Maryland
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001-35236
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27-3269228
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(State or Other Jurisdiction of Incorporation)
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(Commission File Number)
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(IRS Employer Identification No.)
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☐ |
Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
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☐ |
Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
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☐ |
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
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☐ |
Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
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Indicate by check mark whether the registrant is an emerging growth company as defined in as defined in Rule 405 of the
Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for
complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
☐
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Exhibit No.
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Description
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Date: March 13, 2019
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ORCHID ISLAND CAPITAL, INC.
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By:
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/s/ Robert E. Cauley
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Robert E. Cauley
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Chairman and Chief Executive Officer
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·
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March 2019 Monthly Dividend of $0.08 Per Share
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·
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RMBS Portfolio Characteristics as of February 28, 2019 |
·
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Next Dividend Announcement Expected April 17, 2019
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·
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RMBS Valuation Characteristics
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·
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RMBS Assets by Agency
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·
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Investment Company Act of 1940 (Whole Pool) Test Results
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·
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Repurchase Agreement Exposure by Counterparty
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·
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RMBS Risk Measures
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(1)
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Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and
horizon prices are calculated assuming constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially
.
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(2)
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Five year treasury futures contracts were valued at prices of $114.56 at February 28, 2019. The notional contract value of the
short position was $189.0 million.
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RMBS Assets by Agency
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Investment Company Act of 1940 Whole Pool Test
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||||||||||||||||
($ in thousands)
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($ in thousands)
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||||||||||||||||
Percentage
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Percentage
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||||||||||||||||
Fair
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of
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Fair
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of
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||||||||||||||
Asset Category
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Value
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Portfolio
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Asset Category
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Value
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Portfolio
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||||||||||||
As of February 28, 2019
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As of February 28, 2019
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Fannie Mae
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$
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1,461,823
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49.1
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%
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Non-Whole Pool Assets
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$
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928,095
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31.2
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%
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Freddie Mac
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1,509,304
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50.8
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%
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Whole Pool Assets
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2,046,830
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68.8
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%
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||||||||||
Ginnie Mae
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3,798
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0.1
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%
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Total Mortgage Assets
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$
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2,974,925
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100.0
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%
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|||||||||
Total Mortgage Assets
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$
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2,974,925
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100.0
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%
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Borrowings By Counterparty
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($ in thousands)
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||||||||
Weighted
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Weighted
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|||||||
% of
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Average
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Average
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||||||
Total
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Total
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Repo
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Maturity
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Longest
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As of February 28, 2019
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Borrowings
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Debt
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Rate
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in Days
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Maturity
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Mirae Asset Securities (USA) Inc.
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$
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371,010
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13.3%
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2.66%
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49
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5/13/2019
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RBC Capital Markets, LLC
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317,254
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11.3%
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2.67%
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16
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3/28/2019
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Wells Fargo Bank, N.A.
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306,180
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10.9%
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2.64%
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17
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3/26/2019
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J.P. Morgan Securities LLC
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257,599
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9.2%
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2.65%
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15
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3/15/2019
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Cantor Fitzgerald & Co
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249,621
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8.9%
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2.63%
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12
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3/15/2019
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ING Financial Markets LLC
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224,760
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8.0%
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2.63%
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15
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3/25/2019
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Mitsubishi UFJ Securities (USA), Inc
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203,012
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7.2%
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2.67%
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67
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5/15/2019
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ABN AMRO Bank N.V.
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148,320
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5.3%
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2.65%
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35
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4/4/2019
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ICBC Financial Services LLC
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124,773
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4.4%
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2.66%
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14
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3/15/2019
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Citigroup Global Markets Inc
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112,169
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4.0%
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2.67%
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25
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3/29/2019
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ASL Capital Markets Inc.
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90,729
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3.2%
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2.67%
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75
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5/14/2019
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FHLB-Cincinnati
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82,688
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2.9%
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2.67%
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1
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3/1/2019
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South Street Securities, LLC
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74,905
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2.7%
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2.63%
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29
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3/29/2019
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Natixis, New York Branch
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56,589
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2.0%
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2.77%
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15
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3/15/2019
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Lucid Cash Fund USG LLC
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48,776
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1.7%
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2.68%
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14
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3/14/2019
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Bank of Montreal
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35,447
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1.3%
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2.66%
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15
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3/15/2019
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Guggenheim Securities, LLC
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26,762
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1.0%
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2.66%
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1
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3/1/2019
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J.V.B. Financial Group, LLC
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24,546
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0.9%
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2.63%
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21
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3/25/2019
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Lucid Prime Fund, LLC
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20,153
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0.7%
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2.73%
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14
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3/14/2019
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Merrill Lynch, Pierce, Fenner & Smith
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15,807
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0.6%
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3.04%
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28
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3/28/2019
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ED&F Man Capital Markets Inc
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13,469
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0.5%
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2.63%
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7
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3/7/2019
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Total Borrowings
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$
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2,804,569
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100.0%
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2.66%
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27
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5/15/2019
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