655
Total Assets 200,166,884 177,055,425
Liabilities    
Repurchase agreements 102,793,559 77,234,249
Junior subordinated notes due to Bimini Capital Trust II 26,804,440 26,804,440
Payable for unsettled securities purchased 0 1,859,277
Accrued interest payable 74,213 83,957
Other Liabilities 1,306,978 2,533,442
Total Liabilities 130,979,190 108,515,365
Stockholders' Equity    
Preferred stock 0 0
Common stock 12,696 12,437
Additional paid in capital 334,831,647 334,630,263
Accumulated deficit (265,656,649) (266,102,640)
Stockholders Equity 69,187,694 68,540,060
Total Liabilities and Stockholders' Equity $ 200,166,884 $ 177,055,425
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Balance Sheet Parentheticals - USD ($)
Mar. 31, 2016
Dec. 31, 2015
Class of Stock [Line Items]    
Preferred Stock Par Or Stated Value Per Share $ 0.001 $ 0.001
Preferred Shares Authorized 10,000,000 10,000,000
Preferred Shares Issued 0  
Preferred Shares Outstanding 0  
Preferred Stock Value $ 0 $ 0
Common Stock Par Or Stated Value Per Share $ 0.001 $ 0.001
Common Stock Value Outstanding $ 12,696 $ 12,437
Class A Common Stock [Member]    
Class of Stock [Line Items]    
Common Stock Par Or Stated Value Per Share $ 0.001 $ 0.001
Common Stock Shares Authorized 98,000,000 98,000,000
Common Stock Shares Issued 12,631,627 12,373,294
Common Stock Shares Outstanding 12,631,627 12,373,294
Common Stock Value Outstanding $ 12,632 $ 12,373
Class B Common Stock [Member]    
Class of Stock [Line Items]    
Common Stock Par Or Stated Value Per Share $ 0.001 $ 0.001
Common Stock Shares Authorized 1,000,000 1,000,000
Common Stock Shares Issued 31,938 31,938
Common Stock Shares Outstanding 31,938 31,938
Common Stock Value Outstanding $ 32 $ 32
Class C Common Stock [Member]    
Class of Stock [Line Items]    
Common Stock Par Or Stated Value Per Share $ 0.001 $ 0.001
Common Stock Shares Authorized 1,000,000 1,000,000
Common Stock Shares Issued 31,938 31,938
Common Stock Shares Outstanding 31,938 31,938
Common Stock Value Outstanding $ 32 $ 32
Preferred Undesignated [Member]    
Class of Stock [Line Items]    
Preferred Stock Par Or Stated Value Per Share $ 0.001 $ 0.001
Preferred Shares Authorized 9,900,000 9,900,000
Preferred Shares Issued 0 0
Preferred Shares Outstanding 0 0
SeriesAPreferredStockMember    
Class of Stock [Line Items]    
Preferred Stock Par Or Stated Value Per Share $ 0.001 $ 0.001
Preferred Shares Authorized 100,000 100,000
Preferred Shares Issued 0 0
Preferred Shares Outstanding 0 0
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Consolidated Statements of Operations - USD ($)
 3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
Portfolio Income    
Interest income $ 817,464 $ 1,207,134
Interest expense 127,903 100,192
Net interest income, before interest on junior subordinated notes 689,561 1,106,942
Interest expense on junior subordinated notes 263,611 243,473
Net interest income 425,950 863,469
Unrealized (losses) gains on mortgage-backed securities (288,244) 829,297
Realized gains on mortgage-backed securities 231,847 0
(Losses) gains on derivative instruments (1,299,863) (1,014,700)
Net portfolio income (loss) (930,310) 678,066
Other income:    
Gains on retained interests in securitizations 546,020 1,485,756
Unrealized losses on Orchid Island Capital, Inc. common stock 613,816 186,516
Orchid Island Capital, Inc. dividends 585,915 530,099
Advisory services 1,269,019 1,094,654.75
Other expense, net 230 262
Total other income 3,015,000 3,297,287.75
Expenses    
Compensation and related benefits 795,710 784,102.73
Directors fees and liability insurance 155,538 167,766
Audit, legal and other professional fees 157,073 334,777
Settlement of litigation 0 3,500,000
Other administrative expenses 261,624 240,542.02
Total expenses 1,369,945 5,027,187.75
Net (loss) income before income tax provision (benefit) 714,745 (1,051,834)
Income tax provision (benefit) 268,754 337,095
Net (loss) income $ 445,991 $ (1,388,929)
Class A Common Stock [Member]    
Basic and Diluted Net (Loss) Income Per Share of:    
Basic $ 0.04 $ (0.11)
Diluted $ 0.04 $ (0.11)
Weighted Average Shares Outstanding    
Weighted Average Number Of Basic Shares Outstanding 12,666,545 12,332,416
Weighted Average Number Of Diluted Shares Outstanding 12,666,545 12,332,416
Class B Common Stock [Member]    
Basic and Diluted Net (Loss) Income Per Share of:    
Basic $ 0.04 $ (0.11)
Diluted $ 0.04 $ (0.11)
Weighted Average Shares Outstanding    
Weighted Average Number Of Basic Shares Outstanding 31,938 31,938
Weighted Average Number Of Diluted Shares Outstanding 31,938 31,938
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Consolidated Statement of Stockholders' Equity - 3 months ended Mar. 31, 2016 - USD ($)
Total
Common Stock [Member]
Additional Paid In Capital [Member]
Retained Earnings [Member]
Beginning Balances at Dec. 31, 2015 $ 68,540,060 $ 12,437 $ 334,630,263 $ (266,102,640)
Increase (Decrease) in Stockholders' Equity        
Net income 445,991 0 0 445,991
Issuance of Class A common shares for equity plan exercises 193,750 259 193,491 0
Amortization of equity plan compensation 7,893 0 7,893 0
Ending Balances at Mar. 31, 2016 $ 69,187,694 $ 12,696 $ 334,831,647 $ (265,656,649)
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Consolidated Statements of Cash Flows - USD ($)
 3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
CASH FLOWS FROM OPERATING ACTIVITIES    
Net (loss) income $ 445,991 $ (1,388,929)
Adjustments to reconcile net (loss) income to net cash provided by (used in) operating activities:    
Stock based compensation 201,643 20,092
Depreciation 22,242 23,796
Deferred income tax provision (benefit) 185,339 200,094
Losses (gains) on mortgage-backed securities 56,397 (829,297)
Gains on retained interests in securitizations (546,020) (1,485,756)
Unrealized losses on Orchid Island Capital, Inc. common stock 613,816 186,516
Changes in operating assets and liabilities    
Accrued interest receivable (79,400) (12,495)
Other assets (200,410) 45,485
Accrued interest payable (9,744) (13,407)
Other liabilities (1,226,464) 3,074,874
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES (1,764,242) (552,059)
From mortgage-backed securities investments    
Purchases (53,818,309) (986,194)
Sales 25,799,167 0
Principal repayments 2,754,808 4,059,492
Payments received on retained interests in securitizations 428,452 995,531
Increase in restricted cash (270,450) (31,320)
Payments To Acquire Equity Method Investments 1,859,277 0
NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES (26,965,609) 4,037,509
CASH FLOWS FROM FINANCING ACTIVITIES    
Proceeds from repurchase agreements 211,634,019 234,227,774
Principal payments on repurchase agreements (186,074,709) (237,898,135)
NET CASH (USED IN) PROVIDED BY FINANCING ACTIVITIES 25,559,310 (3,670,361)
NET INCREASE IN CASH AND CASH EQUIVALENTS (3,170,541) (184,911)
CASH AND CASH EQUIVALENTS, beginning of the period 6,310,683 4,699,059
CASH AND CASH EQUIVALENTS, end of the period 3,140,142 4,514,148
Cash paid during the period for:    
Interest 401,258 357,072
Income Taxes $ 473,700 $ 137,001
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Organization and Significant Accounting Policies
 3 Months Ended
Mar. 31, 2016
Accounting Policies [Abstract]  
Organization and Significant Accounting Policies

NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization and Business Description

Bimini Capital Management, Inc., a Maryland corporation (“Bimini Capital” or the “Company”), was formed in September 2003 for the purpose of creating and managing a leveraged investment portfolio consisting of residential mortgage-backed securities (“MBS”). In addition, the Company manages an MBS portfolio for Orchid Island Capital, Inc. (“Orchid”) and receives fees for providing these services.

Consolidation

The accompanying consolidated financial statements include the accounts of Bimini Capital, Bimini Advisors Holdings, LLC, and its wholly-owned subsidiary, Bimini Advisors, LLC (together “Bimini Advisors”), and MortCo TRS, LLC and its consolidated subsidiaries (“MortCo”). All inter-company accounts and transactions have been eliminated from the consolidated financial statements.

Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification (“ASC”) Topic 810, Consolidation, requires the consolidation of a variable interest entity (“VIE”) by an enterprise if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE, an ongoing assessment of whether an enterprise is the primary beneficiary of a VIE, and additional disclosures for entities that have variable interests in VIEs. As further described in Note 8, Bimini Capital has a common share investment in a trust used in connection with the issuance of Bimini Capital’s junior subordinated notes. Pursuant to ASC 810, management has concluded that, while the trust is a VIE, Bimini Capital’s common share investment in the trust is not a variable interest. Therefore, the trust has not been consolidated in the financial statements of Bimini Capital, and accordingly, this investment has been accounted for on the equity method.

Basis of Presentation

The accompanying unaudited condensed consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Article 8 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the three month period ended March 31, 2016 are not necessarily indicative of the results that may be expected for the year ending December 31, 2016.

The consolidated balance sheet at December 31, 2015 has been derived from the audited financial statements at that date but does not include all of the information and footnotes required by GAAP for complete consolidated financial statements. For further information, refer to the financial statements and footnotes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015.

Use of Estimates

The preparation of 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. Significant estimates affecting the accompanying consolidated financial statements include the fair values of MBS, investment in Orchid common shares, derivatives, retained interests, asset valuation allowances and deferred tax asset allowances recorded for each accounting period.

Statement of Comprehensive Income

In accordance with ASC Topic 220, Comprehensive Income, a statement of comprehensive income has not been included as the Company has no items of other comprehensive income (loss).  Comprehensive income (loss) is the same as net income (loss) for all periods presented.

Cash and Cash Equivalents and Restricted Cash

Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase. Restricted cash includes cash pledged as collateral for repurchase agreements and derivative instruments.

The Company maintains cash balances at several banks, and at times these balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. The Federal Deposit Insurance Corporation insures eligible accounts up to $250,000 per depositor at each financial institution. At March 31, 2016, the Company’s cash deposits exceeded federally insured limits by approximately $1.7 million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. The Company limits uninsured balances to only large, well-known banks and derivative counterparties and believes that it is not exposed to significant credit risk on cash and cash equivalents or restricted cash balances.

Mortgage-Backed Securities

The Company invests primarily in mortgage pass-through (“PT”) certificates, collateralized mortgage obligations, and interest-only (“IO”) securities and inverse interest-only (“IIO”) securities representing interest in or obligations backed by pools of mortgage-backed loans. The Company has elected to account for its investment in MBS under the fair value option. Electing the fair value option requires the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed.

The Company records MBS transactions on the trade date. Security purchases that have not settled as of the balance sheet date are included in the MBS balance with an offsetting liability recorded, whereas securities sold that have not settled as of the balance sheet date are removed from the MBS balance with an offsetting receivable recorded.

The fair value of the Company’s investment in MBS is governed by ASC Topic 820, Fair Value Measurement.  The definition of fair value in ASC Topic 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for MBS are based on independent pricing sources and/or third-party broker quotes, when available.

Income on PT MBS is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amortized. Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains on MBS in the consolidated statements of operations. For IO securities, the income is accrued based on the carrying value and the effective yield. The difference between income accrued and the interest received on the security is characterized as a return of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively from the reporting period based on the new estimate of prepayments and the contractual terms of the security. For IIO securities, effective yield and income recognition calculations also take into account the index value applicable to the security. Changes in fair value of MBS during each reporting period are recorded in earnings and reported as unrealized gains or losses on mortgage-backed securities in the accompanying consolidated statements of operations. The amount reported as unrealized gains or losses on mortgage backed securities thus captures the net effect of changes in the fair market value of securities caused by market developments and any premium or discount lost as a result of principal repayments during the period.

Orchid Island Capital, Inc. Common Stock

The Company elected the fair value option for its continuing investment in Orchid common shares. The change in the fair value of this investment and dividends received on this investment are reflected in other income in the consolidated statements of operations. We estimate the fair value of our investment in Orchid on a market approach using “Level 1” inputs based on the quoted market price of Orchid’s common stock. Electing the fair value option requires the Company to record changes in fair value in the consolidated statements of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with how the investment is managed.

Advisory Services

Orchid is externally managed and advised by Bimini Advisors pursuant to the terms of a management agreement. Under the terms of the management agreement, Orchid is obligated to pay Bimini Advisors a monthly management fee and a pro rata portion of certain overhead costs and to reimburse the Company for any direct expenses incurred on its behalf.

Retained Interests in Securitizations

Retained interests in the subordinated tranches of securities created in securitization transactions were initially recorded at their fair value when issued by MortCo. Subsequent adjustments to fair value are reflected in earnings. Quoted market prices for these assets are generally not available, so the Company estimates fair value based on the present value of expected future cash flows using management’s best estimates of key assumptions, which include expected credit losses, prepayment speeds, weighted-average life, and discount rates commensurate with the inherent risks of the asset.

Derivative Financial Instruments

The Company uses derivative instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are Eurodollar futures contracts, but it may enter into other transactions in the future.

The Company has elected not to treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option. FASB ASC Topic 815, Derivatives and Hedging, requires that all derivative instruments be carried at fair value. Changes in fair value are recorded in earnings for each period.

Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments. In addition, the Company may be required to post collateral based on any declines in the market value of the derivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement. To mitigate this risk, the Company uses only well-established commercial banks as counterparties.

Financial Instruments

ASC Topic 825, Financial Instruments, requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. MBS, Orchid common stock, Eurodollar futures contracts, interest rate swaptions and retained interests in securitization transactions are accounted for at fair value in the consolidated balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 14 of the consolidated financial statements.

The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, other assets, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying value as of March 31, 2016 and December 31, 2015, due to the short-term nature of these financial instruments.

It is impractical to estimate the fair value of the Company’s junior subordinated notes. Currently, there is a limited market for these types of instruments and the Company is unable to ascertain what interest rates would be available to the Company for similar financial instruments. Information regarding carrying amount, effective interest rate and maturity date for these instruments is presented in Note 8 to the consolidated financial statements.

Property and Equipment, net

Property and equipment, net, consists of computer equipment with a depreciable life of 3 years, office furniture and equipment with depreciable lives of 8 to 20 years, land which has no depreciable life, and buildings and improvements with depreciable lives of 30 years. Property and equipment is recorded at acquisition cost and depreciated using the straight-line method over the estimated useful lives of the assets.

Repurchase Agreements

The Company finances the acquisition of the majority of its PT MBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing, the Company accounts for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements.

Share-Based Compensation

The Company follows the provisions of ASC Topic 718, Compensation – Stock Compensation, to account for stock and stock-based awards. For stock and stock-based awards issued to employees, a compensation charge is recorded against earnings over the vesting period based on the fair value of the award. Payments pursuant to dividend equivalent rights, which are granted along with certain equity based awards, are charged to stockholders’ equity when dividends are declared. The Company applies a zero forfeiture rate for its equity based awards, as such awards have been granted to a limited number of employees and historical forfeitures have been minimal. A significant forfeiture, or an indication that significant forfeitures may occur, would result in a revised forfeiture rate which would be accounted for prospectively as a change in an estimate. For transactions with non-employees in which services are performed in exchange for the Company’s common stock or other equity instruments, the transactions are recorded on the basis of the fair value of the service received or the fair value of the equity instruments issued, whichever is more readily measurable at the date of issuance.

Earnings Per Share

The Company follows the provisions of ASC Topic 260, Earnings Per Share, which requires companies with complex capital structures, common stock equivalents or two (or more) classes of securities that participate in dividend distributions to present both basic and diluted earnings per share (“EPS”) on the face of the consolidated statement of operations. Basic EPS is calculated as income available to common stockholders divided by the weighted average number of common shares outstanding during the period. Diluted EPS is calculated using the treasury stock or two-class method, as applicable for common stock equivalents. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive.

Outstanding shares of Class B Common Stock, participating and convertible into Class A Common Stock, are entitled to receive dividends in an amount equal to the dividends declared on each share of Class A Common Stock if, as and when authorized and declared by the Board of Directors. Accordingly, shares of the Class B Common Stock are included in the computation of basic EPS using the two-class method and, consequently, are presented separately from Class A Common Stock.

The shares of Class C Common Stock are not included in the basic EPS computation as these shares do not have participation rights. The outstanding shares of Class B and Class C Common Stock are not included in the computation of diluted EPS for the Class A Common Stock as the conditions for conversion into shares of Class A Common Stock were not met.

Income Taxes

For the calendar year ended December 31, 2015, Bimini Capital, Bimini Advisors and MortCo were separate taxpaying entities for income tax purposes and filed separate Federal income tax returns. Bimini Advisors remained a separate tax paying entity through January 31, 2016; on that date, Bimini Advisors was reorganized to be an LLC wholly-owned by Bimini Capital. Beginning with the tax period starting on February 1, 2016, Bimini Capital and Bimini Advisors will be a single tax paying entity. MortCo continues to be treated as a separate tax paying entity for the year ending December 31, 2016.

Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities represent the differences between the financial statement and income tax bases of assets and liabilities using enacted tax rates. The measurement of net deferred tax assets is adjusted by a valuation allowance if, based on the Company’s evaluation, it is more likely than not that they will not be realized.

The Company’s U.S. federal income tax returns for years ended on or after December 31, 2012 remain open for examination. Although management believes its calculations for tax returns are correct and the positions taken thereon are reasonable, the final outcome of tax audits could be materially different from the tax returns filed by the Company, and those differences could result in significant costs or benefits to the Company.

The Company measures, recognizes and presents its uncertain tax positions in accordance with ASC Topic 740, Income Taxes. Under that guidance, the Company assesses the likelihood, based on their technical merit, that tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period. The measurement of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change. The Company recognizes tax positions in the financial statements only when it is more likely than not that the position will be sustained upon examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured at the largest amount of benefit that will more likely than not be realized upon settlement. The difference between the benefit recognized and the tax benefit claimed on a tax return is referred to as an unrecognized tax benefit and is recorded as a liability in the consolidated balance sheets. The Company records income tax-related interest and penalties, if applicable, within the income tax provision.

Reclassifications

Certain prior period amounts have been reclassified to conform to the current period presentations.

Recent Accounting Pronouncements

In March 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. ASU No. 2016-09 simplifies certain aspects related to the accounting for share-based payment transactions, including income tax consequences, statutory withholding requirements, forfeitures and classification on the statement of cash flows. The guidance in this update is effective for fiscal years beginning after December 15, 2016, including interim periods within those fiscal years. Early adoption is permitted. Certain of the amendments related to timing of the recognition of tax benefits and tax withholding requirements should be applied using a modified retrospective transition method. Amendments related to classification on the statement of cash flows should be applied retrospectively. All other provisions may be applied on a prospective or modified retrospective basis. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements.

In January 2016, the FASB issued ASU 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities. ASU 2016-01 provides guidance for the recognition, measurement, presentation and disclosure of financial assets and financial liabilities. ASU 2016-01 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2017 and, for most provisions, is effective using the cumulative-effect transition approach. Early application is permitted for certain provisions. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements.

In June 2014, the FASB issued ASU 2014-12, Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. ASU 2014-12 requires that performance targets that affect vesting and that could be achieved after the requisite service period be treated as performance conditions. The effective date of ASU 2014-12 is for interim and annual reporting periods beginning after December 15, 2015. The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements.
XML 20 R8.htm IDEA: XBRL DOCUMENT v3.4.0.3
Mortgage Backed Securities
 3 Months Ended
Mar. 31, 2016
Mortgage Backed Securities [Abstract]  
Mortgage-Backed Securities

NOTE 2. MORTGAGE-BACKED SECURITIES

The following table presents the Company’s MBS portfolio as of March 31, 2016 and December 31, 2015:

(in thousands)
March 31, 2016December 31, 2015
Pass-Through MBS:
Hybrid Adjustable-rate Mortgages $116$118
Fixed-rate Mortgages 105,32579,170
Total Pass-Through MBS105,44179,288
Structured MBS:
Interest-Only Securities1,8052,554
Inverse Interest-Only Securities1,9502,146
Total Structured MBS3,7554,700
Total$109,196$83,988

The following table summarizes the Company’s MBS portfolio as of March 31, 2016 and December 31, 2015, according to the contractual maturities of the securities in the portfolio. Actual maturities of MBS investments are generally shorter than stated contractual maturities and are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.

(in thousands)
March 31, 2016December 31, 2015
Greater than five years and less than ten years $2$3
Greater than or equal to ten years109,19483,985
Total$109,196$83,988
XML 21 R9.htm IDEA: XBRL DOCUMENT v3.4.0.3
Retained Interests In Securitizations
 3 Months Ended
Mar. 31, 2016
Retained Interests In Securitizations [Abstract]  
Retained Interests In Securitizations

NOTE 3. RETAINED INTERESTS IN SECURITIZATIONS

The following table summarizes the estimated fair value of the Company’s retained interests in asset backed securities as of March 31, 2016 and December 31, 2015:

(in thousands)
SeriesIssue DateMarch 31, 2016December 31, 2015
HMAC 2004-2May 10, 2004$159$110
HMAC 2004-3June 30, 2004482453
HMAC 2004-4August 16, 200426475
HMAC 2004-5September 28, 2004163182
HMAC 2004-6November 17, 2004174304
Total$1,242$1,124
XML 22 R10.htm IDEA: XBRL DOCUMENT v3.4.0.3
Repurchase Agreements
 3 Months Ended
Mar. 31, 2016
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements

NOTE 4. REPURCHASE AGREEMENTS

As of March 31, 2016, the Company had outstanding repurchase agreement obligations of approximately $102.8 million with a net weighted average borrowing rate of 0.68%. These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $107.5 million. As of December 31, 2015, the Company had outstanding repurchase agreement obligations of approximately $77.2 million with a net weighted average borrowing rate of 0.61%. These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $81.5 million.

As of March 31, 2016 and December 31, 2015, the Company’s repurchase agreements had remaining maturities as summarized below:

($ in thousands)
OVERNIGHTBETWEEN 2BETWEEN 31GREATER
(1 DAY ORANDANDTHAN
LESS)30 DAYS90 DAYS90 DAYSTOTAL
March 31, 2016
Fair value of securities pledged, including accrued
interest receivable$-$105,786$1,730$-$107,516
Repurchase agreement liabilities associated with
these securities$-$101,503$1,291$-$102,794
Net weighted average borrowing rate- 0.68%1.30%- 0.68%
December 31, 2015
Fair value of securities pledged, including accrued
interest receivable$-$81,464$-$-$81,464
Repurchase agreement liabilities associated with
these securities$-$77,234$-$-$77,234
Net weighted average borrowing rate- 0.61%- - 0.61%

If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets, which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender, including the accrued interest receivable, and cash posted by the Company as collateral, if any. At March 31, 2016 and December 31, 2015, the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest payable, and the fair value of securities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately $4.7 million and $3.5 million, respectively. The Company did not have an amount at risk with any individual counterparty greater than 10% of the Company’s equity at March 31, 2016 or December 31, 2015.
XML 23 R11.htm IDEA: XBRL DOCUMENT v3.4.0.3
Derivative Financial Instruments
 3 Months Ended
Mar. 31, 2016
Derivative Financial Instruments [Abstract]  
Derivative Financial Instruments

NOTE 5. DERIVATIVE FINANCIAL INSTRUMENTS

In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding and junior subordinated notes by entering into derivatives and other hedging contracts. To date the Company has entered into Eurodollar and T-Note futures contracts, but may enter into other contracts in the future. The Company has not elected hedging treatment under GAAP, and as such all gains or losses (realized and unrealized) on these instruments are reflected in earnings for all periods presented.

As of March 31, 2016 and December 31, 2015, such instruments were comprised entirely of Eurodollar futures contracts. Eurodollar futures are cash settled futures contracts on an interest rate, with gains or losses credited or charged to the Company’s account on a daily basis and reflected in earnings as they occur. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The Company is exposed to the changes in value of the futures by the amount of margin held by the broker. This margin represents the collateral the Company has posted for its open positions and is recorded on the consolidated balance sheets as part of restricted cash.

Eurodollar and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The tables below present information related to the Company’s Eurodollar futures positions at March 31, 2016 and December 31, 2015.

($ in thousands)
As of March 31, 2016
Repurchase Agreement Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2016$56,0001.59%0.76%$(351)
201756,0002.23%0.95%(719)
201843,0002.21%1.17%(444)
201930,0001.63%1.46%(51)
Total / Weighted Average$45,6001.96%1.05%$(1,565)

($ in thousands)
As of March 31, 2016
Junior Subordinated Debt Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2016$26,0001.73%0.76%$(190)
201726,0002.49%0.95%(399)
201826,0002.16%1.19%(252)
201926,0001.65%1.46%(47)
202026,0001.95%1.73%(56)
202126,0002.22%1.99%(61)
Total / Weighted Average$26,0002.05%1.37%$(1,005)

($ in thousands)
As of December 31, 2015
Repurchase Agreement Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2016$56,0001.45%0.98%$(264)
201756,0002.23%1.59%(362)
201856,0002.65%1.91%(207)
Total / Weighted Average$56,0002.00%1.41%$(833)

($ in thousands)
As of December 31, 2015
Junior Subordinated Debt Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2016$26,0001.77%0.98%$(205)
201726,0002.49%1.59%(234)
201826,0002.94%1.91%(134)
Total / Weighted Average$26,0002.29%1.41%$(573)

Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.

Loss From Derivative Instruments, Net

The table below presents the effect of the Company’s derivative financial instruments on the consolidated statements of operations for the three months ended March 31, 2016 and 2015

(in thousands)
20162015
Eurodollar futures contracts (short positions)$(1,300)$(1,015)
Net losses on derivative instruments$(1,300)$(1,015)

Credit Risk-Related Contingent Features

The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. The Company attempts to minimize this risk in several ways. For instruments which are not centrally cleared on a registered exchange, the Company limits its counterparties to major financial institutions with acceptable credit ratings, and by monitoring positions with individual counterparties. In addition, the Company may be required to pledge assets as collateral for its derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty, the Company may not receive payments provided for under the terms of its derivative agreements, and may have difficulty obtaining its assets pledged as collateral for its derivatives. The cash and cash equivalents pledged as collateral for the Company’s derivative instruments are included in restricted cash on the consolidated balance sheets.
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Pledged Assets
 3 Months Ended
Mar. 31, 2016
Pledged Assets [Abstract]  
Pledged Assets [Text Block]

NOTE 6. PLEDGED ASSETS

The table below summarizes our assets pledged as collateral under our repurchase agreements and derivative agreements pledged related to securities sold but not yet settled, as of March 31, 2016 and December 31, 2015.

($ in thousands)
As of March 31, 2016
RepurchaseDerivative
Assets Pledged to CounterpartiesAgreementsAgreementsTotal
PT MBS - at fair value$105,441$-$105,441
Structured MBS - at fair value1,719-1,719
Accrued interest on pledged securities356-356
Cash-672672
Total$107,516$672$108,188

($ in thousands)
As of December 31, 2015
RepurchaseDerivative
Assets Pledged to CounterpartiesAgreementsAgreementsTotal
PT MBS - at fair value$79,288$-$79,288
Structured MBS - at fair value1,904-1,904
Accrued interest on pledged securities272-272
Cash-402402
Total$81,464$402$81,866
XML 25 R13.htm IDEA: XBRL DOCUMENT v3.4.0.3
Offsetting Assets and Liabilities
 3 Months Ended
Mar. 31, 2016
Offsetting [Abstract]  
Offsetting Assets And Liabilities [Text Block]

NOTE 7. OFFSETTING ASSETS AND LIABILITIES

The Company’s derivatives and repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its assets and liabilities subject to these arrangements on a gross basis. The following table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of March 31, 2016 and December 31, 2015.

(in thousands)
Offsetting of Liabilities
Gross Amount Not Offset in the
Net AmountConsolidated Balance Sheet
Gross Amountof LiabilitiesFinancial
Gross AmountOffset in thePresented in theInstrumentsCash
of RecognizedConsolidatedConsolidatedPosted asPosted asNet
LiabilitiesBalance SheetBalance SheetCollateralCollateralAmount
March 31, 2016
Repurchase Agreements$102,794$-$102,794$(102,794)$-$-
December 31, 2015
Repurchase Agreements$77,234$-$77,234$(77,234)$-$-

The amounts disclosed for collateral received by or posted to the same counterparty are limited to the amount sufficient to reduce the asset or liability presented in the consolidated balance sheet to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. The fair value of the actual collateral received by or posted to the same counterparty typically exceeds the amounts presented. See Note 6 for a discussion of collateral posted for, or received against, repurchase obligations and derivative instruments.
XML 26 R14.htm IDEA: XBRL DOCUMENT v3.4.0.3
Trust Preferred Securities
 3 Months Ended
Mar. 31, 2016
Trust Preferred Securities [Abstract]  
Trust Preferred Securities

NOTE 8. TRUST PREFERRED SECURITIES

During 2005, Bimini Capital sponsored the formation of a statutory trust, known as Bimini Capital Trust II (“BCTII”) of which 100% of the common equity is owned by Bimini Capital. It was formed for the purpose of issuing trust preferred capital securities to third-party investors and investing the proceeds from the sale of such capital securities solely in junior subordinated debt securities of Bimini Capital. The debt securities held by BCTII are the sole assets of BCTII.

As of March 31, 2016 and December 31, 2015, the outstanding principal balance on the junior subordinated debt securities owed to BCTII was $26.8 million. The BCTII trust preferred securities and Bimini Capital's BCTII Junior Subordinated Notes have a rate of interest that floats at a spread of 3.50% over the prevailing three-month LIBOR rate. As of March 31, 2016, the interest rate was 4.13%. The BCTII trust preferred securities and Bimini Capital's BCTII Junior Subordinated Notes require quarterly interest distributions and are redeemable at Bimini Capital's option, in whole or in part and without penalty. Bimini Capital's BCTII Junior Subordinated Notes are subordinate and junior in right of payment of all present and future senior indebtedness.

BCTII is a VIE because the holders of the equity investment at risk do not have adequate decision making ability over BCTII’s activities. Since Bimini Capital's investment in BCTII’s common equity securities was financed directly by BCTII as a result of its loan of the proceeds to Bimini Capital, that investment is not considered to be an equity investment at risk. Since Bimini Capital's common share investment in BCTII is not a variable interest, Bimini Capital is not the primary beneficiary of BCTII. Therefore, Bimini Capital has not consolidated the financial statements of BCTII into its consolidated financial statements.

The accompanying consolidated financial statements present Bimini Capital's BCTII Junior Subordinated Notes issued to BCTII as a liability and Bimini Capital's investment in the common equity securities of BCTII as an asset (included in other assets). For financial statement purposes, Bimini Capital records payments of interest on the Junior Subordinated Notes issued to BCTII as interest expense.
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Capital Stock
 3 Months Ended
Mar. 31, 2016
Capital Stock [Abstract]  
Capital Stock

NOTE 9. COMMON STOCK

The table below presents information related to Bimini Capital’s Class A Common Stock issued during the three months ended March 31, 2016 and 2015.

Three Months Ended March 31,
Shares Issued Related To:20162015
Directors' compensation-8,115
Vesting incentive plan shares258,333-
Total shares of Class A Common Stock issued258,3338,115

There were no issuances of Bimini Capital's Class B Common Stock and Class C Common Stock during the three months ended March 31, 2016 and 2015.
XML 28 R16.htm IDEA: XBRL DOCUMENT v3.4.0.3
Stock Incentive Plans
 3 Months Ended
Mar. 31, 2016
Employee Benefits And Share Based Compensation [Abstract]  
Stock incentive Plans

NOTE 10. STOCK INCENTIVE PLANS

On August 12, 2011, Bimini Capital’s shareholders approved the 2011 Long Term Compensation Plan (the “2011 Plan”) to assist the Company in recruiting and retaining employees, directors and other service providers by enabling them to participate in the success of Bimini Capital and to associate their interests with those of the Company and its stockholders. The 2011 Plan is intended to permit the grant of stock options, stock appreciation rights (“SARs”), stock awards, performance units and other equity-based and incentive awards. The maximum aggregate number of shares of common stock that may be issued under the 2011 Plan pursuant to the exercise of options and SARs, the grant of stock awards or other equity-based awards and the settlement of incentive awards and performance units is equal to 4,000,000 shares.

Performance Units

The Compensation Committee of the Board of Directors (the “Committee”) may issue Performance Units under the 2011 Plan to certain officers and employees. “Performance Units” represent the participant’s right to receive an amount, based on the value of a specified number of shares of common stock, if the terms and conditions prescribed by the Committee are satisfied. The Committee will determine the requirements that must be satisfied before Performance Units are earned, including but not limited to any applicable performance period and performance goals. Performance goals may relate to the Company’s financial performance or the participant’s performance or such other criteria determined by the Committee, including goals stated with reference to the performance measures discussed below. If Performance Units are earned, they will be settled in cash, shares of common stock or a combination thereof.

The following table presents the activity related to Performance Units during the three months ended March 31, 2016 and 2015:

Three Months Ended
20162015
WeightedWeighted
AverageAverage
Grant DateGrant Date
SharesFair ValueSharesFair Value
Unvested, beginning of period77,500$1.2231,500$1.78
Granted----
Vested and issued----
Unvested, end of period77,500$1.2231,500$1.78
Compensation expense during the period$8$5
Unrecognized compensation expense at period end$67$51
Weighted-average remaining vesting term (in years)2.32.7
Intrinsic value of unvested shares at period end$127$55
XML 29 R17.htm IDEA: XBRL DOCUMENT v3.4.0.3
Commitments and Contingencies
 3 Months Ended
Mar. 31, 2016
Commitments And Contingencies Disclosure [Abstract]  
Commitments And Contingencies

NOTE 11. COMMITMENTS AND CONTINGENCIES

From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any significant reported or unreported contingencies at March 31, 2016.
XML 30 R18.htm IDEA: XBRL DOCUMENT v3.4.0.3
Income Taxes
 3 Months Ended
Mar. 31, 2016
Income Tax Disclosure [Abstract]  
Income Taxes

NOTE 12. INCOME TAXES

The total income tax provision recorded for the three months ended March 31, 2016 and 2015 was $0.3 million and $0.3 million, respectively, on consolidated pre-tax book income (loss) of $0.7 million and $(1.1) million in the three months ended March 31, 2016 and 2015, respectively.

The consolidated loss for the three months ended March 31, 2015 consisted of a loss of approximately $3.0 million attributed to Bimini Capital and income of approximately $1.9 million attributed to the operation of Bimini Advisors and MortCo. At March 31, 2015, the Company anticipated Bimini Capital retaining its Real Estate Investment Trust exemption under the Internal Revenue Code of 1986; therefore, no income tax benefit was accrued related to this loss.

The Company’s tax provision is based on projected effective rate based annualized amounts and includes the expected realization of a portion of the tax benefits of the federal and state net operating losses carryforwards (“NOLs”) in 2016. In assessing the realizability of deferred tax assets, management considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of capital loss and NOL carryforwards is dependent upon the generation of future capital gains and taxable income in periods prior to their expiration. The Company currently provides a valuation allowance against a portion of the NOLs since the Company believes that it is more likely than not that some of the benefits will not be realized in the future. The Company will continue to assess the need for a valuation allowance at each reporting date.
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Earnings Per Share
 3 Months Ended
Mar. 31, 2016
Earnings Per Share [Abstract]  
Earnings Per Share

NOTE 13. EARNINGS PER SHARE

Shares of Class B common stock, participating and convertible into Class A common stock, are entitled to receive dividends in an amount equal to the dividends declared on each share of Class A common stock if, and when, authorized and declared by the Board of Directors. Following the provisions of FASB ASC 260, the Class B common stock is included in the computation of basic EPS using the two-class method, and consequently is presented separately from Class A common stock. Shares of Class B common stock are not included in the computation of diluted Class A EPS as the conditions for conversion to Class A common stock were not met at March 31, 2016 and 2015.

Shares of Class C common stock are not included in the basic EPS computation as these shares do not have participation rights. Shares of Class C common stock are not included in the computation of diluted Class A EPS as the conditions for conversion to Class A common stock were not met at March 31, 2016 and 2015.

The Company has dividend eligible stock incentive plan shares that were outstanding during the three months ended March 31, 2016. The basic and diluted per share computations include these unvested incentive plan shares if there is income available to Class A common stock, as they have dividend participation rights. The stock incentive plan shares have no contractual obligation to share in losses. Because there is no such obligation, the incentive plan shares are not included in the basic and diluted EPS computations when no income is available to Class A common stock even though they are considered participating securities. The average number of dividend eligible stock incentive plan shares that were anti-dilutive and not included in diluted earnings per share for the three months ended March 31, 2015 was 31,600.

The table below reconciles the numerator and denominator of EPS for the three months ended March 31, 2016 and 2015.

(in thousands, except per-share information)
20162015
Basic and diluted EPS per Class A common share:
Income (loss) attributable to Class A common shares:
Basic and diluted$445$(1,385)
Weighted average common shares:
Class A common shares outstanding at the balance sheet date12,63212,333
Unvested dividend-eligible incentive plan shares
outstanding at the balance sheet date78-
Effect of weighting (43)(1)
Weighted average shares-basic and diluted12,66712,332
Income (loss) per Class A common share:
Basic and diluted$0.04$(0.11)

(in thousands, except per-share information)
20162015
Basic and diluted EPS per Class B common share:
Income (loss) attributable to Class B common shares:
Basic and diluted$1$(4)
Weighted average common shares:
Class B common shares outstanding at the balance sheet date3232
Effect of weighting --
Weighted average shares-basic and diluted3232
Income (loss) per Class B common share:
Basic and diluted$0.04$(0.11)
XML 32 R20.htm IDEA: XBRL DOCUMENT v3.4.0.3
Fair Value
 3 Months Ended
Mar. 31, 2016
Fair Value Disclosures [Abstract]  
Fair Value

NOTE 14. FAIR VALUE

Authoritative accounting literature establishes a framework for using fair value to measure assets and liabilities and defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price) as opposed to the price that would be paid to acquire the asset or received to assume the liability (an entry price). A fair value measure should reflect the assumptions that market participants would use in pricing the asset or liability, including the assumptions about the risk inherent in a particular valuation technique, the effect of a restriction on the sale or use of an asset and the risk of non-performance. Required disclosures include stratification of balance sheet amounts measured at fair value based on inputs the Company uses to derive fair value measurements. These stratifications are:

  • Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active markets (which include exchanges and over-the-counter markets with sufficient volume),
  • Level 2 valuations, where the valuation is based on quoted market prices for similar instruments traded in active markets, quoted prices for identical or similar instruments in markets that are not active and model-based valuation techniques for which all significant assumptions are observable in the market, and
  • Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in the market, but observable based on Company-specific data. These unobservable assumptions reflect the Company’s own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques typically include option pricing models, discounted cash flow models and similar techniques, but may also include the use of market prices of assets or liabilities that are not directly comparable to the subject asset or liability.

The Company’s MBS are valued using Level 2 valuations, and such valuations currently are determined by the Company based on independent pricing sources and/or third-party broker quotes, when available. Because the price estimates may vary, the Company must make certain judgments and assumptions about the appropriate price to use to calculate the fair values. Alternatively, the Company could opt to have the value of all of our MBS positions determined by either an independent third-party or do so internally.

MBS, Orchid common stock, retained interests and futures contracts were all recorded at fair value on a recurring basis during the three months ended March 31, 2016 and 2015. When determining fair value measurements, the Company considers the principal or most advantageous market in which it would transact and considers assumptions that market participants would use when pricing the asset. When possible, the Company looks to active and observable markets to price identical assets. When identical assets are not traded in active markets, the Company looks to market observable data for similar assets. Fair value measurements for the retained interests are generated by a model that requires management to make a significant number of assumptions.

The following table presents financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2016 and December 31, 2015:

The following table illustrates a roll forward for all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2016 and 2015:

(in thousands)
Retained Interests
20162015
Balances, January 1$1,124$1,900
Gain included in earnings5461,486
Collections(428)(996)
Balances, March 31$1,242$2,390

During the three months ended March 31, 2016 and 2015, there were no transfers of financial assets or liabilities between levels 1, 2 or 3.

Our retained interests are valued based on a discounted cash flow approach. These values are sensitive to changes in unobservable inputs, including: estimated prepayment speeds, default rates and loss severity, weighted-average life, and discount rates. Significant increases or decreases in any of these inputs may result in significantly different fair value measurements.

The following table summarizes the significant quantitative information about our level 3 fair value measurements as of March 31, 2016.

Retained interests fair value (in thousands)$ 1,242
CPR Range
Prepayment Assumption(Weighted Average)
Constant Prepayment Rate10% (10%)
Severity
Default AssumptionsProbability of Default(Weighted Average)Range Of Loss Timing
Real Estate Owned100%29%Next 10 Months
Loans in Foreclosure100%29% Month 4 - 13
Loans 90 Day Delinquent100%45%Month 11-28
Loans 60 Day Delinquent85%45%Month 11-28
Loans 30 Day Delinquent75%45%Month 11-28
Current Loans3.0%45%Month 29 and Beyond
Remaining Life RangeDiscount Rate Range
Cash Flow RecognitionValuation Technique(Weighted Average)(Weighted Average)
Nominal Cash FlowsDiscounted Cash Flow0.2 - 14.9 (9.8)27.50% (27.50%)
Discounted Cash FlowsDiscounted Cash Flow0.3 - 4.1 (1.7)27.50% (27.50%)
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Related Party Transactions
 3 Months Ended
Mar. 31, 2016
Related Party Transactions [Abstract]  
Related Party Transactions

NOTE 15. RELATED PARTY TRANSACTIONS

Management Agreement

Upon completion of its initial public offering, Orchid became externally managed and advised by Bimini Advisors pursuant to the terms of a management agreement. As Manager, Bimini Advisors is responsible for administering Orchid’s business activities and day-to-day operations. Pursuant to the terms of the management agreement, Bimini Advisors provides Orchid with its management team, including its officers, along with appropriate support personnel. Bimini Advisors is at all times subject to the supervision and oversight of Orchid’s board of directors and has only such functions and authority as delegated to it. Bimini Advisors receives a monthly management fee in the amount of:

  • One-twelfth of 1.5% of the first $250 million of the Orchid’s equity, as defined in the management agreement,
  • One-twelfth of 1.25% of the Orchid’s equity that is greater than $250 million and less than or equal to $500 million, and
  • One-twelfth of 1.00% of the Orchid’s equity that is greater than $500 million.

Orchid is obligated to reimburse the Bimini Advisors for any direct expenses incurred on its behalf and to pay to Bimini Advisors Orchid’s pro rata portion of certain overhead costs set forth in the management agreement. Should the Orchid terminate the management agreement without cause, it will pay to Bimini Advisors a termination fee equal to three times the average annual management fee, as defined in the management agreement, before or on the last day of the initial term or automatic renewal term.

The following table summarizes the advisory services revenue from Orchid for the three months ended March 31, 2016 and 2015.

($ in thousands)
20162015
Management fee$971$855
Allocated overhead298240
Total$1,269$1,095
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Basis of Presentation (Policies)
 3 Months Ended
Mar. 31, 2016
Accounting Policies [Abstract]  
Consolidation

Consolidation

The accompanying consolidated financial statements include the accounts of Bimini Capital, Bimini Advisors Holdings, LLC, and its wholly-owned subsidiary, Bimini Advisors, LLC (together “Bimini Advisors”), and MortCo TRS, LLC and its consolidated subsidiaries (“MortCo”). All inter-company accounts and transactions have been eliminated from the consolidated financial statements.

Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification (“ASC”) Topic 810, Consolidation, requires the consolidation of a variable interest entity (“VIE”) by an enterprise if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE, an ongoing assessment of whether an enterprise is the primary beneficiary of a VIE, and additional disclosures for entities that have variable interests in VIEs. As further described in Note 8, Bimini Capital has a common share investment in a trust used in connection with the issuance of Bimini Capital’s junior subordinated notes. Pursuant to ASC 810, management has concluded that, while the trust is a VIE, Bimini Capital’s common share investment in the trust is not a variable interest. Therefore, the trust has not been consolidated in the financial statements of Bimini Capital, and accordingly, this investment has been accounted for on the equity method.

Basis of Presentation

Basis of Presentation

The accompanying unaudited condensed consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Article 8 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Operating results for the three month period ended March 31, 2016 are not necessarily indicative of the results that may be expected for the year ending December 31, 2016.

The consolidated balance sheet at December 31, 2015 has been derived from the audited financial statements at that date but does not include all of the information and footnotes required by GAAP for complete consolidated financial statements. For further information, refer to the financial statements and footnotes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015.
Use of Estimates

Use of Estimates

The preparation of 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. Significant estimates affecting the accompanying consolidated financial statements include the fair values of MBS, investment in Orchid common shares, derivatives, retained interests, asset valuation allowances and deferred tax asset allowances recorded for each accounting period.
Statement of Comprehensive Income

Statement of Comprehensive Income

In accordance with ASC Topic 220, Comprehensive Income, a statement of comprehensive income has not been included as the Company has no items of other comprehensive income (loss).  Comprehensive income (loss) is the same as net income (loss) for all periods presented.
Cash and Cash Equivalents and Restricted Cash

Cash and Cash Equivalents and Restricted Cash

Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase. Restricted cash includes cash pledged as collateral for repurchase agreements and derivative instruments.

The Company maintains cash balances at several banks, and at times these balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. The Federal Deposit Insurance Corporation insures eligible accounts up to $250,000 per depositor at each financial institution. At March 31, 2016, the Company’s cash deposits exceeded federally insured limits by approximately $1.7 million. Restricted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. The Company limits uninsured balances to only large, well-known banks and derivative counterparties and believes that it is not exposed to significant credit risk on cash and cash equivalents or restricted cash balances.
Mortgage-Backed Securities

Mortgage-Backed Securities

The Company invests primarily in mortgage pass-through (“PT”) certificates, collateralized mortgage obligations, and interest-only (“IO”) securities and inverse interest-only (“IIO”) securities representing interest in or obligations backed by pools of mortgage-backed loans. The Company has elected to account for its investment in MBS under the fair value option. Electing the fair value option requires the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed.

The Company records MBS transactions on the trade date. Security purchases that have not settled as of the balance sheet date are included in the MBS balance with an offsetting liability recorded, whereas securities sold that have not settled as of the balance sheet date are removed from the MBS balance with an offsetting receivable recorded.

The fair value of the Company’s investment in MBS is governed by ASC Topic 820, Fair Value Measurement.  The definition of fair value in ASC Topic 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair values for MBS are based on independent pricing sources and/or third-party broker quotes, when available.

Income on PT MBS is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amortized. Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains on MBS in the consolidated statements of operations. For IO securities, the income is accrued based on the carrying value and the effective yield. The difference between income accrued and the interest received on the security is characterized as a return of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospectively from the reporting period based on the new estimate of prepayments and the contractual terms of the security. For IIO securities, effective yield and income recognition calculations also take into account the index value applicable to the security. Changes in fair value of MBS during each reporting period are recorded in earnings and reported as unrealized gains or losses on mortgage-backed securities in the accompanying consolidated statements of operations. The amount reported as unrealized gains or losses on mortgage backed securities thus captures the net effect of changes in the fair market value of securities caused by market developments and any premium or discount lost as a result of principal repayments during the period.
Investment In Orchid [Policy Text Block]

Orchid Island Capital, Inc. Common Stock

The Company elected the fair value option for its continuing investment in Orchid common shares. The change in the fair value of this investment and dividends received on this investment are reflected in other income in the consolidated statements of operations. We estimate the fair value of our investment in Orchid on a market approach using “Level 1” inputs based on the quoted market price of Orchid’s common stock. Electing the fair value option requires the Company to record changes in fair value in the consolidated statements of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with how the investment is managed.
Advisory Services [Policy Tex Block]

Advisory Services

Orchid is externally managed and advised by Bimini Advisors pursuant to the terms of a management agreement. Under the terms of the management agreement, Orchid is obligated to pay Bimini Advisors a monthly management fee and a pro rata portion of certain overhead costs and to reimburse the Company for any direct expenses incurred on its behalf.
Retained Interests

Retained Interests in Securitizations

Retained interests in the subordinated tranches of securities created in securitization transactions were initially recorded at their fair value when issued by MortCo. Subsequent adjustments to fair value are reflected in earnings. Quoted market prices for these assets are generally not available, so the Company estimates fair value based on the present value of expected future cash flows using management’s best estimates of key assumptions, which include expected credit losses, prepayment speeds, weighted-average life, and discount rates commensurate with the inherent risks of the asset.
Derivative Financial Instruments

Derivative Financial Instruments

The Company uses derivative instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are Eurodollar futures contracts, but it may enter into other transactions in the future.

The Company has elected not to treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfolio assets under the fair value option. FASB ASC Topic 815, Derivatives and Hedging, requires that all derivative instruments be carried at fair value. Changes in fair value are recorded in earnings for each period.

Holding derivatives creates exposure to credit risk related to the potential for failure on the part of counterparties to honor their commitments. In addition, the Company may be required to post collateral based on any declines in the market value of the derivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement. To mitigate this risk, the Company uses only well-established commercial banks as counterparties.
Financial Instruments

Financial Instruments

ASC Topic 825, Financial Instruments, requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. MBS, Orchid common stock, Eurodollar futures contracts, interest rate swaptions and retained interests in securitization transactions are accounted for at fair value in the consolidated balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 14 of the consolidated financial statements.

The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, other assets, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying value as of March 31, 2016 and December 31, 2015, due to the short-term nature of these financial instruments.

It is impractical to estimate the fair value of the Company’s junior subordinated notes. Currently, there is a limited market for these types of instruments and the Company is unable to ascertain what interest rates would be available to the Company for similar financial instruments. Information regarding carrying amount, effective interest rate and maturity date for these instruments is presented in Note 8 to the consolidated financial statements.
Property and Equipment, net

Property and Equipment, net

Property and equipment, net, consists of computer equipment with a depreciable life of 3 years, office furniture and equipment with depreciable lives of 8 to 20 years, land which has no depreciable life, and buildings and improvements with depreciable lives of 30 years. Property and equipment is recorded at acquisition cost and depreciated using the straight-line method over the estimated useful lives of the assets.
Repurchase Agreements

Repurchase Agreements

The Company finances the acquisition of the majority of its PT MBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing, the Company accounts for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts, including accrued interest, as specified in the respective agreements.
Share-Based Compensation

Share-Based Compensation

The Company follows the provisions of ASC Topic 718, Compensation – Stock Compensation, to account for stock and stock-based awards. For stock and stock-based awards issued to employees, a compensation charge is recorded against earnings over the vesting period based on the fair value of the award. Payments pursuant to dividend equivalent rights, which are granted along with certain equity based awards, are charged to stockholders’ equity when dividends are declared. The Company applies a zero forfeiture rate for its equity based awards, as such awards have been granted to a limited number of employees and historical forfeitures have been minimal. A significant forfeiture, or an indication that significant forfeitures may occur, would result in a revised forfeiture rate which would be accounted for prospectively as a change in an estimate. For transactions with non-employees in which services are performed in exchange for the Company’s common stock or other equity instruments, the transactions are recorded on the basis of the fair value of the service received or the fair value of the equity instruments issued, whichever is more readily measurable at the date of issuance.
Earnings Per Share

Earnings Per Share

The Company follows the provisions of ASC Topic 260, Earnings Per Share, which requires companies with complex capital structures, common stock equivalents or two (or more) classes of securities that participate in dividend distributions to present both basic and diluted earnings per share (“EPS”) on the face of the consolidated statement of operations. Basic EPS is calculated as income available to common stockholders divided by the weighted average number of common shares outstanding during the period. Diluted EPS is calculated using the treasury stock or two-class method, as applicable for common stock equivalents. However, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive.

Outstanding shares of Class B Common Stock, participating and convertible into Class A Common Stock, are entitled to receive dividends in an amount equal to the dividends declared on each share of Class A Common Stock if, as and when authorized and declared by the Board of Directors. Accordingly, shares of the Class B Common Stock are included in the computation of basic EPS using the two-class method and, consequently, are presented separately from Class A Common Stock.

The shares of Class C Common Stock are not included in the basic EPS computation as these shares do not have participation rights. The outstanding shares of Class B and Class C Common Stock are not included in the computation of diluted EPS for the Class A Common Stock as the conditions for conversion into shares of Class A Common Stock were not met.
Income Taxes

Income Taxes

For the calendar year ended December 31, 2015, Bimini Capital, Bimini Advisors and MortCo were separate taxpaying entities for income tax purposes and filed separate Federal income tax returns. Bimini Advisors remained a separate tax paying entity through January 31, 2016; on that date, Bimini Advisors was reorganized to be an LLC wholly-owned by Bimini Capital. Beginning with the tax period starting on February 1, 2016, Bimini Capital and Bimini Advisors will be a single tax paying entity. MortCo continues to be treated as a separate tax paying entity for the year ending December 31, 2016.

Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities represent the differences between the financial statement and income tax bases of assets and liabilities using enacted tax rates. The measurement of net deferred tax assets is adjusted by a valuation allowance if, based on the Company’s evaluation, it is more likely than not that they will not be realized.

The Company’s U.S. federal income tax returns for years ended on or after December 31, 2012 remain open for examination. Although management believes its calculations for tax returns are correct and the positions taken thereon are reasonable, the final outcome of tax audits could be materially different from the tax returns filed by the Company, and those differences could result in significant costs or benefits to the Company.

The Company measures, recognizes and presents its uncertain tax positions in accordance with ASC Topic 740, Income Taxes. Under that guidance, the Company assesses the likelihood, based on their technical merit, that tax positions will be sustained upon examination based on the facts, circumstances and information available at the end of each period. The measurement of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change. The Company recognizes tax positions in the financial statements only when it is more likely than not that the position will be sustained upon examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured at the largest amount of benefit that will more likely than not be realized upon settlement. The difference between the benefit recognized and the tax benefit claimed on a tax return is referred to as an unrecognized tax benefit and is recorded as a liability in the consolidated balance sheets. The Company records income tax-related interest and penalties, if applicable, within the income tax provision.
Reclassifications

Reclassifications

Certain prior period amounts have been reclassified to conform to the current period presentations.
Recent Accounting Pronouncements

Recent Accounting Pronouncements

In March 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. ASU No. 2016-09 simplifies certain aspects related to the accounting for share-based payment transactions, including income tax consequences, statutory withholding requirements, forfeitures and classification on the statement of cash flows. The guidance in this update is effective for fiscal years beginning after December 15, 2016, including interim periods within those fiscal years. Early adoption is permitted. Certain of the amendments related to timing of the recognition of tax benefits and tax withholding requirements should be applied using a modified retrospective transition method. Amendments related to classification on the statement of cash flows should be applied retrospectively. All other provisions may be applied on a prospective or modified retrospective basis. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements.

In January 2016, the FASB issued ASU 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities. ASU 2016-01 provides guidance for the recognition, measurement, presentation and disclosure of financial assets and financial liabilities. ASU 2016-01 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2017 and, for most provisions, is effective using the cumulative-effect transition approach. Early application is permitted for certain provisions. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements.

In June 2014, the FASB issued ASU 2014-12, Compensation-Stock Compensation: Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period. ASU 2014-12 requires that performance targets that affect vesting and that could be achieved after the requisite service period be treated as performance conditions. The effective date of ASU 2014-12 is for interim and annual reporting periods beginning after December 15, 2015. The adoption of this ASU did not have a material impact on the Company’s consolidated financial statements.
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Mortgage-Backed Securities (Tables)
 3 Months Ended
Mar. 31, 2016
Mortgage Backed Securities [Abstract]  
Schedule of Mortgage-Backed Securities Reconciliation
(in thousands)
March 31, 2016December 31, 2015
Pass-Through MBS:
Hybrid Adjustable-rate Mortgages $116$118
Fixed-rate Mortgages 105,32579,170
Total Pass-Through MBS105,44179,288
Structured MBS:
Interest-Only Securities1,8052,554
Inverse Interest-Only Securities1,9502,146
Total Structured MBS3,7554,700
Total$109,196$83,988
Schedule Of Mortgage-Backed Securities by Contractual Maturity
(in thousands)
March 31, 2016December 31, 2015
Greater than five years and less than ten years $2$3
Greater than or equal to ten years109,19483,985
Total$109,196$83,988
XML 36 R24.htm IDEA: XBRL DOCUMENT v3.4.0.3
Retained Interests In Securitizations (Tables)
 3 Months Ended
Mar. 31, 2016
Retained Interests In Securitizations [Abstract]  
Schedule of Retained Interests In Securitizations
(in thousands)
SeriesIssue DateMarch 31, 2016December 31, 2015
HMAC 2004-2May 10, 2004$159$110
HMAC 2004-3June 30, 2004482453
HMAC 2004-4August 16, 200426475
HMAC 2004-5September 28, 2004163182
HMAC 2004-6November 17, 2004174304
Total$1,242$1,124
XML 37 R25.htm IDEA: XBRL DOCUMENT v3.4.0.3
Repurchase Agreements (Tables)
 3 Months Ended
Mar. 31, 2016
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Repurchase Agreements
($ in thousands)
OVERNIGHTBETWEEN 2BETWEEN 31GREATER
(1 DAY ORANDANDTHAN
LESS)30 DAYS90 DAYS90 DAYSTOTAL
March 31, 2016
Fair value of securities pledged, including accrued
interest receivable$-$105,786$1,730$-$107,516
Repurchase agreement liabilities associated with
these securities$-$101,503$1,291$-$102,794
Net weighted average borrowing rate- 0.68%1.30%- 0.68%
December 31, 2015
Fair value of securities pledged, including accrued
interest receivable$-$81,464$-$-$81,464
Repurchase agreement liabilities associated with
these securities$-$77,234$-$-$77,234
Net weighted average borrowing rate- 0.61%- - 0.61%
XML 38 R26.htm IDEA: XBRL DOCUMENT v3.4.0.3
Derivative Financial Instruments (Tables)
 3 Months Ended
Mar. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Eurodollar Futures Positions
($ in thousands)
As of March 31, 2016
Repurchase Agreement Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2016$56,0001.59%0.76%$(351)
201756,0002.23%0.95%(719)
201843,0002.21%1.17%(444)
201930,0001.63%1.46%(51)
Total / Weighted Average$45,6001.96%1.05%$(1,565)

($ in thousands)
As of March 31, 2016
Junior Subordinated Debt Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2016$26,0001.73%0.76%$(190)
201726,0002.49%0.95%(399)
201826,0002.16%1.19%(252)
201926,0001.65%1.46%(47)
202026,0001.95%1.73%(56)
202126,0002.22%1.99%(61)
Total / Weighted Average$26,0002.05%1.37%$(1,005)

($ in thousands)
As of December 31, 2015
Repurchase Agreement Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2016$56,0001.45%0.98%$(264)
201756,0002.23%1.59%(362)
201856,0002.65%1.91%(207)
Total / Weighted Average$56,0002.00%1.41%$(833)

($ in thousands)
As of December 31, 2015
Junior Subordinated Debt Funding Hedges
AverageWeightedWeighted
ContractAverageAverage
NotionalEntryEffectiveOpen
Expiration YearAmountRateRateEquity(1)
2016$26,0001.77%0.98%$(205)
201726,0002.49%1.59%(234)
201826,0002.94%1.91%(134)
Total / Weighted Average$26,0002.29%1.41%$(573)
Income Statement Effect of Derivatives [Table Text Block]
(in thousands)
20162015
Eurodollar futures contracts (short positions)$(1,300)$(1,015)
Net losses on derivative instruments$(1,300)$(1,015)
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Pledged Assets (Tables)
 3 Months Ended
Mar. 31, 2016
Pledged Assets [Abstract]  
Assets Pledged to Counterparties [Table Text Block]
($ in thousands)
As of March 31, 2016
RepurchaseDerivative
Assets Pledged to CounterpartiesAgreementsAgreementsTotal
PT MBS - at fair value$105,441$-$105,441
Structured MBS - at fair value1,719-1,719
Accrued interest on pledged securities356-356
Cash-672672
Total$107,516$672$108,188

($ in thousands)
As of December 31, 2015
RepurchaseDerivative
Assets Pledged to CounterpartiesAgreementsAgreementsTotal
PT MBS - at fair value$79,288$-$79,288
Structured MBS - at fair value1,904-1,904
Accrued interest on pledged securities272-272
Cash-402402
Total$81,464$402$81,866
XML 40 R28.htm IDEA: XBRL DOCUMENT v3.4.0.3
Offsetting Assets and Liabilties (Tables)
 3 Months Ended
Mar. 31, 2016
Offsetting [Abstract]  
Offsetting Liabilities [Table Text Block]
(in thousands)
Offsetting of Liabilities
Gross Amount Not Offset in the
Net AmountConsolidated Balance Sheet
Gross Amountof LiabilitiesFinancial
Gross AmountOffset in thePresented in theInstrumentsCash
of RecognizedConsolidatedConsolidatedPosted asPosted asNet
LiabilitiesBalance SheetBalance SheetCollateralCollateralAmount
March 31, 2016
Repurchase Agreements$102,794$-$102,794$(102,794)$-$-
December 31, 2015
Repurchase Agreements$77,234$-$77,234$(77,234)$-$-
XML 41 R29.htm IDEA: XBRL DOCUMENT v3.4.0.3
Capital Stock (Tables)
 3 Months Ended
Mar. 31, 2016
Capital Stock [Abstract]  
Issuances of Common Stock
Three Months Ended March 31,
Shares Issued Related To:20162015
Directors' compensation-8,115
Vesting incentive plan shares258,333-
Total shares of Class A Common Stock issued258,3338,115
XML 42 R30.htm IDEA: XBRL DOCUMENT v3.4.0.3
Stock Incentive Plans (Tables)
 3 Months Ended
Mar. 31, 2016
Employee Benefits And Share Based Compensation [Abstract]  
Performance Units Table Text Block
Three Months Ended
20162015
WeightedWeighted
AverageAverage
Grant DateGrant Date
SharesFair ValueSharesFair Value
Unvested, beginning of period77,500$1.2231,500$1.78
Granted----
Vested and issued----
Unvested, end of period77,500$1.2231,500$1.78
Compensation expense during the period$8$5
Unrecognized compensation expense at period end$67$51
Weighted-average remaining vesting term (in years)2.32.7
Intrinsic value of unvested shares at period end$127$55
XML 43 R31.htm IDEA: XBRL DOCUMENT v3.4.0.3
Earnings Per Share (Tables)
 3 Months Ended
Mar. 31, 2016
Earnings Per Share [Abstract]  
Earnings Per Share
(in thousands, except per-share information)
20162015
Basic and diluted EPS per Class A common share:
Income (loss) attributable to Class A common shares:
Basic and diluted$445$(1,385)
Weighted average common shares:
Class A common shares outstanding at the balance sheet date12,63212,333
Unvested dividend-eligible incentive plan shares
outstanding at the balance sheet date78-
Effect of weighting (43)(1)
Weighted average shares-basic and diluted12,66712,332
Income (loss) per Class A common share:
Basic and diluted$0.04$(0.11)

(in thousands, except per-share information)
20162015
Basic and diluted EPS per Class B common share:
Income (loss) attributable to Class B common shares:
Basic and diluted$1$(4)
Weighted average common shares:
Class B common shares outstanding at the balance sheet date3232
Effect of weighting --
Weighted average shares-basic and diluted3232
Income (loss) per Class B common share:
Basic and diluted$0.04$(0.11)
XML 44 R32.htm IDEA: XBRL DOCUMENT v3.4.0.3
Fair Value (Tables)
 3 Months Ended
Mar. 31, 2016
Fair Value Disclosures [Abstract]  
Changes is Level 3 Assets Measured at Fair Value on a Recurring Basis
(in thousands)
Retained Interests
20162015
Balances, January 1$1,124$1,900
Gain included in earnings5461,486
Collections(428)(996)
Balances, March 31$1,242$2,390
Quantitative Information About Level 3 Fair Value Measurements
Retained interests fair value (in thousands)$ 1,242
CPR Range
Prepayment Assumption(Weighted Average)
Constant Prepayment Rate10% (10%)
Severity
Default AssumptionsProbability of Default(Weighted Average)Range Of Loss Timing
Real Estate Owned100%29%Next 10 Months
Loans in Foreclosure100%29% Month 4 - 13
Loans 90 Day Delinquent100%45%Month 11-28
Loans 60 Day Delinquent85%45%Month 11-28
Loans 30 Day Delinquent75%45%Month 11-28
Current Loans3.0%45%Month 29 and Beyond
Remaining Life RangeDiscount Rate Range
Cash Flow RecognitionValuation Technique(Weighted Average)(Weighted Average)
Nominal Cash FlowsDiscounted Cash Flow0.2 - 14.9 (9.8)27.50% (27.50%)
Discounted Cash FlowsDiscounted Cash Flow0.3 - 4.1 (1.7)27.50% (27.50%)
XML 45 R33.htm IDEA: XBRL DOCUMENT v3.4.0.3
Related Party Transactions (Tables)
 3 Months Ended
Mar. 31, 2016
Related Party Transactions [Abstract]  
Schedule of Advisory Fee Income [Table Text Block]
($ in thousands)
20162015
Management fee$971$855
Allocated overhead298240
Total$1,269$1,095
XML 46 R34.htm IDEA: XBRL DOCUMENT v3.4.0.3
Significant Accounting Policies (Organization) (Details)
 3 Months Ended
Mar. 31, 2016
Accounting Policies [Abstract]  
Entity Incorporation, Date of Incorporation Sep. 24, 2003
Entity Incorporation, State Country Name Maryland
XML 47 R35.htm IDEA: XBRL DOCUMENT v3.4.0.3
Significant Accounting Policies - Property and Equipment (Details)
 3 Months Ended
Mar. 31, 2016
Computer Equipment [Member] | Minimum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 3
Computer Equipment [Member] | Maximum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 3
Office Furniture and Equipment | Minimum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 20
Office Furniture and Equipment | Maximum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 8
Building and Building Improvements [Member] | Minimum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 30
Building and Building Improvements [Member] | Maximum [Member]  
Property, Plant and Equipment [Line Items]  
Property, Plant and Equipment, Estimated Useful Lives 30
XML 48 R36.htm IDEA: XBRL DOCUMENT v3.4.0.3
Significant Accounting Policies - Cash (Details)
 3 Months Ended
Mar. 31, 2016
USD ($)
Accounting Policies [Abstract]  
Uninsured Cash $ 1,700,000
Federal Deposit Insurance Corporation Per Depositor Limit $ 250,000
XML 49 R37.htm IDEA: XBRL DOCUMENT v3.4.0.3
Mortgage-Backed Securities - By Type (Details) - USD ($)
Mar. 31, 2016
Dec. 31, 2015
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value $ 109,196,336,000 $ 83,988,399,000
Total Pass Through Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value 105,441,000 79,288,000
Total Strucutured Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value 3,755,000 4,700,000
Hybrid Adjustable Rate Mortgages [Member] | Total Pass Through Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value 116,000 118,000
Fixed-rate Mortgages [Member] | Total Pass Through Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value 105,325,000 79,170,000
Interest Only Securities [Member] | Total Strucutured Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value 1,805,000 2,554,000
Inverse Interest Only Securities [Member] | Total Strucutured Certificates [Member]    
Schedule of Trading Securities and Other Trading Assets [Line Items]    
Fair Value $ 1,950,000 $ 2,146,000
XML 50 R38.htm IDEA: XBRL DOCUMENT v3.4.0.3
Mortgage-Backed Securities - By Maturity (Details) - USD ($)
Mar. 31, 2016
Dec. 31, 2015
Mortgage Backed Securities [Abstract]    
Greater than five years and less than ten years $ 2,000 $ 3,000
Greater than or equal to ten years 109,194,000 83,985,000
Total mortgage-backed securities $ 109,196,336,000 $ 83,988,399,000
XML 51 R39.htm IDEA: XBRL DOCUMENT v3.4.0.3
Retained Interests In Securitizations (Details) - USD ($)
 3 Months Ended
Mar. 31, 2016
Dec. 31, 2015
Retained Interestes Securitzations [Line Items]    
Retained interests in securitizations $ 1,241,846 $ 1,124,278
HMAC 2004-2 [Member]    
Retained Interestes Securitzations [Line Items]    
Issue Date May 10, 2004  
Retained interests in securitizations $ 159,000 110,000
HMAC 2004-3 [Member]    
Retained Interestes Securitzations [Line Items]    
Issue Date June 30, 2004  
Retained interests in securitizations $ 482,000 453,000
HMAC 2004-4 [Member]    
Retained Interestes Securitzations [Line Items]    
Issue Date August 16, 2004  
Retained interests in securitizations $ 264,000 75,000
HMAC 2004-5 [Member]    
Retained Interestes Securitzations [Line Items]    
Issue Date September 28, 2004  
Retained interests in securitizations $ 163,000 182,000
HMAC 2006-6 [Member]    
Retained Interestes Securitzations [Line Items]    
Issue Date November 17, 2004  
Retained interests in securitizations $ 174,000 $ 304,000
XML 52 R40.htm IDEA: XBRL DOCUMENT v3.4.0.3
Repurchase Agreements - Narrative (Details) - USD ($)
Mar. 31, 2016
Dec. 31, 2015
Disclosure of Repurchase Agreements [Abstract]    
Repurchase agreements $ 102,793,559 $ 77,234,249
Repurchase Agreements Weighted Average Borrowing Rates 0.68% 0.61%
Fair Value of securities pledged, including accrued interest receivable $ 107,516,000 $ 81,464,000
Repurchase Agreement Counterparty, Amount at Risk $ 4,700,000 $ 3,500,000
XML 53 R41.htm IDEA: XBRL DOCUMENT v3.4.0.3
Repurchase Agreements - Maturities (Details) - USD ($)
Mar. 31, 2016
Dec. 31, 2015
Assets Sold under Agreements to Repurchase [Line Items]    
Fair Value of securities pledged, including accrued interest receivable $ 107,516,000 $ 81,464,000
Repurchase agreements $ 102,793,559 $ 77,234,249
Net weighted average borrowing rate 0.68% 0.61%
Overnight (1 Day or Less) [Member]    
Assets Sold under Agreements to Repurchase [Line Items]    
Fair Value of securities pledged, including accrued interest receivable $ 0 $ 0
Repurchase agreements $ 0 $ 0
Net weighted average borrowing rate 0.00% 0.00%
Between 2 and 30 Days [Member]    
Assets Sold under Agreements to Repurchase [Line Items]    
Fair Value of securities pledged, including accrued interest receivable $ 105,786,000 $ 81,464,000
Repurchase agreements $ 101,503,000 $ 77,234,000
Net weighted average borrowing rate 0.68% 0.61%
Between 31 and 90 Days [Member]    
Assets Sold under Agreements to Repurchase [Line Items]    
Fair Value of securities pledged, including accrued interest receivable $ 1,730,000 $ 0
Repurchase agreements $ 1,291,000 $ 0
Net weighted average borrowing rate 1.30% 0.00%
Greater Than 90 days [Member]    
Assets Sold under Agreements to Repurchase [Line Items]    
Fair Value of securities pledged, including accrued interest receivable $ 0 $ 0
Repurchase agreements $ 0 $ 0
Net weighted average borrowing rate 0.00% 0.00%
XML 54 R42.htm IDEA: XBRL DOCUMENT v3.4.0.3
Derivative Financial Instruments - Eurodollar Details (Details) - USD ($)
Mar. 31, 2016
Dec. 31, 2015
Junior Subordinated Debt [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000 $ 26,000,000
Entry Rate 2.05% 2.29%
Weighted Average Effective Rate 1.37% 1.41%
Open Equity $ (1,005,000) $ (573,000)
Junior Subordinated Debt [Member] | Year 2016 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000 $ 26,000,000
Entry Rate 1.73% 1.77%
Weighted Average Effective Rate 0.76% 0.98%
Open Equity $ (190,000) $ (205,000)
Junior Subordinated Debt [Member] | Year 2017 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000 $ 26,000,000
Entry Rate 2.49% 2.49%
Weighted Average Effective Rate 0.95% 1.59%
Open Equity $ (399,000) $ (234,000)
Junior Subordinated Debt [Member] | Year 2018 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000 $ 26,000,000
Entry Rate 2.16% 2.94%
Weighted Average Effective Rate 1.19% 1.91%
Open Equity $ (252,000) $ (134,000)
Junior Subordinated Debt [Member] | Year 2019 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000  
Entry Rate 1.65%  
Weighted Average Effective Rate 1.46%  
Open Equity $ (47,000)  
Junior Subordinated Debt [Member] | Year 2020 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000  
Entry Rate 1.95%  
Weighted Average Effective Rate 1.73%  
Open Equity $ (56,000)  
Junior Subordinated Debt [Member] | Year 2021 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 26,000,000  
Entry Rate 2.22%  
Weighted Average Effective Rate 1.99%  
Open Equity $ (61,000)  
Repurchase Agreements [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 45,600,000 $ 56,000,000
Entry Rate 1.96% 2.00%
Weighted Average Effective Rate 1.05% 1.41%
Open Equity $ (1,565,000) $ (833,000)
Repurchase Agreements [Member] | Year 2016 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 56,000,000 $ 56,000,000
Entry Rate 1.59% 1.45%
Weighted Average Effective Rate 0.76% 0.98%
Open Equity $ (351,000) $ (264,000)
Repurchase Agreements [Member] | Year 2017 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 56,000,000 $ 56,000,000
Entry Rate 2.23% 2.23%
Weighted Average Effective Rate 0.95% 1.59%
Open Equity $ (719,000) $ (362,000)
Repurchase Agreements [Member] | Year 2018 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 43,000,000 $ 56,000,000
Entry Rate 2.21% 2.65%
Weighted Average Effective Rate 1.17% 1.91%
Open Equity $ (444,000) $ (207,000)
Repurchase Agreements [Member] | Year 2019 Expiration [Member]    
Derivatives, Fair Value [Line Items]    
Notional Amount $ 30,000,000  
Entry Rate 1.63%  
Weighted Average Effective Rate 1.46%  
Open Equity $ (51,000)  
XML 55 R43.htm IDEA: XBRL DOCUMENT v3.4.0.3
Derivative Financial Instruments - Income Statement Effect (Details) - USD ($)
 3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
Derivative Instruments, Gain (Loss) [Line Items]    
(Losses) gains on derivative instruments $ (1,299,863) $ (1,014,700)
Eurodollar Future [Member]    
Derivative Instruments, Gain (Loss) [Line Items]    
(Losses) gains on derivative instruments $ (1,300,000) $ (1,015,000)
XML 56 R44.htm IDEA: XBRL DOCUMENT v3.4.0.3
Pledged Assets - Assets Pledged to Counterparties (Details) - USD ($)
Mar. 31, 2016
Dec. 31, 2015
Pledged Assets [Line Items]    
Mortgage Backed Securities At Fair Value Pledged As Collateral $ 107,160,357 $ 81,192,199
Interest Receivable 430,449 351,049
Restricted Cash And Cash Equivalents At Carrying Value 672,250 401,800
Repurchase Agreements [Member]    
Pledged Assets [Line Items]    
Interest Receivable 356,000 272,000
Restricted Cash And Cash Equivalents At Carrying Value 0 0
Total Assets Pledged to Counterparties 107,516,000 81,464,000
DerivativeMember    
Pledged Assets [Line Items]    
Interest Receivable 0 0
Restricted Cash And Cash Equivalents At Carrying Value 672,000 402,000
Total Assets Pledged to Counterparties 672,000 402,000
Total Pledged Financial Instruments [Member]    
Pledged Assets [Line Items]    
Interest Receivable 356,000 272,000
Restricted Cash And Cash Equivalents At Carrying Value 672,000 402,000
Total Assets Pledged to Counterparties 108,188,000 81,866,000
Mortgage Backed Securities Pass Through Certificates [Member] | Repurchase Agreements [Member]    
Pledged Assets [Line Items]    
Mortgage Backed Securities At Fair Value Pledged As Collateral 105,441,000 79,288,000
Mortgage Backed Securities Pass Through Certificates [Member] | DerivativeMember    
Pledged Assets [Line Items]    
Mortgage Backed Securities At Fair Value Pledged As Collateral 0 0
Mortgage Backed Securities Pass Through Certificates [Member] | Total Pledged Financial Instruments [Member]    
Pledged Assets [Line Items]    
Mortgage Backed Securities At Fair Value Pledged As Collateral 105,441,000 79,288,000
Mortgage Backed Securities Structured Certificates [Member] | Repurchase Agreements [Member]    
Pledged Assets [Line Items]    
Mortgage Backed Securities At Fair Value Pledged As Collateral 1,719,000 1,904,000
Mortgage Backed Securities Structured Certificates [Member] | DerivativeMember    
Pledged Assets [Line Items]    
Mortgage Backed Securities At Fair Value Pledged As Collateral 0 0
Mortgage Backed Securities Structured Certificates [Member] | Total Pledged Financial Instruments [Member]    
Pledged Assets [Line Items]    
Mortgage Backed Securities At Fair Value Pledged As Collateral $ 1,719,000 $ 1,904,000
XML 57 R45.htm IDEA: XBRL DOCUMENT v3.4.0.3
Offsetting Assets and Liabilties - Offsetting of Liabilties (Details) - Repurchase Agreements [Member] - USD ($)
Mar. 31, 2016
Dec. 31, 2015
Offsetting Liabilities [Line Items]    
Gross Amount Of Recognized Liabilties $ 102,794,000 $ 77,234,000
Gross Amount Of Liabilties Offset In The Balance Sheet 0 0
Net Amount Of Liabilities Presented In The Balance Sheet 102,794,000 77,234,000
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet (102,794,000) (77,234,000)
Gross Amounts Of Cash Posted Not Offset In Balance Sheet 0 0
Net Amount Of Liabilities $ 0 $ 0
XML 58 R46.htm IDEA: XBRL DOCUMENT v3.4.0.3
Trust Preferred Securities - Narrative (Details) - USD ($)
 3 Months Ended
Mar. 31, 2016
Dec. 31, 2015
Debt Instrument [Line Items]    
Outstanding Principal Balance $ 26,804,440 $ 26,804,440
Junior Subordinated Debt [Member] | Bimini Capital Trust II Junior Subordinated Note [Member] | Three Month Libor [Member]    
Debt Instrument [Line Items]    
Outstanding Principal Balance $ 26,800,000 $ 26,800,000
Basis Spread on Variable Rate 3.50%  
Interest Rate at Period End 4.13%  
XML 59 R47.htm IDEA: XBRL DOCUMENT v3.4.0.3
Capital Stock - Issuances of Common Stock (Details) - Class A Common Stock [Member] - shares
 3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
Shares Issued Related To [Line Items]    
Directors Compensation 0 8,115
Vesting Incentive Plan Shares 258,333 0
Total Shares Issued During Period 258,333 8,115
XML 60 R48.htm IDEA: XBRL DOCUMENT v3.4.0.3
Stock Incentive Plans - Descriptions of Plans (Details)
 3 Months Ended
Mar. 31, 2016
shares
Employee Benefits And Share Based Compensation [Abstract]  
Maximum Number of Shares to Be Issued the Plan 4,000,000
Percentage of Outstanding Stock Limitation 10.00%
XML 61 R49.htm IDEA: XBRL DOCUMENT v3.4.0.3
Stock Incentive Plans - Incentive Share Awards (Details) - USD ($)
 3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]    
Stock Issued During Period Value Share Based Compensation $ 193,750  
Performance Units Member [Member]    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]    
Stock Incentive Plan Compensation Expense 8,000 $ 5,000
Unrecognized Compensation Cost $ 67,000 $ 51,000
Remaining Weighted Average Vesting Period 2 years 3 months 15 days 2 years 8 months 11 days
Intrinsic Value $ 127,000 $ 55,000
Fully Vested Share Awards [Member]    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]    
Stock Incentive Plan Compensation Expense $ 0  
Bonus Date Jan. 15, 2016  
Cash Bonus $ 500,000  
Stock Issued During Period Value Share Based Compensation $ 200,000  
XML 62 R50.htm IDEA: XBRL DOCUMENT v3.4.0.3
Stock Incentive Plans - Incentive Share Activity (Details) - $ / shares
 3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
Performance Units Member [Member]    
Incentive Share Activity, Shares    
Nonvested - Beginning Balance 77,500 31,500
Granted 0 0
Vested 0 0
Nonvested - Ending Balance 77,500 31,500
Incentive Share Activity Weighted Average Grant Date Fair Value    
Nonvested - Beginning Balance $ 1.22 $ 1.78
Granted 0 0
Vested 0 0
Nonvested - Ending Balance $ 1.22 $ 1.78
Fully Vested Share Awards [Member]    
Incentive Share Activity, Shares    
Granted 258,333  
Vested 258,333  
Incentive Share Activity Weighted Average Grant Date Fair Value    
Granted $ 0.75  
Vested $ 0.75  
XML 63 R51.htm IDEA: XBRL DOCUMENT v3.4.0.3
Income Taxes - Narrative (Details) - USD ($)
 3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
Income Taxes [Line Items]    
Income Loss From Continuing Operations Before Income Taxes Minority Interest And Income Loss From Equity Method Investments $ 714,745 $ (1,051,834)
Income Tax Expense Benefit $ 268,754 337,095
Bimini Capital Management Inc [Member]    
Income Taxes [Line Items]    
Income Loss From Continuing Operations Before Income Taxes Minority Interest And Income Loss From Equity Method Investments   (3,000,000)
MortCo and Bimini Advisors [Member]    
Income Taxes [Line Items]    
Income Loss From Continuing Operations Before Income Taxes Minority Interest And Income Loss From Equity Method Investments   $ 1,900,000
XML 64 R52.htm IDEA: XBRL DOCUMENT v3.4.0.3
Earnings Per Share (Details) - USD ($)
 3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
Dec. 31, 2015
Class A Common Stock [Member]      
Net Income (Loss) Available to Common Stockholders, Diluted [Abstract]      
Net Income (Loss) Available to Common Stockholders, Basic $ 445,000 $ (1,385,000)  
Net Income (Loss) Available to Common Stockholders, Diluted $ 445,000 $ (1,385,000)  
Weighted Average Number of Shares Outstanding, Diluted [Abstract]      
Common Shares Outstanding 12,631,627 12,333,000 12,373,294
Unvested Dividend Eligible Shares Outstanding at the Balance Sheet Date 78,000 0  
Effect of Weighting (43,000) (1,000)  
Weighted Average Shares - Basic 12,666,545 12,332,416  
Weighted Average Shares - Diluted 12,666,545 12,332,416  
Income (Loss) Per Share - Basic $ 0.04 $ (0.11)  
Income (Loss) Pe Share - Diluted $ 0.04 $ (0.11)  
Excluded Antidilutive Incentive Shares 0 31,600  
Class B Common Stock [Member]      
Net Income (Loss) Available to Common Stockholders, Diluted [Abstract]      
Net Income (Loss) Available to Common Stockholders, Basic $ 1,000 $ (4,000)  
Net Income (Loss) Available to Common Stockholders, Diluted $ 1,000 $ (4,000)  
Weighted Average Number of Shares Outstanding, Diluted [Abstract]      
Common Shares Outstanding 31,938 32,000 31,938
Effect of Weighting 0 0  
Weighted Average Shares - Basic 31,938 31,938  
Weighted Average Shares - Diluted 31,938 31,938  
Income (Loss) Per Share - Basic $ 0.04 $ (0.11)  
Income (Loss) Pe Share - Diluted $ 0.04 $ (0.11)  
XML 65 R53.htm IDEA: XBRL DOCUMENT v3.4.0.3
Assets and Liabilities Recorded at Fair Value on Recurring Basis (Details) - USD ($)
Mar. 31, 2016
Dec. 31, 2015
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities $ 109,196,336,000 $ 83,988,399,000
Investment In Orchid 14,466,523,000 13,852,707,000
Estimate of Fair Value, Fair Value Disclosure [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 109,196,336 83,988,399
Eurodollar Futures Contracts 672,000 402,000
Retained Interests 1,242,000 1,124,000
Investment In Orchid 14,467,000 13,853,000
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 0 0
Eurodollar Futures Contracts 672,000 402,000
Retained Interests 0 13,853,000
Investment In Orchid 14,467,000 0
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 109,196,336 83,988,399
Eurodollar Futures Contracts 0 0
Retained Interests 0 0
Investment In Orchid 0 0
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities 0 0
Eurodollar Futures Contracts 0 0
Retained Interests 1,242,000 0
Investment In Orchid $ 0 $ 1,124,000
XML 66 R54.htm IDEA: XBRL DOCUMENT v3.4.0.3
Changes in Level 3 Assets Measured at Fair Value on a Recurring Basis (Details) - Retained Interest [Member] - USD ($)
 3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]    
Beginning Balance $ 1,124,000 $ 1,900,000
Gain (loss) Included in Earnings 546,000 1,486,000
Collections 428,000 996,000
Ending Balance $ 1,242,000 $ 2,390,000
XML 67 R55.htm IDEA: XBRL DOCUMENT v3.4.0.3
Quantitative Information About Level 3 Fair Value Measurements - Prepayment Assumptions (Details) - Retained Interest [Member]
 3 Months Ended
Mar. 31, 2016
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Prepayment Method Constant Prepayment Rate
Maximum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Prepayment Range 10.00%
Minimum [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Prepayment Range 10.00%
Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Prepayment Range 10.00%
XML 68 R56.htm IDEA: XBRL DOCUMENT v3.4.0.3
Quantitative Information About Level 3 Fair Value Measurements - Default Assumptions (Details) - Retained Interest [Member]
 3 Months Ended
Mar. 31, 2016
Real Estate Owned [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 100.00%
Range Of Loss Timining Next 10 Months
Real Estate Owned [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 29.30%
Loans In Foreclosure [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 100.00%
Range Of Loss Timining Month 4 - 13
Loans In Foreclosure [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 29.30%
Loans 90 Days Delinquent [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 100.00%
Range Of Loss Timining Month 11-28
Loans 90 Days Delinquent [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Loans 60 Days Delinquent [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 85.00%
Range Of Loss Timining Month 11-28
Loans 60 Days Delinquent [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Loans 30 Days Delinquent [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 75.00%
Range Of Loss Timining Month 11-28
Loans 30 Days Delinquent [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
Current Loans [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Probability of Default 3.00%
Range Of Loss Timining Month 29 and Beyond
Current Loans [Member] | Weighted Average [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Loss Severity Range 45.00%
XML 69 R57.htm IDEA: XBRL DOCUMENT v3.4.0.3
Quantitative Information About Level 3 Fair Value Measurements - Cash Flow Recognition (Details)
 3 Months Ended
Mar. 31, 2016
Nominal Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Valuation Technique Discounted Cash Flow
Discounted Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Valuation Technique Discounted Cash Flow
Maximum [Member] | Nominal Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 14.9
Fair Value Inputs Discount Rate 27.50%
Maximum [Member] | Discounted Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 4.1
Fair Value Inputs Discount Rate 27.50%
Minimum [Member] | Nominal Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 0.2
Fair Value Inputs Discount Rate 27.50%
Minimum [Member] | Discounted Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 0.3
Fair Value Inputs Discount Rate 27.50%
Weighted Average [Member] | Nominal Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 9.8
Fair Value Inputs Discount Rate 27.50%
Weighted Average [Member] | Discounted Cashflows [Member]  
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Remaining Life Range 1.7
Fair Value Inputs Discount Rate 27.50%
XML 70 R58.htm IDEA: XBRL DOCUMENT v3.4.0.3
Related Party Transactions - Management Agreement (Details) - Orchid Island Capital [Member]
 3 Months Ended
Mar. 31, 2016
First $250 million of Equity [Member]  
Related Party Transaction [Line Items]  
Management Fee Percent of Equity 1.50%
Greater than $250 million but less than or equal to $500 million Equity [Member]  
Related Party Transaction [Line Items]  
Management Fee Percent of Equity 1.25%
Greater than $500 million of Equity [Member]  
Related Party Transaction [Line Items]  
Management Fee Percent of Equity 1.00%
XML 71 R59.htm IDEA: XBRL DOCUMENT v3.4.0.3
Related Party Transactions (Details) - USD ($)
 3 Months Ended
Mar. 31, 2016
Mar. 31, 2015
Dec. 31, 2015
Related Party Transaction [Line Items]      
Advisory services $ 1,269,019 $ 1,094,654.75  
Orchid Island Capital [Member]      
Related Party Transaction [Line Items]      
Advisory services 1,269,000 1,095,000  
Due From Affiliate $ 400,000   $ 500,000
Orchid Shares Owned 1,395,036   1,395,036
Orchid Ownership Percentage 6.40%   6.40%
Compensation Paid By Orchid $ 200,000 200,000  
Orchid Island Capital [Member] | Management Fees [Member]      
Related Party Transaction [Line Items]      
Advisory services 971,000 855,000  
Orchid Island Capital [Member] | Overhead Allocation [Member]      
Related Party Transaction [Line Items]      
Advisory services $ 298,000 $ 240,000  
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