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Assumptions: Principal Balance of Loans 100$ Market Value of Loans as % of UPB 103% Weighted Average Coupon 5.0% Residential Loan Purchase Leverage Rate 86% Residential Loan Warehouse Financing Cost 3.0% Percentage of Principal Balance Sold in Securitization 95% Securitization Cost of Capital 2.5% Pre-Securitization: Whole Loans Post-Securitization: Loans in Securitization Trust Income Statement: Income Statement: Interest Income 5.0$ Interest Income 5.0$ Interest Expense 2.6$ Interest Expense 2.4$ Net Interest Margin 2.4$ Net Interest Margin 2.6$ Balance Sheet: Balance Sheet: Residential Loans 103.0$ Cash Proceeds from Securitization 9.0$ Notes Payable 86.0$ Residential Loans in Securitization Trust 103.0$ Non-Recourse Securitization Obligation 95.0$ Loans Able to Purchase Using Cash Proceeds from Securitization: 64.3$
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$000s Interest Income / Expense Average Balance Interest Income / Expense Average Balance Interest Income Residential Loans 25,705 544,440 13,013 232,075 Residential Loans in Securitization Trust 7,709 153,158 - - Commercial Loans 641 9,284 1,940 28,979 RMBS 24,221 264,095 25,415 118,174 CMBS 2,266 11,142 295 1,359 Total Interest Income1 60,542 40,663 Interest Expense Notes Payable 8,682 350,919 6,624 189,212 Non-Recourse Securitization Obligation 2,457 141,133 - - Repurchase Facilities 337 209,502 875 136,835 Total Interest Expense 11,476 7,499 Net Interest Margin 49,066 33,164 Net Interest Margin as % of Income 81.0% 81.6% YE 2020YE 2021
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