conversely , decreases in interest rates , in general , may over time cause : ( i ) the interest expense associated with our borrowings to decrease ; ( ii ) the value of our mbs portfolio and , correspondingly , our stockholders ' equity to increase ; ( iii ) coupons on our arm-mbs to reset , on a delayed basis , to lower interest rates ; ( iv ) prepayments on our mbs to increase , thereby accelerating the amortization of our mbs purchase premiums and the accretion of our purchase discounts ; and ( v ) the value of our derivative hedging instruments and , correspondingly , our stockholders ' equity to decrease . in addition , our borrowing costs and credit lines are further affected by the type of collateral we pledge and general conditions in the credit market . our investments in residential mortgage assets expose us to credit risk , generally meaning that we are subject to credit losses due to the risk of delinquency , default and foreclosure on the underlying real estate collateral . ( see part i , item 1a . , “ risk factors - credit and other risks related to our investments ” , of this annual report on form 10-k. ) we believe the discounted purchase prices paid on certain of these investments mitigate our risk of loss in the event that , as we expect on most such investments , we receive less than 100 % of the par value of these investments . our investment process for credit sensitive assets focuses primarily on quantifying and pricing credit risk . 36 the table below presents the composition of our mbs portfolios with respect to repricing characteristics as of december 31 , 2016 : replace_table_token_4_th ( 1 ) does not include principal payments receivable in the amount of $ 2.6 million . ( 2 ) does not reflect $ 2.7 billion of 3 year step-up securities , which are securitized financial instruments primarily backed by both fixed rate and hybrid re-performing and non-performing loans . these deal structures contain a step-up feature where the coupon increases up to 300 basis points at 36 months from issuance or sooner . as of december 31 , 2016 , approximately $ 3.5 billion , or 51.2 % , of our mbs portfolio was in its contractual fixed-rate period or were fixed-rate mbs and approximately $ 3.4 billion , or 48.8 % , was in its contractual adjustable-rate period , or were floating rate mbs with interest rates that reset monthly . our arm-mbs in their contractual adjustable-rate period primarily include mbs collateralized by hybrids for which the initial fixed-rate period has elapsed , such that the interest rate will typically adjust on an annual or semiannual basis . premiums arise when we acquire mbs at a price in excess of the principal balance of the mortgages securing such mbs ( i.e . , par value ) . conversely , discounts arise when we acquire mbs at a price below the principal balance of the mortgages securing such mbs or acquire residential whole loans at a price below the principal balance of the mortgage . premiums paid on our mbs are amortized against interest income and accretable purchase discounts on these investments are accreted to interest income . purchase premiums , which are primarily carried on our agency mbs and certain crt securities , are amortized against interest income over the life of each security using the effective yield method , adjusted for actual prepayment activity . an increase in the prepayment rate , as measured by the cpr , will typically accelerate the amortization of purchase premiums , thereby reducing the internal rate of return ( or irr ) /interest income earned on such assets . cpr levels are impacted by , among other things , conditions in the housing market , new regulations , government and private sector initiatives , interest rates , availability of credit to home borrowers , underwriting standards and the economy in general . in particular , cpr reflects the conditional repayment rate ( or crr ) , which measures voluntary prepayments of mortgages collateralizing a particular mbs , and the conditional default rate ( or cdr ) , which measures involuntary prepayments resulting from defaults . cprs on agency mbs and legacy non-agency mbs may differ significantly . for the year ended december 31 , 2016 , our agency mbs portfolio experienced a weighted average cpr of 14.4 % , and our legacy non-agency mbs portfolio experienced a weighted average cpr of 15.6 % . for the year ended december 31 , 2015 , our agency mbs portfolio experienced a weighted average cpr of 13.2 % , and our legacy non-agency mbs portfolio experienced a weighted average cpr of 14.1 % . over the last consecutive eight quarters , ending with december 31 , 2016 , the monthly weighted average cpr on our agency and legacy non-agency mbs portfolios ranged from a high of 17.0 % experienced during the month ended september 30 , 2016 to a low of 10.4 % , experienced during the month ended march 31 , 2015 , with an average cpr over such quarters of 14.2 % . our method of accounting for non-agency mbs purchased at significant discounts to par value , requires us to make assumptions with respect to each security . these assumptions include , but are not limited to , future interest rates , voluntary prepayment rates , default rates , mortgage modifications and loss severities . as part of our non-agency mbs surveillance process , we track and compare each security 's actual performance over time to the performance expected at the time of purchase or , if we have modified our original purchase assumptions , to our revised performance expectations . story_separator_special_tag ( 4 ) interest only represents mbs backed by mortgages currently in their interest only period . percentage is based on mbs current face at december 31 , 2016 and 2015 , respectively . ( 5 ) agency 3/1 , 5/1 , 7/1 and 10/1 hybrid arm-mbs with coupon less than 4.5 % . ( 6 ) agency 3/1 , 5/1 , 7/1 and 10/1 hybrid arm-mbs with coupon greater than or equal to 4.5 % . 43 non-agency mbs the following table presents information with respect to our non-agency mbs at december 31 , 2016 and 2015 : replace_table_token_12_th ( 1 ) includes discount designated as credit reserve of $ 675.6 million and otti of $ 18.6 million . ( 2 ) includes discount designated as credit reserve of $ 766.0 million and otti of $ 21.5 million . purchase discounts on non-agency mbs the following table presents the changes in the components of purchase discount on non-agency mbs with respect to purchase discount designated as credit reserve and otti , and accretable purchase discount for the years ended december 31 , 2016 and 2015 : replace_table_token_13_th ( 1 ) together with coupon interest , accretable purchase discount is recognized as interest income over the life of the security . ( 2 ) includes the impact of approximately $ 61.8 million and $ 7.0 million of cash proceeds ( a one-time payment ) received by us during the year ended december 31 , 2016 in connection with the settlements of litigation related to certain countrywide and citigroup sponsored residential mortgage backed securitization trusts , respectively . 44 the following table presents information with respect to the yield components of our non-agency mbs for the periods presented : replace_table_token_14_th ( 1 ) reflects coupon interest income divided by the average amortized cost . the discounted purchase price on legacy non-agency mbs causes the coupon yield to be higher than the pass-through coupon interest rate . ( 2 ) the effective yield adjustment is the difference between the net yield , calculated utilizing management 's estimates of timing and amount of future cash flows for legacy non-agency mbs and 3 year step-up securities , less the current coupon yield . actual maturities of mbs are generally shorter than stated contractual maturities because actual maturities of mbs are affected by the contractual lives of the underlying mortgage loans , periodic payments of principal , and prepayments of principal . the following table presents certain information regarding the amortized costs , weighted average yields and contractual maturities of our mbs at december 31 , 2016 and does not reflect the effect of prepayments or scheduled principal amortization on our mbs : replace_table_token_15_th at december 31 , 2016 , our crt securities had an amortized cost of $ 382.7 million , a fair value of $ 404.9 million , a weighted average yield of 5.86 % and weighted average time to maturity of 9.0 years . at december 31 , 2015 , our crt securities had an amortized cost of $ 186.3 million , a fair value of $ 183.6 million , a weighted average yield of 5.09 % and a weighted average time to maturity of 9.0 years . residential whole loans the following table presents the contractual maturities of our residential whole loans held by consolidated trusts at december 31 , 2016 and does not reflect estimates of prepayments or scheduled amortization . for residential whole loans at carrying value , amounts presented are estimated based on the underlying loan contractual amounts . replace_table_token_16_th 45 the following table presents at december 31 , 2016 , the dollar amount of our residential whole loans at fair value , contractually maturing after one year , and indicates whether the loans have fixed interest rates or adjustable interest rates : ( in thousands ) residential whole loans at fair value ( 1 ) interest rates : fixed $ 512,988 adjustable 295,392 total $ 808,380 ( 1 ) includes loans on which borrowers have defaulted and are not making payments of principal and or interest as of december 31 , 2016 . information is not presented for residential whole loans at carrying value as income is recognized based on pools of assets with similar risk characteristics using an estimated yield based on cash flows expected to be collected over the lives of the loans in such pools rather than on the contractual coupons of the underlying loans . the following table presents additional information regarding our residential whole loans at fair value at december 31 , 2016 and 2015 : residential whole loans at fair value ( dollars in thousands ) december 31 , 2016 december 31 , 2015 loans 90 days or more past due : number of loans 2,560 2,426 aggregate amount outstanding $ 570,025 $ 493,640 income on residential whole loans at carrying value is recognized based on pools of assets with similar credit risk characteristics using an estimated yield based on cash flows expected to be collected over the lives of the loans in such pools rather than the contractual coupons of the underlying loans . as the unit of account is at the pool level rather than the individual loan level , none of our residential whole loans at carrying value are currently considered 90 days or more past due . exposure to financial counterparties we finance a significant portion of our residential mortgage assets with repurchase agreements and other advances . in connection with these financing arrangements , we pledge our assets as collateral to secure the borrowing . the amount of collateral pledged will typically exceed the amount of the financing with the extent of over-collateralization ranging from 1 % - 6 % of the amount borrowed ( u.s. treasury and agency mbs collateral ) to up to 60 % ( non-agency mbs collateral ) . consequently , while repurchase agreement financing results in us recording a liability to the counterparty in our consolidated balance sheets , we are

securitized debt ( 2,452 ) 789 ( 1,663 ) ( 5,013 ) 476 ( 4,537 ) senior notes 2 — 2 — 3 3 total net change in expense from interest-bearing liabilities $ ( 6,774 ) $ 23,181 $ 16,407 $ 21,221 $ ( 4,081 ) $ 17,140 net change in net interest income $ ( 40,914 ) $ ( 10,467 ) $ ( 51,381 ) $ 25,148 $ ( 13,962 ) $ 11,186 ( 1 ) excludes residential whole loans held at fair value which are reported as a component of non-interest-earning assets . 51 the following table presents certain quarterly information regarding our net interest spread and net interest margin for the quarterly periods presented : replace_table_token_19_th ( 1 ) reflects the difference between the yield on average interest-earning assets and average cost of funds . ( 2 ) reflects annualized net interest income divided by average interest-earning assets . the following table presents the components of the net interest spread earned on our agency , legacy non-agency mbs and 3 year step-up securities for the quarterly periods presented : replace_table_token_20_th ( 1 ) reflects annualized interest incomeon mbs divided by average amortized cost of mbs .


 Write a concise suspicious activity report of the following text delimited by triple backquotes. Return your response as a formal report which covers the key points highlighting the location,dates,entity names and account holder information in chronological order of the text.
     ```securitized debt ( 2,452 ) 789 ( 1,663 ) ( 5,013 ) 476 ( 4,537 ) senior notes 2 — 2 — 3 3 total net change in expense from interest-bearing liabilities $ ( 6,774 ) $ 23,181 $ 16,407 $ 21,221 $ ( 4,081 ) $ 17,140 net change in net interest income $ ( 40,914 ) $ ( 10,467 ) $ ( 51,381 ) $ 25,148 $ ( 13,962 ) $ 11,186 ( 1 ) excludes residential whole loans held at fair value which are reported as a component of non-interest-earning assets . 51 the following table presents certain quarterly information regarding our net interest spread and net interest margin for the quarterly periods presented : replace_table_token_19_th ( 1 ) reflects the difference between the yield on average interest-earning assets and average cost of funds . ( 2 ) reflects annualized net interest income divided by average interest-earning assets . the following table presents the components of the net interest spread earned on our agency , legacy non-agency mbs and 3 year step-up securities for the quarterly periods presented : replace_table_token_20_th ( 1 ) reflects annualized interest incomeon mbs divided by average amortized cost of mbs .
```    
 Suspicious Activity Report : conversely , decreases in interest rates , in general , may over time cause : ( i ) the interest expense associated with our borrowings to decrease ; ( ii ) the value of our mbs portfolio and , correspondingly , our stockholders ' equity to increase ; ( iii ) coupons on our arm-mbs to reset , on a delayed basis , to lower interest rates ; ( iv ) prepayments on our mbs to increase , thereby accelerating the amortization of our mbs purchase premiums and the accretion of our purchase discounts ; and ( v ) the value of our derivative hedging instruments and , correspondingly , our stockholders ' equity to decrease . in addition , our borrowing costs and credit lines are further affected by the type of collateral we pledge and general conditions in the credit market . our investments in residential mortgage assets expose us to credit risk , generally meaning that we are subject to credit losses due to the risk of delinquency , default and foreclosure on the underlying real estate collateral . ( see part i , item 1a . , “ risk factors - credit and other risks related to our investments ” , of this annual report on form 10-k. ) we believe the discounted purchase prices paid on certain of these investments mitigate our risk of loss in the event that , as we expect on most such investments , we receive less than 100 % of the par value of these investments . our investment process for credit sensitive assets focuses primarily on quantifying and pricing credit risk . 36 the table below presents the composition of our mbs portfolios with respect to repricing characteristics as of december 31 , 2016 : replace_table_token_4_th ( 1 ) does not include principal payments receivable in the amount of $ 2.6 million . ( 2 ) does not reflect $ 2.7 billion of 3 year step-up securities , which are securitized financial instruments primarily backed by both fixed rate and hybrid re-performing and non-performing loans . these deal structures contain a step-up feature where the coupon increases up to 300 basis points at 36 months from issuance or sooner . as of december 31 , 2016 , approximately $ 3.5 billion , or 51.2 % , of our mbs portfolio was in its contractual fixed-rate period or were fixed-rate mbs and approximately $ 3.4 billion , or 48.8 % , was in its contractual adjustable-rate period , or were floating rate mbs with interest rates that reset monthly . our arm-mbs in their contractual adjustable-rate period primarily include mbs collateralized by hybrids for which the initial fixed-rate period has elapsed , such that the interest rate will typically adjust on an annual or semiannual basis . premiums arise when we acquire mbs at a price in excess of the principal balance of the mortgages securing such mbs ( i.e . , par value ) . conversely , discounts arise when we acquire mbs at a price below the principal balance of the mortgages securing such mbs or acquire residential whole loans at a price below the principal balance of the mortgage . premiums paid on our mbs are amortized against interest income and accretable purchase discounts on these investments are accreted to interest income . purchase premiums , which are primarily carried on our agency mbs and certain crt securities , are amortized against interest income over the life of each security using the effective yield method , adjusted for actual prepayment activity . an increase in the prepayment rate , as measured by the cpr , will typically accelerate the amortization of purchase premiums , thereby reducing the internal rate of return ( or irr ) /interest income earned on such assets . cpr levels are impacted by , among other things , conditions in the housing market , new regulations , government and private sector initiatives , interest rates , availability of credit to home borrowers , underwriting standards and the economy in general . in particular , cpr reflects the conditional repayment rate ( or crr ) , which measures voluntary prepayments of mortgages collateralizing a particular mbs , and the conditional default rate ( or cdr ) , which measures involuntary prepayments resulting from defaults . cprs on agency mbs and legacy non-agency mbs may differ significantly . for the year ended december 31 , 2016 , our agency mbs portfolio experienced a weighted average cpr of 14.4 % , and our legacy non-agency mbs portfolio experienced a weighted average cpr of 15.6 % . for the year ended december 31 , 2015 , our agency mbs portfolio experienced a weighted average cpr of 13.2 % , and our legacy non-agency mbs portfolio experienced a weighted average cpr of 14.1 % . over the last consecutive eight quarters , ending with december 31 , 2016 , the monthly weighted average cpr on our agency and legacy non-agency mbs portfolios ranged from a high of 17.0 % experienced during the month ended september 30 , 2016 to a low of 10.4 % , experienced during the month ended march 31 , 2015 , with an average cpr over such quarters of 14.2 % . our method of accounting for non-agency mbs purchased at significant discounts to par value , requires us to make assumptions with respect to each security . these assumptions include , but are not limited to , future interest rates , voluntary prepayment rates , default rates , mortgage modifications and loss severities . as part of our non-agency mbs surveillance process , we track and compare each security 's actual performance over time to the performance expected at the time of purchase or , if we have modified our original purchase assumptions , to our revised performance expectations . story_separator_special_tag ( 4 ) interest only represents mbs backed by mortgages currently in their interest only period . percentage is based on mbs current face at december 31 , 2016 and 2015 , respectively . ( 5 ) agency 3/1 , 5/1 , 7/1 and 10/1 hybrid arm-mbs with coupon less than 4.5 % . ( 6 ) agency 3/1 , 5/1 , 7/1 and 10/1 hybrid arm-mbs with coupon greater than or equal to 4.5 % . 43 non-agency mbs the following table presents information with respect to our non-agency mbs at december 31 , 2016 and 2015 : replace_table_token_12_th ( 1 ) includes discount designated as credit reserve of $ 675.6 million and otti of $ 18.6 million . ( 2 ) includes discount designated as credit reserve of $ 766.0 million and otti of $ 21.5 million . purchase discounts on non-agency mbs the following table presents the changes in the components of purchase discount on non-agency mbs with respect to purchase discount designated as credit reserve and otti , and accretable purchase discount for the years ended december 31 , 2016 and 2015 : replace_table_token_13_th ( 1 ) together with coupon interest , accretable purchase discount is recognized as interest income over the life of the security . ( 2 ) includes the impact of approximately $ 61.8 million and $ 7.0 million of cash proceeds ( a one-time payment ) received by us during the year ended december 31 , 2016 in connection with the settlements of litigation related to certain countrywide and citigroup sponsored residential mortgage backed securitization trusts , respectively . 44 the following table presents information with respect to the yield components of our non-agency mbs for the periods presented : replace_table_token_14_th ( 1 ) reflects coupon interest income divided by the average amortized cost . the discounted purchase price on legacy non-agency mbs causes the coupon yield to be higher than the pass-through coupon interest rate . ( 2 ) the effective yield adjustment is the difference between the net yield , calculated utilizing management 's estimates of timing and amount of future cash flows for legacy non-agency mbs and 3 year step-up securities , less the current coupon yield . actual maturities of mbs are generally shorter than stated contractual maturities because actual maturities of mbs are affected by the contractual lives of the underlying mortgage loans , periodic payments of principal , and prepayments of principal . the following table presents certain information regarding the amortized costs , weighted average yields and contractual maturities of our mbs at december 31 , 2016 and does not reflect the effect of prepayments or scheduled principal amortization on our mbs : replace_table_token_15_th at december 31 , 2016 , our crt securities had an amortized cost of $ 382.7 million , a fair value of $ 404.9 million , a weighted average yield of 5.86 % and weighted average time to maturity of 9.0 years . at december 31 , 2015 , our crt securities had an amortized cost of $ 186.3 million , a fair value of $ 183.6 million , a weighted average yield of 5.09 % and a weighted average time to maturity of 9.0 years . residential whole loans the following table presents the contractual maturities of our residential whole loans held by consolidated trusts at december 31 , 2016 and does not reflect estimates of prepayments or scheduled amortization . for residential whole loans at carrying value , amounts presented are estimated based on the underlying loan contractual amounts . replace_table_token_16_th 45 the following table presents at december 31 , 2016 , the dollar amount of our residential whole loans at fair value , contractually maturing after one year , and indicates whether the loans have fixed interest rates or adjustable interest rates : ( in thousands ) residential whole loans at fair value ( 1 ) interest rates : fixed $ 512,988 adjustable 295,392 total $ 808,380 ( 1 ) includes loans on which borrowers have defaulted and are not making payments of principal and or interest as of december 31 , 2016 . information is not presented for residential whole loans at carrying value as income is recognized based on pools of assets with similar risk characteristics using an estimated yield based on cash flows expected to be collected over the lives of the loans in such pools rather than on the contractual coupons of the underlying loans . the following table presents additional information regarding our residential whole loans at fair value at december 31 , 2016 and 2015 : residential whole loans at fair value ( dollars in thousands ) december 31 , 2016 december 31 , 2015 loans 90 days or more past due : number of loans 2,560 2,426 aggregate amount outstanding $ 570,025 $ 493,640 income on residential whole loans at carrying value is recognized based on pools of assets with similar credit risk characteristics using an estimated yield based on cash flows expected to be collected over the lives of the loans in such pools rather than the contractual coupons of the underlying loans . as the unit of account is at the pool level rather than the individual loan level , none of our residential whole loans at carrying value are currently considered 90 days or more past due . exposure to financial counterparties we finance a significant portion of our residential mortgage assets with repurchase agreements and other advances . in connection with these financing arrangements , we pledge our assets as collateral to secure the borrowing . the amount of collateral pledged will typically exceed the amount of the financing with the extent of over-collateralization ranging from 1 % - 6 % of the amount borrowed ( u.s. treasury and agency mbs collateral ) to up to 60 % ( non-agency mbs collateral ) . consequently , while repurchase agreement financing results in us recording a liability to the counterparty in our consolidated balance sheets , we are

