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338890294
No
Yes
No
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<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>1. Organization </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">AG Mortgage Investment Trust, Inc. (the “Company”) was organized in the state of Maryland on March 1, 2011. The Company is focused on investing in, acquiring and managing a diversified portfolio of residential mortgage-backed securities, or RMBS, issued or guaranteed by a government-sponsored enterprise such as Fannie Mae or Freddie Mac, or any agency of the U.S. Government such as Ginnie Mae (collectively, “Agency RMBS”), and other real estate-related securities and financial assets, including Non-Agency RMBS, ABS, CMBS and loans (as defined below).</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Non-Agency RMBS represent fixed-and floating-rate residential RMBS, including investment grade (AAA through BBB) and non investment grade classes (BB and below). The mortgage loan collateral for residential Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by U.S. government agencies or U.S. government-sponsored entities.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Asset Backed Securities (“ABS”) are securitized investments similar to the aforementioned investments except the underlying assets are diverse, not only representing real estate related assets.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Commercial Mortgage Backed Securities (“CMBS”) represent investments of fixed- and floating-rate CMBS, including investment grade (AAA through BBB) and non investment grade classes (BB and below). CMBS will be secured by, or evidence an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Commercial Mortgage Loans (“loans”) are secured by commercial real estate and represent a contractual right to receive money on demand or on fixed or determinable dates.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Collectively, the Company refers to Agency RMBS, Non-Agency RMBS, ABS and CMBS assets types as real estate securities and Commercial Mortgage Loans as loans.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On March 7, 2011, AG Funds, L.P. (“AG Funds”), a Delaware limited liability company, entered into a subscription agreement with the Company and agreed to purchase 100 shares of common stock for $1,000. The subscription amount was received by the Company on April 1, 2011 making AG Funds the sole stockholder of the Company. The Company subsequently completed an initial public offering on July 6, 2011 and concurrently repurchased the 100 shares from AG Funds at their issue price.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company is externally managed by AG REIT Management, LLC (the “Manager”), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. (“Angelo, Gordon”), a privately-held, SEC-registered investment adviser. The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to Angelo, Gordon the overall responsibility with respect to the Manager’s day-to-day duties and obligations arising under the management agreement.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company conducts its operations to qualify and be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>2. Summary of Significant Accounting Policies </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America (“GAAP”). Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments considered necessary for a fair presentation for the annual period of the Company’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Cash and cash equivalents </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Cash is comprised of cash on deposit with financial institutions. We classify highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. We place our cash and cash equivalents with high credit quality institutions to minimize credit risk exposure.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Restricted cash </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Restricted cash includes cash pledged as collateral for clearing and executing trades, interest rate swaps and repurchase agreements. Restricted cash is carried at cost, which approximates fair value. Cash held by the Company as collateral is included in the due to broker line item on the consolidated balance sheet.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Offering and organization costs </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company incurred offering and organization costs in connection with arranging the Company’s initial public offering (“IPO”), subsequent follow-on offerings of its common stock and issuances of preferred stock. The offering and other organization costs were paid out of the proceeds of the respective offerings. Offering costs in connection with the common stock offerings have been accounted for as a reduction of additional paid-in-capital. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. Costs incurred to organize the Company have been expensed as incurred. The Company’s obligation to pay for organization and offering expenses incurred in connection with its IPO was capped at 1% of the total gross proceeds from the IPO and the concurrent private placement, and the Manager paid for such expenses incurred above the cap. See Note 9 for further details.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Use of estimates </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Earnings per share </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In accordance with the provisions of Accounting Standards Codification (“ASC”) 260, “Earnings per Share,” the Company calculates basic income per share by dividing net income (loss) available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants and unvested restricted stock, but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Valuation of financial instruments </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The fair value of the financial instruments that the Company records at fair value will be determined by the Manager, subject to oversight of the Company’s board of directors, and in accordance with ASC 820, “Fair Value Measurements and Disclosures.” When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<table style="margin-top: 0pt; width: 100%; font: 10pt times new roman, times, serif; margin-bottom: 0pt;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: top;">
<td style="width: 30.6pt;"></td>
<td style="width: 18.35pt;">•</td>
<td>Level 1—Quoted prices in active markets for identical assets or liabilities.</td>
</tr>
<tr style="vertical-align: top;">
<td> </td>
<td> </td>
<td> </td>
</tr>
</table>
<table style="margin-top: 0pt; width: 100%; font: 10pt times new roman, times, serif; margin-bottom: 0pt;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: top;">
<td style="width: 30.6pt;"></td>
<td style="width:
18.35pt;">•</td>
<td>Level 2—Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.</td>
</tr>
<tr style="vertical-align: top;">
<td> </td>
<td> </td>
<td> </td>
</tr>
</table>
<table style="margin-top: 0pt; width: 100%; font: 10pt times new roman, times, serif; margin-bottom: 0pt;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: top;">
<td style="width: 30.6pt;"></td>
<td style="width: 18.35pt;">•</td>
<td>Level 3—Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Transfers between levels are assumed to occur at the beginning of the reporting period.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Accounting for real estate securities </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Investments in real estate securities are recorded in accordance with ASC 320. The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. The real estate securities are recorded at fair market value on the consolidated balance sheet and the periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain on real estate securities, net.”</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">These investments generally meet the requirements to be classified as available for sale under ASC 320-10-25, “Debt and Equity Securities”, which requires the securities to be carried at fair value on the consolidated balance sheet with changes in fair value charged to other comprehensive income, a component of Stockholders’ Equity. Electing the fair value option allows the Company to record changes in fair value in the statement of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period as all securities activities will be recorded in a similar manner.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The cost of positions sold is calculated using a FIFO basis. Realized gains and losses on sales of real estate securities are recorded in earnings at the time of disposition.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Sales of securities </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Sales of securities are driven by the Manager’s portfolio management process. The Manager seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities with more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Realized gains or losses on sales of securities and derivatives, inclusive of linked transactions are included in the net realized gain line item on the consolidated statement of operations, and are recorded at the time of disposition. The cost of positions sold is calculated using a FIFO basis.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Accounting for loans</b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Investments in mortgage loans are recorded in accordance with ASC 310. The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Loans are recorded at fair market value on the consolidated balance sheet and any periodic change in fair market value will be recorded in current period earnings on the consolidated statement of operations. The loan portfolio had no unrealized gains or losses as of December 31, 2012 or December 31, 2011.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><font style="font-size: 10pt;">The Company amortizes or accretes any premium or discount over the life of the related loan utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether they are impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the amount of the loss accrual is calculated and recorded accordingly. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. <font style="font-family: times new roman, times, serif;">When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged.</font></font></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><font style="font-size: 10pt;"><font
style="font-family: times new roman, times, serif;"> </font></font></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Investment consolidation </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting. A similar analysis will be performed for each entity with which the Company enters into an agreement for management, servicing or related services. In performing the analysis, the Company will refer to guidance in ASC 810-10, “Consolidation.” In situations where we are the transferor of financial assets, the Company will refer to the guidance in ASC 860-10 “Transfers and Servicing.”</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In variable interest entities, (“VIEs”), an entity is subject to consolidation under ASC 810-10 if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If we were to treat securitizations as sales in the future, we will analyze the transactions under the guidelines of ASC 810-10 for consolidation. All VIEs in which the Company has participated are non-recourse to the Company.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company may periodically enter into transactions in which it sells assets. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term “participating interest” to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of mortgage loans by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair values. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a “sale” and the loans will be removed from the balance sheet or as a “financing” and will be classified as “real estate securities” on the consolidated balance sheet, depending upon the structure of the securitization transaction. ASC 860-10 is a complex standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a “sale” or a “financing.”</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Interest income recognition </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Interest income on the Company’s real estate securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all securities accounted for under the fair value option (ASC 825). As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities in accordance with ASC 310-20 “Nonrefundable Fees and Other
Costs”, ASC 320-10 “Investments—Debt and Equity Securities” or ASC 325-40 “Beneficial Interests in Securitized Financial Assets,” as applicable. Total interest income will flow though the interest income line item on the Consolidated Statement of Operations.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally, Agency RMBS), prepayments of the underlying collateral must be estimated, which directly affect the speed at which we amortize such securities. If actual and anticipated cash flows differ from previous estimates, we recognize a “catch-up” adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield through the reporting date.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Similarly, we also reassess the cash flows on at least a quarterly basis for securities accounted for under ASC 325-40 (generally, Non-Agency RMBS, ABS and CMBS). In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies. These include the rate and timing of principal and interest receipts, (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be judgmentally estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment as adjusted for credit impairment, if any.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Interest income on the Company’s loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all loans accounted for under the fair value option (ASC 825). Any amortization will be reflected as an adjustment to interest income in the consolidated statements of operations.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">For investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, we will apply the provisions of ASC 310-30 “Loans and Debt Securities Acquired with Deteriorated Credit Quality.” ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent increases in cash flows expected to be collected generally should be recognized prospectively through adjustment of the loan’s yield over its remaining life. Decreases in cash flows expected to be collected should be recognized as impairment.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company’s accrual of interest, discount and premium for U.S. federal and other tax purposes differs from the financial accounting treatment of these items as described above.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Repurchase agreements </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company finances the acquisition of certain assets within its portfolio through the use of repurchase agreements. Repurchase agreements are treated as collateralized financing transactions and are carried at primarily their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements approximates fair value as the debt is short-term in nature.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company pledges certain securities as collateral under repurchase arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in fair value of pledged securities, lenders may require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls. As of December 31, 2012 and December 31, 2011, the Company has met all margin call requirements.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In instances where the Company acquires assets through repurchase agreements with the same counterparty from whom the assets were purchased, the Company will evaluate such transactions in accordance with ASC 860-10. This standard requires the initial transfer of a financial asset and repurchase financing that are entered into contemporaneously with, or in contemplation of, one another to
be considered linked unless all of the criteria found in ASC 860-10 are met at the inception of the transaction. If the transaction meets all of the conditions, the initial transfer shall be accounted for separately from the repurchase financing, and the Company will record the assets and the related financing on a gross basis on its balance sheet with the corresponding interest income and interest expense in the statements of operations. If the transaction is determined to be linked, the Company will record the initial transfer and repurchase financing on a net basis and record a forward commitment to purchase assets as a derivative instrument with changes in market value being recorded on the consolidated statement of operations. Such forward commitments are recorded at fair value with subsequent changes in fair value recognized in income.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Accounting for derivative financial instruments </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company may enter into derivative contracts, including interest rate swaps and interest rate caps, as a means of mitigating interest rate risk. The Company uses interest rate derivative instruments to mitigate interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, “Derivatives and Hedging.” ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. Additionally, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of December 31, 2012 and December 31, 2011, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">When derivative contracts are executed with the same counterparty, the value of the derivative contracts is reported on a net-by-counterparty basis on the balance sheet, where a legal right of off-set exists under an enforceable netting agreement. As a result, the net exposure to counterparties is reported as either an asset or liability on the consolidated balance sheet.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>To-be-announced securities </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">A to-be-announced security (“TBA”) is a futures contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. TBAs are exempt from ASC 815 and are accounted for under ASC 320 if there is no other way to purchase or sell that security, if delivery of that security and settlement will occur within the shortest period possible for that type of security and if it is probable at inception and throughout the term of the individual contract that physical delivery of the security will occur (referred to as the “regular-way” exception). Unrealized gains and losses associated with TBA contracts not subject to the regular-way exception or not designated as hedging instruments are recognized in our consolidated statement of operations in the line item “Unrealized loss on derivative instruments, net.”</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Manager compensation </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The management agreement provides for payment to the Manager of a management fee. The management fee is accrued and expensed during the period for which it is calculated and earned. For a more detailed discussion on the fees payable under the management agreement, see Note 9.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Income taxes </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income as opposed to net income reported under GAAP in the financial statements. Taxable income, generally, will differ from net income reported on the financial statements because the determination of taxable income is based on tax provisions and not financial accounting principles.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company has elected to treat AG MIT II, LLC, AG MITT RMAT 2013,
LLC and AG MITT RMAT 2013 II, LLC as taxable REIT subsidiaries, (“TRS”) and may elect to treat other subsidiaries at TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. While a TRS will generate net income, a TRS can declare dividends to the Company which will be included in the Company’s taxable income and necessitate a distribution to stockholders. Conversely, if we retain earnings at the TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A TRS is subject to federal, state and local corporate income taxes.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. If the Company were to fail to meet the REIT requirements, it would be subject to federal income taxes and applicable state and local taxes.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">As a REIT, if the Company fails to distribute in any calendar year at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company evaluates uncertain income tax positions, if any, in accordance with ASC Topic 740, “Income Taxes”. The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. See Note 8 for further details.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Stock-based compensation </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company will follow ASC 718, “Compensation—Stock Compensation” with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans. ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in financial statements. The cost is measured based on the fair value of the equity or liability instruments issued.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Compensation cost related to restricted common shares issued to the Company’s directors is measured at its estimated fair value at the grant date, and is amortized and expensed over the vesting period on a straight-line basis. Compensation cost related to restricted common shares issued to the Manager is initially measured at estimated fair value at the grant date, and is remeasured on subsequent dates to the extent the awards are unvested. The Company has elected to use the straight-line method to amortize compensation expense for the restricted common shares granted to the Manager.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Recent accounting pronouncements </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In April 2011, the Financial Accounting Standards Board (the “FASB”) issued Accounting Standards Update 2011-03, “Reconsideration of Effective Control for Repurchase Agreements” (ASU 2011-03). ASU 2011-03 simplifies the accounting for financial assets transferred under repurchase agreements and similar arrangements, by eliminating the transferor’s ability criterion from the assessment of effective control over those assets. The guidance is effective for fiscal years and interim periods beginning after December 15, 2011. We do not believe that the adoption of the amended guidance will have a significant effect on our consolidated financial statements now or in the future.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In May 2011, the FASB issued Accounting Standards Update 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS” (ASU 2011-04). ASU 2011-04 amends Topic 820 and does not modify the requirements for when fair value measurements apply; rather, it clarifies the Board’s intent about the application of existing fair value measurement requirements, and changes to a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. For public entities, this guidance is effective for fiscal years and interim periods beginning after December 15, 2011. Early application by public entities is not permitted. We do not anticipate any material impact from this guidance now or in the future.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In December 2011, the FASB issued Accounting Standards Updated 2011-11, “Disclosures about Offsetting Assets and Liabilities” (ASU 2011-11). ASU 2011-11 amends Topic 210 to require additional disclosure information about offsetting and related arrangements. Entities will be required to disclose both gross information and net information about both
instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. This scope would include derivatives, sale and repurchase agreements and reverse sale and repurchase agreements. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of US GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards (IFRS). The guidance is effective for periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Company does not anticipate any material impact from this guidance.</p>
<div><strong>3. Real Estate Securities </strong></div>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following tables present the current principal balance, premium or discount, amortized cost, gross unrealized gain, gross unrealized loss, and fair market value of the Company’s real estate securities portfolio at December 31, 2012 and December 31, 2011. Real estate securities that are accounted for as a component of linked transactions are not reflected in the tables set forth in this note. See Note 6 for further details. The Company’s Agency RMBS are mortgage pass-through certificates representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by Fannie Mae or Freddie Mac. The Non-Agency RMBS, ABS and CMBS portfolios are primarily not issued or guaranteed by Fannie Mae, Freddie Mac and are therefore subject to credit risk. The principal and interest payments on Agency RMBS securities have an explicit guarantee by either an agency of the U.S. government or a U.S. government-sponsored enterprise.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details the real estate securities portfolio as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
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<td style="font-size: 7pt; font-weight: bold;" colspan="2"> </td>
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<td style="font-size: 7pt; font-weight: bold;" colspan="2"> </td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="6">Gross Unrealized (1)</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="6">Weighted Average</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Current Face</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Premium (Discount)</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Gains</td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Losses</td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Fair Value</td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Coupon (2)</td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Yield</td>
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</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 7pt;">Agency RMBS:</td>
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<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; width: 20%; font-size: 7pt;">15 Year Fixed Rate</td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">1,177,320,487</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">46,922,089</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">1,224,242,576</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">24,223,576</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">(255,956</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">)</td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">1,248,210,196</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="text-align: right; width: 7%; font-size: 7pt;">2.97</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">%</td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="text-align: right; width: 7%; font-size: 7pt;">2.08</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">20 Year Fixed Rate</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">137,858,353</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6,696,803</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">144,555,156</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3,569,538</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">148,124,694</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.68</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2.78</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">30 Year Fixed Rate</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">1,998,807,425</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">116,173,790</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2,114,981,215</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">32,180,328</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(3,423,448</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2,143,738,095</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.63</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2.75</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">ARM</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">36,228,319</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">1,584,714</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">37,813,033</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">362,721</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">38,175,754</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2.96</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2.34</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">Interest Only</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">972,543,812</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(763,342,056</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">209,201,756</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5,162,683</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(6,746,027</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">207,618,412</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6.00</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">7.00</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 7pt;">Credit Investments:</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-left: 18px; font-size: 7pt;">Non-Agency RMBS</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">634,277,808</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(87,414,086</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">546,863,722</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6,704,413</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(1,396,738</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">552,171,397</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">4.65</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.44</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-left: 18px; font-size: 7pt;">ABS</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">33,620,881</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(36,289</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">33,584,592</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">352,505</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">33,937,097</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.34</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.44</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-left: 18px; font-size: 7pt;">CMBS</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">96,536,946</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(2,094,604</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">94,442,342</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2,956,780</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(82,588</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">97,316,534</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.51</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6.36</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 7pt;">Interest Only</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">640,867,674</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">(572,685,926</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">68,181,748</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">1,338,054</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">(1,783,201</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">67,736,601</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">2.13</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">5.50</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 7pt;">Total</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">5,728,061,705</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">(1,254,195,565</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">4,473,866,140</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">76,850,598</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">(13,687,958</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">4,537,028,780</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.92</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.22</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: left; margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(1) We have chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain (loss) on real estate securities line item. The gross unrealized stated above represents inception to date unrealized gains (losses).</p>
<p style="text-align: left; margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(2) Equity residual investments with a zero coupon rate are excluded from this calculation.                    </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details the real estate securities portfolio as of December 31, 2011:</p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="font-size: 7pt;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="6">Gross Unrealized (1)</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="6">Weighted Average</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Current Face</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Premium (Discount)</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Gains</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Losses</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Coupon</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Yield</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 7pt;">Agency RMBS:</td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; width: 20%; font-size: 7pt;">15 Year Fixed Rate</td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">738,344,948</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">22,525,476</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">760,870,424</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">11,486,386</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">(45,901</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">)</td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">772,310,909</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="text-align: right; width: 7%; font-size: 7pt;">3.32</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">%</td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="text-align: right; width: 7%; font-size: 7pt;">2.62</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">20 Year Fixed Rate</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">227,566,114</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">7,362,001</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">234,928,115</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2,658,722</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">237,586,837</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.69</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.00</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">30 Year Fixed Rate</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">232,890,169</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">12,162,512</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">245,052,681</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">1,626,801</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">246,679,482</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.99</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.18</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">Interest Only</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">43,505,596</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(34,046,500</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">9,459,096</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(2,822,225</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6,636,871</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.50</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.45</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 7pt;">Credit Investments:</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 7pt;">Non-Agency RMBS</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">64,710,290</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(4,601,272</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">60,109,018</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">9,545</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(1,331,512</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">58,787,051</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.96</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6.31</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 7pt;">ABS</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">4,546,150</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(28,590</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">4,517,560</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">9,060</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">4,526,620</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.68</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.69</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 7pt;">CMBS</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">19,500,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">(5,411,965</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">14,088,035</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">313,881</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">(864,065</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">13,537,851</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">5.88</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">13.44</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 7pt;">Total</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">1,331,063,267</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">(2,038,338</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">1,329,024,929</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">16,104,395</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">(5,063,703</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">1,340,065,621</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.74</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.07</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
</table>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: left; margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(1) We have chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain (loss) on real estate securities line item. The gross unrealized stated above represents inception to date unrealized gains (losses).</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents the gross unrealized losses, and estimated fair value of the Company’s real estate securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2012 and December 31, 2011.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 85%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="6">Less than 12 months</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="6">Greater than 12 months</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">As of</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Unrealized Losses</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Unrealized Losses</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 40%; font-size: 10pt;">December 31, 2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">777,773,600</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">(11,267,980</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">4,872,469</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">(2,419,978</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">December 31, 2011</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">76,601,602</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(5,063,703</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><font style="color: #252525;">The decline in value of these real estate securities is solely due to market conditions and not the quality of the assets. All of the principal and interest payments on the Agency RMBS </font>have an explicit guarantee by either an agency of the U.S. government or a U.S. government-sponsored enterprise.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif; color: #252525;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif; color: #252525;">The investments are not considered other than temporarily impaired because we currently have the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments and we are not required to sell for regulatory or other reasons.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif; color: #252525;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details weighted average life by Agency RMBS, Agency Interest-Only (“IO”) and Other Securities as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Agency RMBS</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Agency IO</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Other Securities (1)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; font-size: 6pt; font-weight: bold;">Weighted Average Life (2)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon (3)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 19%; font-size: 6pt;">Less than or equal to 1 year</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">3,748,025</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">3,759,750</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">0.75</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 6pt;">Greater than one year and less than or equal to three years</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3,594,670</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3,392,472</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.84</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">41,621,591</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">41,216,699</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.69</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 6pt;">Greater than three years and less than or equal to five years</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">868,542,201</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">846,760,882</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">2.97</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">162,811,754</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">162,576,217</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">6.03</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">332,603,072</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">327,252,110</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">2.82</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">Greater than five years</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">2,709,706,538</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">2,674,831,098</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">3.53</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">41,211,988</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">43,233,067</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.91</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">373,188,941</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">370,843,845</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.08</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 6pt;">Total</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">3,578,248,739</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">3,521,591,980</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3.40</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">207,618,412</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">209,201,756</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">6.00</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">751,161,629</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">743,072,404</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3.54</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="margin-top: 0px; font: 10pt times new roman, times, serif; margin-bottom: 0px;" cellspacing="0" cellpadding="0">
<tr style="text-align: justify; vertical-align: top;">
<td style="width: 0in;"></td>
<td style="text-align: left; width: 0.25in;">(1)</td>
<td style="text-align: justify;">For purposes of this table, Other Securities represents the following Credit Investments held as of December 31, 2012, Non-Agency RMBS, ABS, CMBS and Interest Only.</td>
</tr>
</table>
<table style="margin-top: 0px; font: 10pt times new roman, times, serif; margin-bottom: 0px;" cellspacing="0" cellpadding="0">
<tr style="text-align: justify; vertical-align: top;">
<td style="width: 0in;"></td>
<td style="text-align: left; width: 0.25in;">(2)</td>
<td style="text-align: justify;">Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.</td>
</tr>
</table>
<p style="margin: 0pt 0px 0pt 5.4pt; font: 10pt times new roman, times, serif;"></p>
<table style="margin-top: 0px; font: 10pt times new roman, times, serif; margin-bottom: 0px;" cellspacing="0" cellpadding="0">
<tr style="text-align: justify; vertical-align: top;">
<td style="width: 0in;"></td>
<td style="text-align: left; width: 0.25in;">(3)</td>
<td style="text-align: justify;">Equity residual investments with a zero coupon rate are excluded from this calculation.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details weighted average life by Agency RMBS, Agency IO and Other Securities as of December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Agency RMBS</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Agency IO</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Other Securities (1)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; font-size: 6pt; font-weight: bold;">Weighted Average Life (2)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 19%; font-size: 6pt;">Less than or equal to 1 year</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">14,804,111</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">14,800,710</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">5.81</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 6pt;">Greater than one year and less than or equal to three years</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">18,129,515</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">18,120,455</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">6.33</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 6pt;">Greater than three years and less than or equal to five years</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">577,553,643</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">567,006,561</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3.58</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">4,515,576</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">6,245,328</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.77</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">22,253,850</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">22,313,511</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.92</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">Greater than five years</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">679,023,585</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">673,844,659</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">3.55</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">2,121,295</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">3,213,768</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.00</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">21,664,046</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">23,479,937</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.46</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 6pt;">Total</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">1,256,577,228</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">1,240,851,220</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3.56</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">6,636,871</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">9,459,096</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.50</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">76,851,522</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">78,714,613</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.83</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="margin-top: 0px; font: 10pt times new roman, times, serif; margin-bottom: 0px;" cellspacing="0" cellpadding="0">
<tr style="text-align: justify; vertical-align: top;">
<td style="width: 0in;"></td>
<td style="text-align: left; width: 0.25in;">(1)</td>
<td style="text-align: justify;">For purposes of this table, Other Securities represents the following Credit Investments held as of December 31, 2011, Non-Agency RMBS, ABS and CMBS.</td>
</tr>
</table>
<table style="margin-top: 0px; font: 10pt times new roman, times, serif; margin-bottom: 0px;" cellspacing="0" cellpadding="0">
<tr style="text-align: justify; vertical-align: top;">
<td style="width: 0in;"></td>
<td style="text-align: left; width: 0.25in;">(2)</td>
<td style="text-align: justify;">Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">For the year ended December 31, 2012, the Company sold forty-eight securities for total proceeds of $1.1 billion, inclusive of three unsettled securities as of December 31, 2012, recording realized gains of $25.5 million and realized losses of $1.8 million. For the period ended December 31, 2011, the Company sold nineteen securities for total proceeds of $824.8 million, recording realized gains of $7.4 million and realized losses of $2.5 million. See Note 6 for amounts realized on settlement of certain derivatives.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">As of December 31, 2012, the Company purchased a $2.5 million mezzanine loan with a stated maturity of seven years and an effective interest rate of 9.76% at par. This mezzanine loan is subordinate to senior debt, which is secured by a portfolio of hotel properties located in the U.S. and Canada.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>4. Fair Value Measurements </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">As described in Note 2, the fair value of financial instruments that are recorded at fair value will be determined by the Manager, subject to oversight of the Company’s board of directors, and in accordance with ASC 820, “Fair Value Measurements and Disclosures.” When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<table style="margin-top: 0pt; width: 100%; font: 10pt times new roman, times, serif; margin-bottom: 0pt;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: top;">
<td style="width: 30.6pt;"></td>
<td style="width: 18.35pt;">•</td>
<td>Level 1—Quoted prices in active markets for identical assets or liabilities.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<table style="margin-top: 0pt; width: 100%; font: 10pt times new roman, times, serif; margin-bottom: 0pt;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: top;">
<td style="width: 30.6pt;"></td>
<td style="width: 18.35pt;">•</td>
<td>Level 2—Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<table style="margin-top: 0pt; width: 100%; font: 10pt times new roman, times, serif; margin-bottom: 0pt;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: top;">
<td style="width: 30.6pt;"></td>
<td style="width: 18.35pt;">•</td>
<td>Level 3—Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Values for the Company’s securities, derivatives and loan portfolios are based upon prices obtained from third party pricing services, which are indicative of market activity. The evaluation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices such as the one-year constant maturity treasury and LIBOR, which are observable inputs. The evaluation also considers the underlying characteristics of each investment, which are also observable inputs, including: coupon; maturity date; loan age; reset date; collateral type; periodic and life cap; geography; and prepayment speeds. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date. If, in the opinion of the Manager, one or more prices reported to us are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In valuing its derivatives, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. All of the Company’s derivatives are subject to bilateral collateral arrangements. The Company also has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association, (“ISDA”). Consequently, no credit valuation adjustment was made in determining the fair value of derivatives.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The securities underlying the Company’s linked transactions are valued using similar techniques to those used for the Company’s securities portfolio. The value of the underlying security is then netted against the carrying amount (which approximates fair value) of the repurchase agreement at the valuation date. Additionally, TBA instruments are similar in form to the Company’s Agency RMBS portfolio, and the Company therefore estimates fair value based on similar methods.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="14">Fair Value at December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 1</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 2</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 3</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Total</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Assets:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Agency RMBS:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; width: 48%; font-size: 10pt;">15 Year Fixed Rate</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">1,248,210,196</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">1,248,210,196</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">20 Year Fixed Rate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">148,124,694</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">148,124,694</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">30 Year Fixed Rate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,143,738,095</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,143,738,095</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">ARM</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">38,175,754</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">38,175,754</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">Interest Only</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">207,618,412</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">207,618,412</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Credit Investments:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">Non-Agency RMBS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">297,127,840</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">255,043,557</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">552,171,397</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 0.25in; font-size: 10pt;">ABS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">33,937,097</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">33,937,097</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 0.25in; font-size: 10pt;">CMBS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">63,249,824</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">34,066,710</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">97,316,534</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 0.25in; font-size: 10pt;">Interest Only</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">67,736,601</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">67,736,601</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Commercial Mortgage Loans</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,500,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,500,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Linked transactions</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">37,820,486</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">6,425,683</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">44,246,169</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Total Assets Carried at Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">4,254,301,902</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">329,473,047</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">4,583,774,949</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Liabilities:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Derivative liabilities</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(36,375,947</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(36,375,947</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Total Liabilities Carried at Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(36,375,947</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(36,375,947</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the year ended December 31, 2012.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="14">Fair Value at December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 1</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 2</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 3</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Total</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Assets:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Agency RMBS:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; width: 48%; font-size: 10pt;">15 Year Fixed Rate</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">772,310,909</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">772,310,909</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">20 Year Fixed Rate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">237,586,837</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">237,586,837</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">30 Year Fixed Rate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">246,679,482</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">246,679,482</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">Interest Only</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6,636,871</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6,636,871</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Credit Investments:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Non-Agency RMBS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">30,380,046</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">28,407,005</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">58,787,051</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">CMBS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">13,537,851</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">13,537,851</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">ABS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,526,620</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,526,620</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Linked transactions</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,509,863</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">5,277,317</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">8,787,180</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Derivative assets</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,428,595</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,428,595</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Total Assets Carried at Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,312,070,454</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">38,210,942</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,350,281,396</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Liabilities:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Derivative liabilities</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,569,643</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,569,643</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Total Liabilities Carried at Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,569,643</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,569,643</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the period ended December 31, 2011.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following tables present additional information about the Company’s investments which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Year Ended</b></p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>December 31, 2012</b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Non-Agency RMBS</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">ABS</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">CMBS</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Linked Transactions</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 48%; font-size: 10pt;">Beginning balance</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">28,407,005</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">4,526,620</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">5,277,317</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Transfers (1):</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Transfers into level 3</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Transfers out of level 3</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Purchases</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">176,256,015</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">45,628,345</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">47,300,600</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">38,429,641</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Reclassification of security type (2)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">71,069,657</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">45,265,490</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(22,279,146</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Proceeds from sales</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(14,341,655</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(50,586,281</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(9,618,438</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Proceeds from settlement</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(22,445,875</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(2,804,996</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(9,787,975</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(8,554,534</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Total net gains/(losses) (3)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Included in net income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,756,755</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">928,783</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,874,876</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,170,843</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Included in other comprehensive income (loss)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Ending Balance</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">255,043,557</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">33,937,097</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">34,066,710</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">6,425,683</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Change in unrealized appreciation/depreciation for level 3 assets still held as of December 31, 2012 (4)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">1,756,756</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">143,876</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">207,785</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">51,083</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">(1) Transfers are assumed to occur at the beginning of the period.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">(2) Represents an accounting reclassification from a linked transaction to a real estate security due to event occurring which breaks the link.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 70%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 82%; font-size: 10pt;">Gain on linked transactions, net</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 15%; font-size: 10pt;">426,201</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Unrealized gain on real estate securities, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,485,756</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Interest income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,135</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Net realized gain</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">4,816,165</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">7,731,257</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font-family: times new roman, times, serif;" border="0" cellspacing="0" cellpadding="0">
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">(4) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 70%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 82%; font-size: 10pt;">Gain on linked transactions, net</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 15%; font-size: 10pt;">51,083</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unrealized gain on real estate securities, net</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">2,108,417</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">2,159,500</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Non-Agency RMBS</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">ABS</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Linked Transactions</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Beginning balance</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Transfers (1):</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Transfers into level 3</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Transfers out of level 3</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 61%; font-size: 10pt;">Purchases</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">43,057,466</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">4,999,406</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">6,758,730</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Reclassification of security type (2)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Proceeds from sales</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(6,276,906</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Proceeds from settlement</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(8,591,915</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(453,850</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(1,287,007</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Total net gains/ (losses) (3)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Included in net income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">218,360</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(18,936</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(194,406</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Included in other comprehensive income (loss)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Ending Balance</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">28,407,005</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,526,620</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">5,277,317</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Change in unrealized appreciation/depreciation for level 3 assets still held as of December 31, 2011 (4)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3,400</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">(18,936</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">(194,406</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(1) Transfers are assumed to occur at the beginning of the period.          </p>
<p style="text-align: left; margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(2) Represents an accounting reclassification from a linked transaction to a real estate security due to event occurring which breaks the link.</p>
<p style="margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:    </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 70%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 87%; font-size: 10pt;">Gain on linked transactions, net</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">(194,406</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Unrealized gain on real estate securities, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(65,270</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Interest income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">163,829</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Net realized gain</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">100,865</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">5,018</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font-family: times new roman, times, serif;" border="0" cellspacing="0" cellpadding="0">
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">(4) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 70%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 87%; font-size: 10pt;">Gain on linked transactions, net</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">(194,406</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unrealized gain on real estate securities, net</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(15,536</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">(209,942</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company did not have any transfers of assets or liabilities in or out of Level 3 of the fair value hierarchy during the year ended December 31, 2012 and for the period ended December 31, 2011.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;">Asset Class</font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"><font style="font-size: 7pt;">Fair Value at December 31, 2012</font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;">Valuation Technique</font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;">Unobservable Input</font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"><font style="font-size: 7pt;">Range <br />(Weighted Average)</font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 20%; font-size: 10pt;"><font style="font-size: 7pt;">Non-Agency RMBS</font></td>
<td style="width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; width: 1%; font-size: 10pt;"><font style="font-size: 7pt;">$</font></td>
<td style="text-align: right; width: 17%; font-size: 10pt;"><font style="font-size: 7pt;">255,043,557</font></td>
<td style="text-align: left; width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; width: 19%; font-size: 10pt;"><font style="font-size: 7pt;">Discounted Cash Flow</font></td>
<td style="width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; width: 19%; font-size: 10pt;"><font style="font-size: 7pt;">Yield</font></td>
<td style="width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; width: 17%; font-size: 10pt;"><font style="font-size: 7pt;">4.43% - 9.60% (5.90%)</font></td>
<td style="text-align: left; width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Prepayments</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">1.00% - 9.00% (4.41%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Losses</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.20% - 16.00% (2.03%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Severities</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">40.00% - 75.00% (55.27%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;">ABS</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">$</font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">33,937,097</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Discounted Cash Flow</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Yield</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">4.66% - 7.05% (5.77%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Prepayments</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">20.00% - 100.00% (59.72%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Losses</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 0.00% (0.00%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Severities</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 0.00% (0.00%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;">CMBS</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">$</font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">34,066,710</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Discounted Cash Flow</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Yield</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">2.23% - 5.76% (5.05%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Prepayments</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 0.00% (0.00%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Losses</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 0.00% (0.00%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Severities</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 0.00% (0.00%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Linked Transactions*</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">$</font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">6,425,683</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Discounted Cash Flow</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Yield</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">4.14% - 10.93% (5.59%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Prepayments</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 25.00% (0.94%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Losses</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 35.00% (16.25%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Severities</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 65.00% (34.32%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font-family: times new roman, times, serif;" border="0" cellspacing="0" cellpadding="0">
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">*Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS and CMBS investments.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>  </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">As further described above, values for the Company’s securities portfolio are based upon prices obtained from third party pricing services. Broker quotations may also be used. The significant unobservable inputs used in the fair value measurement of the Company’s Non-Agency RMBS and CMBS classified as a component of Linked Transactions are prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>5. Repurchase Agreements </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company pledges certain real estate securities as collateral under repurchase agreements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a “haircut.” Repurchase agreements entered into by the Company are accounted for as financings and require the repurchase of the transferred securities at the end of each agreement’s term, typically 30 to 90 days. The carrying amount of the Company’s repurchase agreements approximates fair value as the debt is short-term in nature. The Company maintains the beneficial interest in the specific securities pledged during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the repurchase agreement at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty or repay that counterparty and negotiate financing with a different counterparty. In response to declines in fair value of pledged securities due to changes in market conditions or the publishing of monthly security paydown factors, lenders typically require the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, referred to as margin calls. Under the terms of the Company’s master repurchase agreements, the counterparties may, in certain cases, sell or re-hypothecate the pledged collateral.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information regarding the Company’s repurchase agreements as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 95%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Repurchase Agreements Maturing Within:</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Balance</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Haircut</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 61%; font-size: 10pt;">30 days or less</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">2,242,856,547</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.71</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">7.28</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">31-60 days</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">783,969,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.52</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4.04</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">61-90 days</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">547,416,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.57</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3.49</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Greater than 90 days</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">337,178,271</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.30</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">11.95</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total / Weighted Average</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3,911,419,818</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6.50</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information regarding the Company’s repurchase agreements as of December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 95%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Repurchase Agreements Maturing Within:</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Balance</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Haircut</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 61%; font-size: 10pt;">30 days or less</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">681,035,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.40</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">5.30</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">31-60 days</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">336,574,407</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.43</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4.89</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">61-90 days</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">132,540,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.52</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">7.26</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Greater than 90 days</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"></td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total / Weighted Average</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">1,150,149,407</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.42</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">5.41</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Although repurchase agreements are committed borrowings until maturity, the lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or cash to fund margin calls. The following table presents information with respect to the Company’s posting of collateral at December 31, 2012 and December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 70%; font-size: 10pt;">Repurchase agreements secured by Agency RMBS</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">3,346,676,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">1,105,167,407</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Fair Value of Agency RMBS pledged as collateral under repurchase agreements</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,489,393,062</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,175,091,729</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Repurchase agreements secured by Non-Agency RMBS, ABS and CMBS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">564,743,818</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">44,982,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Fair Value of Non-Agency RMBS, ABS and CMBS pledged as collateral under repurchase agreements</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">711,699,379</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">54,500,705</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Cash pledged (i.e., restricted cash) under repurchase agreements</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,500,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">189,054</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company seeks to transact with several different counterparties in order to reduce the exposure to any single counterparty. As of December 31, 2012 and December 31, 2011, the Company has entered into master repurchase agreements (“MRAs”) with 30 and 21 counterparties, under which the Company had outstanding debt from 29 and 16 counterparties, respectively. At December 31, 2012 and December 31, 2011 the Company did not have greater than 10% of stockholders’ equity at risk with any individual counterparty.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On April 9, 2012, AG MIT, LLC (“AG MIT”), a direct, wholly-owned subsidiary of the Company, entered into a Master Repurchase and Securities Contract (the “Repurchase Agreement”) with Wells Fargo Bank, National Association to finance the Company’s acquisition of certain residential, Non-Agency RMBSs. Each transaction under the Repurchase Agreement will have its own specific terms, such as identification of the assets subject to the transaction, sale price, repurchase price and rate. The Repurchase Agreement provides for a 364-day facility with an aggregate maximum borrowing capacity of $75.0 million and is set to mature on April 8, 2013, and may be extended for an additional 90 days. As of December 31, 2012, the Company had $75.0 million of debt outstanding under this Repurchase Agreement.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In connection with the Repurchase Agreement, the Company entered into a guarantee agreement under which the Company has fully guaranteed all of AG MIT’s payment and performance obligations under the Repurchase Agreement. The Repurchase Agreement contains representations, warranties, covenants, events of default and indemnities that are customary for agreements of this type. The Repurchase Agreement also contains financial covenants that require, as of the last business day of each quarter and on any funding date, the Company and AG MIT to maintain (i) their Total Indebtedness to their Adjusted Tangible Net Worth at a ratio less than the Leverage Ratio; (ii) an Adjusted Tangible Net Worth of not less than $185.0 million; and (iii) at all times, Liquidity of not less than $20.0 million and unrestricted cash of not less than $5.0 million.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">As discussed in Note 2, for any transactions determined to be linked, the initial transfer and repurchase financing will be recorded as a forward commitment to purchase assets. At December 31, 2012 and December 31, 2011, the Company had repurchase agreements of $282.3 million and $39.2 million, respectively, that were accounted for as linked. These linked repurchase agreements are not included in the above tables. See Note 6 for details.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>6. Derivatives </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company’s derivatives currently include interest rate swaps (“swaps”), to-be-announced forward contracts on specified Agency pools (“TBAs”), and linked transactions. The Company also utilized credit derivatives during the period ended December 31, 2011, which were settled for a net realized loss of $2.3 million. Derivatives have not been designated as hedging instruments. The Company has also entered into non-derivative instruments to manage interest rate risk, including Agency IO securities.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents the fair value of the Company’s derivative instruments and their balance sheet location at December 31, 2012 and December 31, 2011.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; font-size: 10pt; font-weight: bold;">Derivative Instrument</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Designation</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Balance Sheet Location</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 32%; font-size: 10pt;">Interest rate swaps, at fair value</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: center; width: 15%; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: center; width: 31%; font-size: 10pt;">Derivative liabilities, at fair value</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 15%; font-size: 10pt;">(36,238,250</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">TBAs</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Derivative liabilities, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(137,697</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Linked transactions, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Linked transactions, net, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">44,246,169</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; font-size: 10pt; font-weight: bold;">Derivative Instrument</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Designation</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Balance Sheet Location</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 32%; font-size: 10pt;">Interest rate swaps, at fair value</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: center; width: 15%; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: center; width: 31%; font-size: 10pt;">Derivative liabilities, at fair value</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 15%; font-size: 10pt;">(7,396,590</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">TBAs, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Derivative assets, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,428,595</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">TBAs, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Derivative liabilities, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(511,718</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Linked transactions, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Linked transactions, net, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">8,787,180</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table summarizes information related to derivatives:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 95%; border-collapse: collapse; font: 10pt times new roman, times, serif; margin-left: 0.25in;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Non-hedge derivatives</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; width: 65%; font-size: 10pt;">Notional amount of Interest Rate Swap Agreements (1)</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">2,166,025,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">793,025,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Net notional amount of TBAs</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">40,000,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">100,000,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Notional amount of Linked Transactions (2)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">349,775,342</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">54,035,772</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font-family: times new roman, times, serif;" border="0" cellspacing="0" cellpadding="0">
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-left: 0.25in; font-size: 10pt;">(1) Includes forward starting swaps with a notional of $100.0 million as of December 31, 2012 and $0.0 million as of December 31, 2011.</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-left: 0.25in; font-size: 10pt;">(2) This represents the current face of the securities comprising linked transactions.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-indent: -24.5pt; margin: 0pt 0px 0pt 24.45pt; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table summarizes gains (losses) related to derivatives:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font: bold 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: center; font: bold 10pt times new roman, times, serif; color: black;" colspan="2">Year Ended</td>
<td style="font: bold 10pt times new roman, times, serif; color: black;"> </td>
<td style="font: bold 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: center; font: bold 10pt times new roman, times, serif; color: black;" colspan="2">For the Period Ended</td>
<td style="font: bold 10pt times new roman, times, serif; color: black;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font: bold 10pt times new roman, times, serif; color: black;"> </td>
<td style="border-bottom: black 1pt solid; font: bold 10pt times new roman, times, serif; color: black;">Statement of Operations Location</td>
<td style="padding-bottom: 1pt; font: bold 10pt times new roman, times, serif;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font: bold 10pt times new roman, times, serif;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font: bold 10pt times new roman, times, serif;"> </td>
<td style="padding-bottom: 1pt; font: bold 10pt times new roman, times, serif;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font: bold 10pt times new roman, times, serif;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font: bold 10pt times new roman, times, serif;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Non-hedge derivatives gain (loss):</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; padding-left: 5.4pt; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; text-indent: 20pt; padding-left: 5.4pt; width: 32%; font: 10pt times new roman, times, serif; color: black;">Interest rate swaps</td>
<td style="width: 1%; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; width: 35%; font: 10pt times new roman, times, serif; color: black;">Unrealized loss on derivative instruments, net</td>
<td style="width: 1%; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; width: 1%; font: 10pt times new roman, times, serif; color: black;">$</td>
<td style="text-align: right; width: 13%; font: 10pt times new roman, times, serif; color: black;">(23,043,671</td>
<td style="text-align: left; width: 1%; font: 10pt times new roman, times, serif; color: black;">)</td>
<td style="width: 1%; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; width: 1%; font: 10pt times new roman, times, serif; color: black;">$</td>
<td style="text-align: right; width: 13%; font: 10pt times new roman, times, serif; color: black;">(7,396,590</td>
<td style="text-align: left; width: 1%; font: 10pt times new roman, times, serif; color: black;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Interest rate swaps</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Net realized gain</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">(332,127</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;">)</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">-</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">TBAs</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Unrealized loss on derivative instruments, net</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">(1,042,855</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;">)</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">905,160</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">TBAs</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Net realized gain</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">1,774,492</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">1,042,651</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Linked transactions</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Gain/(loss) on linked transactions, net</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">20,014,654</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">(808,564</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Linked transactions</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Net realized gain</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">4,968,679</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">(10,763</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Credit derivatives</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Net realized gain</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">-</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">(2,290,560</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;">)</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Interest Rate Swaps </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">To help mitigate exposure to higher short-term interest rates, the Company uses currently-paying and forward-starting, one- and three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements. This arrangement establishes a relatively stable fixed rate on related borrowings because the variable-rate payments received on the swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the swap agreements and actual borrowing rates.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents information about the Company’s interest rate swaps as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" nowrap="nowrap">Maturity</td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap">Notional Amount</td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap">Weighted Average<br />Pay Rate</td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap">Weighted Average<br />Receive Rate</td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap">Weighted Average<br />Years to Maturity</td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; width: 48%; color: black;">2014</td>
<td style="width: 1%; color: black;"> </td>
<td style="text-align: left; width: 1%; color: black;">$</td>
<td style="text-align: right; width: 10%; color: black;">204,500,000</td>
<td style="text-align: left; width: 1%; color: black;"> </td>
<td style="width: 1%; color: black;"> </td>
<td style="text-align: left; width: 1%; color: black;"> </td>
<td style="text-align: right; width: 10%; color: black;">1.000</td>
<td style="text-align: left; width: 1%; color: black;">%</td>
<td style="width: 1%; color: black;"> </td>
<td style="text-align: left; width: 1%; color: black;"> </td>
<td style="text-align: right; width: 10%; color: black;">0.332</td>
<td style="text-align: left; width: 1%; color: black;">%</td>
<td style="width: 1%; color: black;"> </td>
<td style="text-align: left; width: 1%; color: black;"> </td>
<td style="text-align: right; width: 10%; color: black;">1.54</td>
<td style="text-align: left; width: 1%; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; color: black;">2015</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">364,025,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.078</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.299</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">2.42</td>
<td style="text-align: left; color: black;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; color: black;">2016</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">367,500,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.077</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.297</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">3.36</td>
<td style="text-align: left; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; color: black;">2017</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">410,000,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.018</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.312</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">4.70</td>
<td style="text-align: left; color: black;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; color: black;">2018</td>
<td style="color: black;">*</td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">320,000,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.308</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.309</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">5.56</td>
<td style="text-align: left; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; color: black;">2019</td>
<td style="color: black;">*</td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">450,000,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.390</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.315</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">6.56</td>
<td style="text-align: left; color: black;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; padding-bottom: 1pt; color: black;">2022</td>
<td style="padding-bottom: 1pt; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; color: black;">50,000,000</td>
<td style="text-align: left; padding-bottom: 1pt; color: black;"> </td>
<td style="padding-bottom: 1pt; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; color: black;">1.685</td>
<td style="text-align: left; padding-bottom: 1pt; color: black;">%</td>
<td style="padding-bottom: 1pt; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; color: black;">0.311</td>
<td style="text-align: left; padding-bottom: 1pt; color: black;">%</td>
<td style="padding-bottom: 1pt; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; color: black;">9.68</td>
<td style="text-align: left; padding-bottom: 1pt; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: right; color: black;">Total/Wtd Avg</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;">$</td>
<td style="text-align: right; color: black;">2,166,025,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.172</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.309</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">4.42</td>
<td style="text-align: left; color: black;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: left; margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">* These figures include forward starting swaps with a total notional of $100.0 million and a weighted average start date of April 2, 2013. Weighted average rates shown are inclusive of rates corresponding to the terms of the swap as if the swap were effective as of December 31, 2012.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents information about the Company’s interest rate swaps as of December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Maturity</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Notional Amount</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Pay Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Receive Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Years to Maturity</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; width: 48%; font-size: 10pt;">2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">100,000,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.354</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.285</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.14</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; font-size: 10pt;">2013</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">182,000,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.535</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.286</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1.78</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; font-size: 10pt;">2014</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">204,500,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1.000</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.395</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2.54</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; font-size: 10pt;">2015</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">184,025,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1.412</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.380</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3.56</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; font-size: 10pt;">2016</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">87,500,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1.625</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.328</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4.63</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; padding-bottom: 1pt; font-size: 10pt;">2018</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">35,000,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.728</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">0.511</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">6.88</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; font-size: 10pt;">Total/Wtd Avg</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">793,025,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1.008</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.350</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2.72</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>TBAs </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company has entered into TBA positions to facilitate the future purchase of specified Agency RMBS. Pursuant to these TBAs, the Company agrees to purchase, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered would not be identified until shortly, generally two days, before the TBA settlement date. The Company records TBA purchases on the trade date and it presents the purchase net of the corresponding payable until the settlement date of the transaction. Contracts for the purchase or sale of specified Agency RMBS are accounted for as derivatives if the delivery of the specified Agency security and settlement extends beyond the shortest period possible for that type of security.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents information about the Company’s TBAs for the year ended December 31, 2012 and the period ended December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="text-align: center; color: black; font-weight: bold;" colspan="33"><font style="font-size: 8pt;">For the Year Ended December 31, 2012</font></td>
</tr>
<tr style="vertical-align: bottom;">
<td nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Beginning<br />Notional<br />Amount</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Additions</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Sale or<br />Settlement</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Ending Net<br />Notional<br />Amount</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Net Fair Value <br />as of Period End</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Net Payable to<br />Broker</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Derivative <br />Asset</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Derivative <br />Liability</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="color: black;"><font style="font-size: 8pt;">TBAs</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">100,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">660,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">(720,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">)</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">40,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">41,723,436</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">(41,861,133</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">)</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">-</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">(137,697</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">)</font></td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="text-align: center; color: black; font-weight: bold;" colspan="33"><font style="font-size: 8pt;">For the Period Ended December 31, 2011</font></td>
</tr>
<tr style="vertical-align: bottom;">
<td nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Beginning<br />Notional<br />Amount</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Additions</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Sale or<br />Settlement</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Ending Net <br />Notional <br />Amount</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Net Fair Value <br />as of Period End</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Net Payable to <br />Broker</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Derivative <br />Asset</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Derivative <br />Liability</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="color: black;"><font style="font-size: 8pt;">TBAs</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">-</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">275,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">(175,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">)</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">100,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">104,708,010</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">(103,791,133</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">)</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">1,428,595</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;">(511,718</td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">) </font></td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Linked Transactions </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">As discussed in Note 2, when the initial transfer of a financial asset and repurchase financing are entered into contemporaneously with, or in contemplation of, one another, the transaction will be considered linked unless all of the criteria found in ASC 860-10 are met at the inception of the transaction. If the transaction is determined to be linked, we will record the initial transfer and repurchase financing on a net basis and record a forward commitment to purchase assets as a derivative instrument with changes in market value being recorded on the consolidated statement of operations. The fair value of linked transactions reflects the value of the underlying Non-Agency RMBS, ABS and CMBS security’s fair market value netted with the respective linked repurchase agreement borrowings. Certain of our Linked Transactions became unlinked during the periods presented. For the year ended December 31, 2012, and at the time of unlinking, the Company had Non-Agency RMBS and CMBS with security fair values of $161.7 million and $45.3million, respectively, and related repurchase agreement borrowings secured by Non- Agency RMBS and CMBS of $131.7 million and $37.2 million, respectively, were unlinked. For the year ended December 31, 2012, the Company had net realized gains of $3.4 million, respectively, from the unlinking of Linked Transactions. No transactions became unlinked for the period ended December 31, 2011.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information related to the securities accounted for as part of linked transactions for the year ended December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="14">For the Year Ended December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;">Instrument</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Current Face</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Net Interest Income</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Unrealized Gain/(Loss)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Net Realized Gain</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amount Included in Statement of Operations</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Life</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 19%; font-size: 6pt;">Non-Agency RMBS</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">335,905,342</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">305,634,794</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">313,846,243</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">9,238,720</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">9,786,473</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">2,266,068</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">21,291,261</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">4.84</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">%</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">6.53</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 6pt;">ABS</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 6pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 6pt; font-weight: bold;">-</td>
<td style="text-align: left; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">230,160</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">134,178</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">1,041,444</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">1,405,782</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 6pt;">CMBS</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">13,870,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">12,814,226</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">12,743,380</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">695,969</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">(70,846</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">1,661,167</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">2,286,290</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">3.56</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">6.73</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: right; padding-bottom: 1pt; font-size: 6pt;">Total</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">349,775,342</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">318,449,020</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">326,589,623</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">10,164,849</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">9,849,805</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">4,968,679</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">24,983,333</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">4.79</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">6.54</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information related to the securities accounted for as part of linked transactions for the period ended December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="14">For the Period Ended December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;">Instrument</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Current Face</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Net Interest Income</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Unrealized Gain/(Loss)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Net Realized Gain</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amount Included in Statement of Operations</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Life</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 19%; font-size: 6pt;">Non-Agency RMBS</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">37,535,772</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">33,156,290</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">31,581,265</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">657,612</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">(1,575,024</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">)</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">(917,412</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">)</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">5.80</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">%</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">4.10</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 6pt;">ABS</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">16,500,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">16,494,093</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">16,359,915</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">243,027</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">(134,179</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">(10,763</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">98,085</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">4.72</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.00</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; padding-bottom: 1pt; font-size: 6pt;">Total</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">54,035,772</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">49,650,383</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">47,941,180</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">900,639</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">(1,709,203</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">(10,763</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">(819,327</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.47</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">4.38</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information related to the repurchase agreements accounted for as a part of linked transactions as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Instrument</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Repurchase Agreement</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Interest Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Years to Maturity</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 61%; font-size: 10pt;">Non-Agency RMBS</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">272,755,454</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">1.87</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.04</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;">CMBS</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,588,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.21</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">0.06</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">282,343,454</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.85</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">0.04</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information related to the repurchase agreements accounted for as a part of linked transactions as of December 31, 2011:</p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Instrument</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Repurchase Agreement</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Interest Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Years to Maturity</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 61%; font-size: 10pt;">Non-Agency RMBS</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">27,088,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">1.92</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.03</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;">CMBS</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">12,066,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.52</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">0.01</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">39,154,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.80</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">0.02</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
</table>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">At December 31, 2012, the Company had real estate securities with a fair value of $47.5 million and restricted cash of $6.3 million pledged as collateral against its derivatives. The Company also pledged assets accounted for within linked transactions with a fair value of $326.6 million as collateral against the related linked repurchase agreements. At December 31, 2011, the Company had real estate securities with a fair value of $11.1 million and restricted cash of $0.5 million pledged as collateral against its derivatives. The Company also pledged assets accounted for within linked transactions with a fair value of $47.9 million as collateral against the related linked repurchase agreements. The Company reduces credit risk on the majority of its derivative instruments by entering into agreements that permit the closeout and netting of transactions with the same counterparty upon occurrence of certain events.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>7. Earnings per Share </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Basic earnings per share (“EPS”) is calculated by dividing net income (loss) available to common stockholders for the period by the weighted- average shares of the Company’s common stock outstanding for that period that participate in dividends. Diluted EPS takes into account the effect of dilutive instruments, such as stock options, warrants and unvested restricted stock, but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">As of December 31, 2012 and December 31, 2011, the Company’s warrants and unvested shares of restricted common stock were as follows:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 74%; font-size: 10pt;">Warrants</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">1,642,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">3,205,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Restricted stock granted to<font style="font: 10pt times new roman, times, serif; color: black;"> the Manager </font></td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">23,480</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">40,250</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Restricted stock granted to<font style="font: 10pt times new roman, times, serif; color: black;"> the independent directors</font></td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Each warrant entitles the holder to purchase half a share of the company’s common stock at a fixed price upon exercise of the warrant. During the year ended December 31, 2012, the average market value per share of the Company’s common stock was above the exercise price of the warrants, and therefore the warrants are included in the Company’s diluted weighted average shares outstanding in accordance with ASC 260. During the period ended December 31, 2011, the Company assumed that no warrants would be exercised as the weighted average market value per share of the Company’s common stock was below the strike price of the warrants, and the warrants were therefore not included in the Company’s diluted weighted average shares outstanding. Shares of restricted stock held by the Manager and independent directors accrue dividends but are not paid until vested and are therefore not considered to be participating shares. The dilutive effects of these shares are only included in diluted weighted average shares outstanding.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b> </b> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the year ended December 31, 2012 and for the period from March 7, 2011 to December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 90%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;" colspan="2"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Period from</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Year Ended</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">March 7, 2011
to</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Numerator:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; width: 60%; font-size: 10pt;">Net income available to common stockholders for basic and diluted earnings per share</td>
<td style="padding-bottom: 1pt; width: 1%; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; width: 12%; font-size: 10pt;">130,798,907</td>
<td style="text-align: left; padding-bottom: 1pt; width: 1%; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; width: 1%; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; width: 12%; font-size: 10pt;">18,970,696</td>
<td style="text-align: left; padding-bottom: 1pt; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Denominator:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Basic weighted average common shares outstanding</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">18,167,227</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">5,933,839</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Dilutive effect of manager and director restricted stock and warrants</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">59,833</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">91</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Dilutive weighted average common shares outstanding</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">18,227,060</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">5,933,930</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Basic Earnings Per Share of Common Stock:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">7.20</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3.20</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr
style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Diluted Earnings Per Share of Common Stock:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">7.18</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3.20</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details dividends paid on the Company’s common stock:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">2012</td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;" colspan="2"> </td>
<td style="font-size: 10pt;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Declaration Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Record Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Payment Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Dividend Per Share</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; width: 25%; font-size: 10pt;">3/14/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 24%; font-size: 10pt;">3/30/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 24%; font-size: 10pt;">4/27/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 22%; font-size: 10pt;">0.70</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: right; font-size: 10pt;">6/7/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6/29/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">7/27/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; font-size: 10pt;">9/6/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">9/18/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">10/26/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.77</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: right; font-size: 10pt;">12/6/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">12/18/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1/28/2013</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.80</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">2011</td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;" colspan="2"> </td>
<td style="font-size: 10pt;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Declaration Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Record Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Payment Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Dividend Per Share</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; width: 25%; font-size: 10pt;">9/19/2011</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 24%; font-size: 10pt;">9/30/2011</td>
<td style="width: 1%;
font-size: 10pt;"> </td>
<td style="text-align: right; width: 24%; font-size: 10pt;">10/27/2011</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 22%; font-size: 10pt;">0.40</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: right; font-size: 10pt;">12/14/2011</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">12/30/2011</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1/27/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details dividends paid on the Company’s preferred stock:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 90%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Dividend</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Declaration Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Record Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Payment Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Dividend Per Share</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 20%; font-size: 10pt;">8.25% Series A</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 19%; font-size: 10pt;">8/16/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 19%; font-size: 10pt;">8/31/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 19%; font-size: 10pt;">9/17/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 17%; font-size: 10pt;">0.2521</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">8.25% Series A</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">11/16/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">11/30/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">12/17/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.51563</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">8.00% Series B</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">11/16/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">11/30/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">12/17/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.44</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>8. Income Taxes </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">As a REIT, the Company is not subject to Federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. Most states recognize REIT status as well.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">For the year ended December 31, 2012, the Company elected to satisfy the REIT distribution requirements in part with a dividend to be paid in 2013. In conjunction with this, we accrued an excise tax of $1.7 million, which is included in the excise tax line item on the accompanying consolidated statements of operations.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">For the period ended December 31, 2011, the Company elected to satisfy the REIT distribution requirements in part with a dividend to be paid in 2012. In conjunction with this, the Company accrued an excise tax of $0.1 million, which is included in the excise tax line item on the accompanying consolidated statements of operations.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company files tax returns in several U.S jurisdictions. There are no ongoing federal, state and local tax examinations.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company has elected to treat AG MIT II, LLC, AG MITT RMAT 2013, LLC and AG MITT RMAT 2013 II, LLC as TRSs and may elect to treat other subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly, and generally may engage in any real estate or non-real estate-related business. A TRS is subject to federal, state and local corporate income taxes.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Cash distributions declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a distribution is designated by the Company as a capital gain dividend. Distributions in excess of the Company’s current and accumulated earnings and profits will be characterized as return of capital or capital gains. For the year ended December 31, 2012, 13.51% of income distributed in the form of common and preferred dividends has been characterized as capital gains and 86.49% has been characterized as ordinary income. For the period ended December 31, 2011, all income distributed was in the form of common dividends and were characterized as ordinary income.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Based on the Company’s analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of December 31, 2012 and December 31, 2011. The Company’s federal income tax return for the 2012 and 2011 tax years are open to examination by the Internal Revenue Service. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>9. Related Party Transactions </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company has entered into a management agreement with the Manager, which provides for an initial term through June 30, 2014, and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights. The Company is externally managed and advised by the Manager. Pursuant to the terms of the management agreement, which became effective July 6, 2011 (upon the consummation of the Company’s IPO), the Manager provides the Company with its management team, including its officers, along with appropriate support personnel. Each of the Company’s officers is an employee of Angelo, Gordon. The Company does not have any employees. The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to Angelo, Gordon the overall responsibility its day-to-day duties and obligations arising under the Company’s management agreement.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Management fee </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Manager will be entitled to a management fee equal to 1.50% per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity. For purposes of calculating the management fee, “Stockholders’ Equity” means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements.</p>
<p style="text-align: left; margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">For the year ended December 31, 2012 and for the period from March 7, 2011 to December 31, 2011, the Company incurred management fees of $6.4 million and $1.5 million, respectively.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Termination fee</b></p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b></b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The termination fee, payable for the Company’s termination of the management agreement without cause or the Manager’s termination of the management agreement upon a default in the performance of any material term of the management agreement, will be equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of December 31, 2012 and December 31, 2011, no event of termination of the management agreement had occurred.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Expense reimbursement </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence and other services. The Company’s reimbursement obligation is not subject to any dollar limitation. The Company will not reimburse the Manager for the salaries and other compensation of its personnel except that the Company will be responsible for expenses incurred by the Manager in employing the Company’s chief financial officer, general counsel and other employees as further described below.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company will reimburse the Manager or its affiliates for the allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of his time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of his time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs. In their capacities as officers or personnel of the Manager or its affiliates, they will devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business. For the year ended December 31, 2012 and for the period ended December 31, 2011, the Company expensed into Other operating expenses $2.2 million and $0.0 million,
respectively, of reimbursable expenses payable to the Manager. The Manager waived its right to receive $2.2 million and $1.9 million of expense reimbursement for the year ended December 31, 2012 and the period ended December 31, 2011, respectively.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Restricted stock grants </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On July 6, 2011 (the date of consummation of the IPO), the Company entered into (i) a restricted stock award agreement with the Manager under the Manager Equity Incentive Plan, pursuant to which the Manager received 40,250 shares of the Company’s common stock, which vest ratably on a quarterly basis over a three-year period that began on October 1, 2011 and (ii) restricted stock award agreements with our independent directors under the Equity Incentive Plan, pursuant to which each of the independent directors received 1,500 shares of the Company’s common stock that vest in equal installments over three years on each annual anniversary of the grant date.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The total number of shares that may be made subject to awards under our Manager Equity Incentive Plan and our Equity Incentive Plan will be equal to 277,500 shares. Awards under our equity incentive plans are forfeitable until they become vested. An award will become vested only if the vesting conditions set forth in the award agreement (as determined by the board of directors or the compensation committee, as applicable) are satisfied. The vesting conditions may include performance of services for a specified period, achievement of performance goal, or a combination of both. The board of directors or the compensation committee, as applicable, also has authority to provide for accelerated vesting upon the occurrence of certain events.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company also pays a $60,000 annual base director’s fee to each independent director. Base director’s fees are paid 50% in cash and 50% in restricted common stock. The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the fair market value of the Company’s common stock equal to the closing price thereof on the New York Stock Exchange on the last business day of each fiscal quarter. To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares. All directors’ fees are paid pro rata (and restricted stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable. These shares may not be sold or transferred during the time of service as an independent member of the Company’s board.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents information with respect to the Company’s restricted stock for the year ended December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif; margin-left: 1in;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Shares of Restricted Stock</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Grant Date Fair Value (1)</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 64%; font-size: 10pt;">Outstanding at beginning of period</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 15%; font-size: 10pt;">47,854</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 15%; font-size: 10pt;">19.96</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Granted</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">5,644</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">21.24</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Cancelled/forfeited</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Outstanding at end of year</td>
<td style="padding-bottom: 1pt; font-size:
10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">53,498</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">20.09</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unvested at end of year</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">27,480</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">20.00</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px 0pt 1in; font: 10pt times new roman, times, serif;">(1) The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents information with respect to the Company’s restricted stock for the period ended December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Shares of Restricted Stock</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Grant Date Fair Value (1)</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Outstanding at beginning of period</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; width: 64%; font-size: 10pt;">Granted</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 15%; font-size: 10pt;">47,854</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 15%; font-size: 10pt;">19.96</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Cancelled/forfeited</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Outstanding at end of year</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">47,854</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">19.96</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unvested at end of year</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">42,896</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">20.00</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times,
serif;">  </p>
<p style="margin: 0pt 0px 0pt 0.85in; font: 10pt times new roman, times, serif;">(1) The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date.</p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">For the year ended December 31, 2012 and for the period from March 7, 2011 to December 31, 2011, 21,060 and 4,958 shares of total restricted stock vested, respectively.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">At December 31, 2012, the Company had unrecognized compensation expense of $0.5 million related to the unvested shares of restricted common stock. The Company had accrued dividends payable of $18,784 on unvested shares of restricted stock granted to an affiliate at December 31, 2012. The total fair value of restricted shares vested for the year ended December 31, 2012 and the period ended December 31, 2011was approximately $0.4 million and 0.1 million, respectively, based on the closing price of the stock on the vesting date. The unrecognized compensation expense at December 31, 2012 is expected to be recognized over a weighted average period of 18 months.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company capitalized equity based compensation expense of $0.5 million and $0.2 million during year ended December 31, 2012 and for the period from March 7, 2011 to December 31, 2011, respectively, associated with the amortization of restricted stock.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Offering and organization costs </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company’s obligation to pay for the expenses incurred in connection with its formation, the offering and the concurrent private placement was capped at 1% of the total gross proceeds from the IPO and the concurrent private placement or approximately $2.0 million when the underwriters exercised their overallotment option, which occurred on July 20, 2011. The Manager has paid expenses incurred above this 1% cap. The Manager incurred $1.0 million of offering costs that will not be reimbursed.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>10. Equity </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On June 29, 2011, the Company entered into (i) a binding underwriting agreement with a group of underwriters to sell 5,500,000 shares of the Company’s common stock for $20.00 per share for an aggregate offering price of $110.0 million, (ii) a unit purchase agreement with the purchasers of units in a concurrent private placement to purchase 3,205,000 units at $20.00 per share, (iii) stock purchase agreements with AG Funds and two of the Company’s officers, to purchase in the aggregate 500,000 private placement shares of the Company’s common stock at $20.00 per share, (iv) a registration rights agreement with the purchasers of units in the private placement, AG Funds and two of its officers, and (v) an agreement with the Manager pursuant to which the Manager is entitled to receive a management fee and the reimbursement of certain expenses. See Note 9 for further detail on the management fee and expense reimbursement. The issuance of shares and subsequent receipt of cash related to the IPO and concurrent private placement were recorded upon settlement of the offering.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company completed its IPO and concurrent private placement on July 6, 2011, at which time all subscriptions were paid in cash and the Company issued 9,205,000 shares of common stock. Net proceeds to the Company were $182.3 million, net of issuance costs borne by the Company of approximately $1.8 million. As detailed below, on July 20, 2011, the underwriters exercised in part their over-allotment option to purchase 800,000 shares of the Company’s common stock at $20.00 per share. After such exercise, net proceeds to the Company increased to $198.1 million, net of total issuance costs borne by the Company of approximately $2.0 million. The Company’s obligation to pay for the expenses incurred in connection with its formation, the IPO and the concurrent private placement was capped at 1% of the total gross proceeds from the offering and concurrent private placement (or approximately $1.8 million, increasing to approximately $2.0 million when the underwriters exercised their overallotment option). The Manager paid the expenses incurred above this 1% cap. Additionally, the Manager agreed to pay the entire underwriting discount; therefore, no underwriting discount was borne by the Company.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On July 6, 2011, the Company entered into (i) warrant agreements with the purchasers of 3,205,000 units in the private placement, (ii) a restricted stock award agreement with the Company’s Manager under the Manager Equity Incentive Plan, pursuant to which the Manager received 40,250 shares of the Company’s common stock, and (iii) restricted stock award agreements with the Company’s independent directors under the Equity Incentive Plan, pursuant to which each of the independent directors received 1,500 shares of the Company’s common stock.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On July 20, 2011, pursuant to the terms of the underwriting agreement, dated June 29, 2011, between the Company, the Manager, Angelo, Gordon and Deutsche Bank Securities Inc., as representative of the several underwriters (the “Underwriters”), the Underwriters exercised in part their over-allotment option to purchase 800,000 shares of the Company’s common stock (the “Additional Shares”) at $20.00 per share. The over-allotment option to purchase up to an additional 825,000 shares of the Company’s common stock was granted in connection with the Company’s IPO of 5.5 million shares. The Company received proceeds of $16.0 million from the sale of the Additional Shares. At the completion of the offering, after giving effect to the partial exercise of the over-allotment option and the private placement, the Company sold a total of 10,005,000 shares of common stock and raised approximately $198.1 million in net proceeds.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Concurrently with the IPO, the Company offered a private placement of 3,205,000 units at $20.00 per share to a limited number of investors qualifying as “accredited investors” under Rule 501 of Regulation D promulgated under the Securities Act of 1933, as amended (the “Securities Act”). Each unit consisted of one share of common stock (“private placement share”) and a warrant (“private placement warrant”) to purchase 0.5 of a share of common stock. Each private placement warrant had an exercise price of $20.50 per share (as adjusted for stock splits, stock dividends, reorganizations, recapitalizations and the like), and was exercised as described below. The private placement shares and private placement warrants were immediately separated and were issued separately, but were purchased together in the private placement. Total proceeds from the private placement were $74.1 million, including 500,000 private placement shares sold to AG Funds and two of the Company’s officers.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company’s independent directors entered into a lock-up agreement under which they have agreed, subject to the terms and conditions of the lock-up agreement, not to sell the private placement shares, warrants or the shares of the Company’s common stock issuable upon exercise of the private placement warrants, which the Company refers to as the warrant shares, for 180 days from the closing of the private placement. AG Funds and two of the Company’s officers entered into a lock-up agreement under which they agreed, subject to the terms and conditions of the lock-up agreement, not to sell the private placement shares, warrants or warrant shares for two years from the closing of the private placement.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt
0px; font: 10pt times new roman, times, serif;">On January 24, 2012, the Company completed a follow-on offering of 5,000,000 shares of its common stock and subsequently issued an additional 750,000 shares of common stock pursuant to the underwriters’ over-allotment option at a price of $19.00 per share for aggregate gross proceeds of approximately $109.3 million. Net proceeds to the Company from the offering were approximately $104.0 million, net of issuance costs of approximately $5.3 million.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On July 13, 2012, the Company filed a shelf registration statement on Form S-3 with the SEC, offering up to $1.0 billion of capital stock. The registration statement was declared effective on July 20, 2012. At December 31, 2012, approximately $579.1 million of our capital stock was available for issuance under the registration statement.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On August 3, 2012, the Company completed a public offering of 1,800,000 shares of 8.25% Series A Cumulative Redeemable Preferred Stock and subsequently issued an additional 270,000 shares pursuant to the underwriters’ over- allotment option with a liquidation preference of $25.00 per share. The Company received total gross proceeds of approximately $51.8 million. Net proceeds to the Company from the offering were approximately $49.9 million, net of underwriting discounts, commissions and expenses. The Series A Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. Under certain circumstances upon a change of control, the Series A Preferred Stock is convertible to shares of our common stock. Holders of Series A Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a rate of 8.25% per annum of the $25.00 per share liquidation preference before holders of our common stock are entitled to receive any dividends. Shares of the Series A Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on August 3, 2017, or earlier under certain circumstances intended to preserve the Company’s qualification as a REIT for Federal income tax purposes. Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December. As of December 31, 2012, the Company had declared all required quarterly dividends on the Series A Preferred Stock.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On August 15, 2012, the Company completed a public offering of 6,000,000 shares of its common stock and simultaneously issued an additional 900,000 shares pursuant to the underwriters’ over-allotment option at a price of $23.29 per share. The Company received total gross proceeds of approximately $160.7 million. Net proceeds to the Company from the offering were approximately $152.7 million, net of underwriting discounts, commissions and expenses.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On September 6, 2012, the Company entered into an equity distribution agreement with each of Mitsubishi UFJ Securities (USA), Inc., JMP Securities LLC and Brinson Patrick Securities Corporation (the “Sales Agents”), which the Company refers to as the Equity Distribution Agreements, pursuant to which the Company may sell up to 3,000,000 shares of common stock from time to time through the Sales Agents, as defined in Rule 415 under the Securities Act of 1933. As of December 31, 2012, the Company had sold 89,466 shares of common stock through the Sales Agents for net proceeds of approximately $2.1 million.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On September 27, 2012, the Company completed a public offering of 4,000,000 shares of 8.00% Series B Cumulative Redeemable Preferred Stock and issued an additional 600,000 shares pursuant to the underwriters’ over-allotment option with a liquidation preference of $25.00 per share. The Company received total gross proceeds of approximately $115.0 million. Net proceeds to the Company from the offering were approximately $111.3 million, net of underwriting discounts, commissions and expenses. The Series B Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. Under certain circumstances upon a change of control, the Series B Preferred Stock is convertible to shares of our common stock. Holders of Series B Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a rate of 8.00% per annum of the $25.00 per share liquidation reference before holders of our common stock are entitled to receive any dividends. Shares of the Series B Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on September 27, 2017, or earlier under certain circumstances intended to preserve the Company’s qualification as a REIT for Federal income tax purposes. Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December. As of December 31, 2012, the Company had declared all required quarterly dividends on the Series B Preferred Stock.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On December 26, 2012, the Company completed a public offering of 3,750,000 shares of its common stock at a price of $24.33 per share. The Company received total gross proceeds of approximately $91.2 million. Net proceeds to the Company from the offering were approximately $87.5 million, net of underwriting discounts, commissions and expenses.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">For the year ended December 31, 2012, warrants were exercised by the cashless exercise option, which resulted in the issuance of 60,453 shares of common stock. No proceeds were received in connection with the exercise of the cashless option. For the year ended December 31, 2012, warrants were exercised by the cash
exercise option, which resulted in the issuance of 380,999 shares of common stock for proceeds to the Company of $7.8 million.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>11. Commitments and Contingencies </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management was not aware of any significant contingencies at December 31, 2012 and December 31, 2011.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> <b>12. Quarterly Results (Unaudited) </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Summarized quarterly results of operations were as follows:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="14">Quarter Ended</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">March 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">June 30, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">September 30, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Statement of Operations Data:</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">Net Interest Income</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; width: 40%; font-size: 10pt;">Interest income</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">13,996,628</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">17,883,008</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">28,285,116</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">36,211,940</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Interest expense</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,827,414</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">2,450,017</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">4,228,610</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">6,504,403</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">12,169,214</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">15,432,991</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">24,056,506</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">29,707,537</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">Other Income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Net realized gain</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,429,020</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">7,552,780</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,105,323</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">15,450,117</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Gain/(loss) on linked transactions, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,439,185</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,364,972</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6,688,111</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6,522,386</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Realized loss on periodic interest settlements of interest rate swaps, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(1,457,950</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(2,132,414</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(2,471,590</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(3,900,171</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Unrealized loss on derivative instruments, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(2,845,879</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(10,575,768</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(13,371,486</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,706,607</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unrealized gain/(loss) on real estate securities, net</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(755,552</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">33,593,211</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">45,917,570</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(26,683,774</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">808,824</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">31,802,781</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">40,867,928</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(5,904,835</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Expenses</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Management fee to affiliate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,049,294</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,196,383</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,657,701</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,510,065</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Other operating expenses</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">813,324</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">760,915</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,653,547</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,215,273</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Equity based compensation to affiliate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">87,329</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">104,771</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">120,612</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">87,488</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Excise tax</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">77,653</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">255,925</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">272,195</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,142,554</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">2,027,600</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">2,317,994</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">3,704,055</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">5,955,380</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt; font-weight: bold;">Net Income</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">10,950,438</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">44,917,778</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">61,220,379</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">17,847,322</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Dividends on preferred stock</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">790,100</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">3,346,910</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt; font-weight: bold;">Net Income Available to Common Stockholders</td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">10,950,438</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">44,917,778</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">60,430,279</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">14,500,412</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Share Data:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Earnings Per Share of Common Stock:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Basic</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.77</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">2.85</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3.13</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.62</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Diluted</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.77</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">2.85</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3.10</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.62</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Dividends Declared per Share of Common Stock</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.77</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.80</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Period from</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; padding-bottom: 1pt; font-size: 10pt; font-weight: bold;" colspan="2">March 7, 2011 to</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="6">Quarter Ended</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">June 30, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">September 30, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">Statement of Operations Data:</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">Net Interest Income</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 55%; font-size: 10pt;">Interest income</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">8,726,394</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">10,022,275</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Interest expense</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">590,247</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,106,097</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">8,136,147</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">8,916,178</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">Other Income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Net realized gain</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,291,139</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(589,747</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Gain/(loss) on linked transactions, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">204,727</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(1,013,291</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Realized loss on periodic interest settlements of interest rate swaps, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(986,502</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(1,175,788</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Unrealized loss on derivative instruments, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(6,562,093</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">70,663</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unrealized gain on real estate securities, net</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,694,455</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,346,237</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">6,641,726</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(1,361,926</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Expenses</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Management fee to affiliate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">742,557</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">770,341</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Other operating expenses</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">15,818</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">739,452</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">811,372</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Equity based compensation to affiliate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">78,822</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">97,343</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Excise tax</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">105,724</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">15,818</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,560,831</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,784,780</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt; font-weight: bold;">Net Income</td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">(15,818</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;">)</td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">13,217,042</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">5,769,472</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Dividends on preferred stock</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt; font-weight: bold;">Net Income Available to Common Stockholders</td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">(15,818</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;">)</td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">13,217,042</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">5,769,472</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Share Data:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Earnings Per Share of Common Stock:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Basic</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">NM</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">1.42</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.58</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Diluted</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">NM</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">1.41</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.58</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Dividends Declared per Share of Common Stock</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.40</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>13. Subsequent Events </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;">For the period from December 31, 2012 to February 28, 2013, warrants were exercised by the cashless exercise option, which resulted in the issuance of 11,154 shares of common stock. No proceeds were received in connection with the exercise of the cashless option. For the same period, warrants were exercised by the cash exercise option, which resulted in the issuance of 105,000 shares of common stock for proceeds to the Company of $2.2 million.</p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;">For the period from December 31, 2012 to February 28, 2013, the Company issued 352,500 shares of common stock under the Equity Distribution Agreements. Net proceeds to the Company were $8.8 million.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Cash and cash equivalents </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Cash is comprised of cash on deposit with financial institutions. We classify highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. We place our cash and cash equivalents with high credit quality institutions to minimize credit risk exposure.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Restricted cash </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Restricted cash includes cash pledged as collateral for clearing and executing trades, interest rate swaps and repurchase agreements. Restricted cash is carried at cost, which approximates fair value. Cash held by the Company as collateral is included in the due to broker line item on the consolidated balance sheet.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Offering and organization costs </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company incurred offering and organization costs in connection with arranging the Company’s initial public offering (“IPO”), subsequent follow-on offerings of its common stock and issuances of preferred stock. The offering and other organization costs were paid out of the proceeds of the respective offerings. Offering costs in connection with the common stock offerings have been accounted for as a reduction of additional paid-in-capital. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. Costs incurred to organize the Company have been expensed as incurred. The Company’s obligation to pay for organization and offering expenses incurred in connection with its IPO was capped at 1% of the total gross proceeds from the IPO and the concurrent private placement, and the Manager paid for such expenses incurred above the cap. See Note 9 for further details.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Use of estimates </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Earnings per share </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In accordance with the provisions of Accounting Standards Codification (“ASC”) 260, “Earnings per Share,” the Company calculates basic income per share by dividing net income (loss) available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants and unvested restricted stock, but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Valuation of financial instruments </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The fair value of the financial instruments that the Company records at fair value will be determined by the Manager, subject to oversight of the Company’s board of directors, and in accordance with ASC 820, “Fair Value Measurements and Disclosures.” When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below:</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><table style="margin-top: 0pt; width: 100%; font: 10pt times new roman, times, serif; margin-bottom: 0pt;" cellspacing="0" cellpadding="0"><tr style="vertical-align: top;"><td style="width: 30.6pt;"></td><td style="width: 18.35pt;">•</td><td>Level 1—Quoted prices in active markets for identical assets or liabilities.</td></tr><tr style="vertical-align: top;"><td> </td><td> </td><td> </td></tr></table><table style="margin-top: 0pt; width: 100%; font: 10pt times new roman, times, serif; margin-bottom: 0pt;" cellspacing="0" cellpadding="0"><tr style="vertical-align: top;"><td style="width: 30.6pt;"></td><td style="width: 18.35pt;">•</td><td>Level 2—Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.</td></tr><tr style="vertical-align: top;"><td> </td><td> </td><td> </td></tr></table><table style="margin-top: 0pt; width: 100%; font: 10pt times new roman, times, serif; margin-bottom: 0pt;" cellspacing="0" cellpadding="0"><tr style="vertical-align: top;"><td style="width: 30.6pt;"></td><td style="width: 18.35pt;">•</td><td>Level 3—Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available.</td></tr></table><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Transfers between levels are assumed to occur at the beginning of the reporting period.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Accounting for real estate securities </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Investments in real estate securities are recorded in accordance with ASC 320. The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. The real estate securities are recorded at fair market value on the consolidated balance sheet and the periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain on real estate securities, net.”</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">These investments generally meet the requirements to be classified as available for sale under ASC 320-10-25, “Debt and Equity Securities”, which requires the securities to be carried at fair value on the consolidated balance sheet with changes in fair value charged to other comprehensive income, a component of Stockholders’ Equity. Electing the fair value option allows the Company to record changes in fair value in the statement of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period as all securities activities will be recorded in a similar manner.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The cost of positions sold is calculated using a FIFO basis. Realized gains and losses on sales of real estate securities are recorded in earnings at the time of disposition.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Sales of securities </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Sales of securities are driven by the Manager’s portfolio management process. The Manager seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities with more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Realized gains or losses on sales of securities and derivatives, inclusive of linked transactions are included in the net realized gain line item on the consolidated statement of operations, and are recorded at the time of disposition. The cost of positions sold is calculated using a FIFO basis.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Accounting for loans</b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Investments in mortgage loans are recorded in accordance with ASC 310. The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Loans are recorded at fair market value on the consolidated balance sheet and any periodic change in fair market value will be recorded in current period earnings on the consolidated statement of operations. The loan portfolio had no unrealized gains or losses as of December 31, 2012 or December 31, 2011.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><font style="font-size: 10pt;">The Company amortizes or accretes any premium or discount over the life of the related loan utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether they are impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the amount of the loss accrual is calculated and recorded accordingly. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. <font style="font-family: times new roman, times, serif;">When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged.</font></font></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Investment consolidation </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting. A similar analysis will be performed for each entity with which the Company enters into an agreement for management, servicing or related services. In performing the analysis, the Company will refer to guidance in ASC 810-10, “Consolidation.” In situations where we are the transferor of financial assets, the Company will refer to the guidance in ASC 860-10 “Transfers and Servicing.”</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In variable interest entities, (“VIEs”), an entity is subject to consolidation under ASC 810-10 if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If we were to treat securitizations as sales in the future, we will analyze the transactions under the guidelines of ASC 810-10 for consolidation.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company may periodically enter into transactions in which it sells assets. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term “participating interest” to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of mortgage loans by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair values. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a “sale” and the loans will be removed from the balance sheet or as a “financing” and will be classified as “real estate securities” on the consolidated balance sheet, depending upon the structure of the securitization transaction. ASC 860-10 is a complex standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a “sale” or a “financing.”</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Interest income recognition </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Interest income on the Company’s real estate securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all securities accounted for under the fair value option (ASC 825). As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities in accordance with ASC 310-20 “Nonrefundable Fees and Other Costs”, ASC 320-10 “Investments—Debt and Equity Securities” or ASC 325-40 “Beneficial Interests in Securitized Financial Assets,” as applicable. Total interest income will flow though the interest income line item on the Consolidated Statement of Operations.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally, Agency RMBS), prepayments of the underlying collateral must be estimated, which directly affect the speed at which we amortize such securities. If actual and anticipated cash flows differ from previous estimates, we recognize a “catch-up” adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield through the reporting date.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Similarly, we also reassess the cash flows on at least a quarterly basis for securities accounted for under ASC 325-40 (generally, Non-Agency RMBS, ABS and CMBS). In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies. These include the rate and timing of principal and interest receipts, (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be judgmentally estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment as adjusted for credit impairment, if any.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Interest income on the Company’s loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all loans accounted for under the fair value option (ASC 825). Any amortization will be reflected as an adjustment to interest income in the consolidated statements of operations.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">For investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, we will apply the provisions of ASC 310-30 “Loans and Debt Securities Acquired with Deteriorated Credit Quality.” ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent increases in cash flows expected to be collected generally should be recognized prospectively through adjustment of the loan’s yield over its remaining life. Decreases in cash flows expected to be collected should be recognized as impairment.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company’s accrual of interest, discount and premium for U.S. federal and other tax purposes differs from the financial accounting treatment of these items as described above.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Repurchase agreements </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company finances the acquisition of certain assets within its portfolio through the use of repurchase agreements. Repurchase agreements are treated as collateralized financing transactions and are carried at primarily their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements approximates fair value as the debt is short-term in nature.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company pledges certain securities as collateral under repurchase arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in fair value of pledged securities, lenders may require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls. As of December 31, 2012 and December 31, 2011, the Company has met all margin call requirements.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In instances where the Company acquires assets through repurchase agreements with the same counterparty from whom the assets were purchased, the Company will evaluate such transactions in accordance with ASC 860-10. This standard requires the initial transfer of a financial asset and repurchase financing that are entered into contemporaneously with, or in contemplation of, one another to be considered linked unless all of the criteria found in ASC 860-10 are met at the inception of the transaction. If the transaction meets all of the conditions, the initial transfer shall be accounted for separately from the repurchase financing, and the Company will record the assets and the related financing on a gross basis on its balance sheet with the corresponding interest income and interest expense in the statements of operations. If the transaction is determined to be linked, the Company will record the initial transfer and repurchase financing on a net basis and record a forward commitment to purchase assets as a derivative instrument with changes in market value being recorded on the consolidated statement of operations. Such forward commitments are recorded at fair value with subsequent changes in fair value recognized in income.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Accounting for derivative financial instruments </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company may enter into derivative contracts, including interest rate swaps and interest rate caps, as a means of mitigating interest rate risk. The Company uses interest rate derivative instruments to mitigate interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, “Derivatives and Hedging.” ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. Additionally, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of December 31, 2012 and December 31, 2011, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">When derivative contracts are executed with the same counterparty, the value of the derivative contracts is reported on a net-by-counterparty basis on the balance sheet, where a legal right of off-set exists under an enforceable netting agreement. As a result, the net exposure to counterparties is reported as either an asset or liability on the consolidated balance sheet.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>To-be-announced securities </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">A to-be-announced security (“TBA”) is a futures contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. TBAs are exempt from ASC 815 and are accounted for under ASC 320 if there is no other way to purchase or sell that security, if delivery of that security and settlement will occur within the shortest period possible for that type of security and if it is probable at inception and throughout the term of the individual contract that physical delivery of the security will occur (referred to as the “regular-way” exception). Unrealized gains and losses associated with TBA contracts not subject to the regular-way exception or not designated as hedging instruments are recognized in our consolidated statement of operations in the line item “Unrealized loss on derivative instruments, net.”</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Manager compensation </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The management agreement provides for payment to the Manager of a management fee. The management fee is accrued and expensed during the period for which it is calculated and earned. For a more detailed discussion on the fees payable under the management agreement, see Note 9.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Income taxes </b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income as opposed to net income reported under GAAP in the financial statements. Taxable income, generally, will differ from net income reported on the financial statements because the determination of taxable income is based on tax provisions and not financial accounting principles.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company has elected to treat AG MIT II, LLC, AG MITT RMAT 2013, LLC and AG MITT RMAT 2013 II, LLC as taxable REIT subsidiaries, (“TRS”) and may elect to treat other subsidiaries at TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. While a TRS will generate net income, a TRS can declare dividends to the Company which will be included in the Company’s taxable income and necessitate a distribution to stockholders. Conversely, if we retain earnings at the TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A TRS is subject to federal, state and local corporate income taxes.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. If the Company were to fail to meet the REIT requirements, it would be subject to federal income taxes and applicable state and local taxes.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">As a REIT, if the Company fails to distribute in any calendar year at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company evaluates uncertain income tax positions, if any, in accordance with ASC Topic 740, “Income Taxes”. The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. See Note 8 for further details.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Stock-based compensation </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company will follow ASC 718, “Compensation—Stock Compensation” with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans. ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in financial statements. The cost is measured based on the fair value of the equity or liability instruments issued.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Compensation cost related to restricted common shares issued to the Company’s directors is measured at its estimated fair value at the grant date, and is amortized and expensed over the vesting period on a straight-line basis. Compensation cost related to restricted common shares issued to the Manager is initially measured at estimated fair value at the grant date, and is remeasured on subsequent dates to the extent the awards are unvested. The Company has elected to use the straight-line method to amortize compensation expense for the restricted common shares granted to the Manager.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Recent accounting pronouncements </b></p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In April 2011, the Financial Accounting Standards Board (the “FASB”) issued Accounting Standards Update 2011-03, “Reconsideration of Effective Control for Repurchase Agreements” (ASU 2011-03). ASU 2011-03 simplifies the accounting for financial assets transferred under repurchase agreements and similar arrangements, by eliminating the transferor’s ability criterion from the assessment of effective control over those assets. The guidance is effective for fiscal years and interim periods beginning after December 15, 2011. We do not believe that the adoption of the amended guidance will have a significant effect on our consolidated financial statements now or in the future.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In May 2011, the FASB issued Accounting Standards Update 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS” (ASU 2011-04). ASU 2011-04 amends Topic 820 and does not modify the requirements for when fair value measurements apply; rather, it clarifies the Board’s intent about the application of existing fair value measurement requirements, and changes to a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. For public entities, this guidance is effective for fiscal years and interim periods beginning after December 15, 2011. Early application by public entities is not permitted. We do not anticipate any material impact from this guidance now or in the future.</p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p><p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">In December 2011, the FASB issued Accounting Standards Updated 2011-11, “Disclosures about Offsetting Assets and Liabilities” (ASU 2011-11). ASU 2011-11 amends Topic 210 to require additional disclosure information about offsetting and related arrangements. Entities will be required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. This scope would include derivatives, sale and repurchase agreements and reverse sale and repurchase agreements. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of US GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards (IFRS). The guidance is effective for periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Company does not anticipate any material impact from this guidance.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details the real estate securities portfolio as of December 31, 2012:</p>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="6">Gross Unrealized (1)</td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="6">Weighted Average</td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Current Face</td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Premium (Discount)</td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Amortized Cost</td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Gains</td>
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<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Coupon (2)</td>
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<td style="text-align: left; font-size: 7pt;">Agency RMBS:</td>
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<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; width: 20%; font-size: 7pt;">15 Year Fixed Rate</td>
<td
style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">1,177,320,487</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">46,922,089</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">1,224,242,576</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">24,223,576</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">(255,956</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">)</td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">1,248,210,196</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="text-align: right; width: 7%; font-size: 7pt;">2.97</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">%</td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="text-align: right; width: 7%; font-size: 7pt;">2.08</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">20 Year Fixed Rate</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">137,858,353</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6,696,803</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">144,555,156</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3,569,538</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">148,124,694</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.68</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2.78</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">30 Year Fixed Rate</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">1,998,807,425</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">116,173,790</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2,114,981,215</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">32,180,328</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(3,423,448</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2,143,738,095</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.63</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2.75</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">ARM</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">36,228,319</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">1,584,714</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">37,813,033</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">362,721</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td
style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">38,175,754</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2.96</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2.34</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">Interest Only</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">972,543,812</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(763,342,056</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">209,201,756</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5,162,683</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(6,746,027</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">207,618,412</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6.00</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">7.00</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 7pt;">Credit Investments:</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-left: 18px; font-size: 7pt;">Non-Agency RMBS</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">634,277,808</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(87,414,086</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">546,863,722</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6,704,413</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(1,396,738</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">552,171,397</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">4.65</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.44</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-left: 18px; font-size: 7pt;">ABS</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">33,620,881</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(36,289</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size:
7pt;">33,584,592</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">352,505</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">33,937,097</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.34</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.44</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-left: 18px; font-size: 7pt;">CMBS</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">96,536,946</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(2,094,604</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">94,442,342</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2,956,780</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(82,588</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">97,316,534</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.51</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6.36</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 7pt;">Interest Only</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">640,867,674</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">(572,685,926</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">68,181,748</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">1,338,054</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">(1,783,201</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">67,736,601</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">2.13</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">5.50</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 7pt;">Total</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">5,728,061,705</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">(1,254,195,565</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">4,473,866,140</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">76,850,598</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">(13,687,958</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size:
7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">4,537,028,780</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.92</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.22</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: left; margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(1) We have chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain (loss) on real estate securities line item. The gross unrealized stated above represents inception to date unrealized gains (losses).</p>
<p style="text-align: left; margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(2) Equity residual investments with a zero coupon rate are excluded from this calculation.                    </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details the real estate securities portfolio as of December 31, 2011:</p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="font-size: 7pt;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="6">Gross Unrealized (1)</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="6">Weighted Average</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Current Face</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Premium (Discount)</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Gains</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Losses</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Coupon</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 7pt; font-weight: bold;" colspan="2">Yield</td>
<td style="padding-bottom: 1pt; font-size: 7pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 7pt;">Agency RMBS:</td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt;
font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 7pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 7pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; width: 20%; font-size: 7pt;">15 Year Fixed Rate</td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">738,344,948</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">22,525,476</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">760,870,424</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">11,486,386</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">(45,901</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">)</td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;">$</td>
<td style="text-align: right; width: 7%; font-size: 7pt;">772,310,909</td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="text-align: right; width: 7%; font-size: 7pt;">3.32</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">%</td>
<td style="width: 1%; font-size: 7pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 7pt;"> </td>
<td style="text-align: right; width: 7%; font-size: 7pt;">2.62</td>
<td style="text-align: left; width: 1%; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">20 Year Fixed Rate</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">227,566,114</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">7,362,001</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">234,928,115</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">2,658,722</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">237,586,837</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.69</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.00</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">30 Year Fixed Rate</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">232,890,169</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">12,162,512</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">245,052,681</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">1,626,801</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size:
7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">246,679,482</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.99</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.18</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 7pt;">Interest Only</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">43,505,596</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(34,046,500</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">9,459,096</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(2,822,225</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6,636,871</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.50</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.45</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 7pt;">Credit Investments:</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 7pt;">Non-Agency RMBS</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">64,710,290</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(4,601,272</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">60,109,018</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">9,545</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(1,331,512</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">58,787,051</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">5.96</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">6.31</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 7pt;">ABS</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">4,546,150</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">(28,590</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">4,517,560</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right;
font-size: 7pt;">9,060</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">-</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">4,526,620</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.68</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.69</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 7pt;">CMBS</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">19,500,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">(5,411,965</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">14,088,035</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">313,881</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">(864,065</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">13,537,851</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">5.88</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 7pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 7pt;">13.44</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 7pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 7pt;">Total</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">1,331,063,267</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">(2,038,338</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">1,329,024,929</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">16,104,395</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">(5,063,703</td>
<td style="text-align: left; font-size: 7pt;">)</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;">$</td>
<td style="text-align: right; font-size: 7pt;">1,340,065,621</td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.74</td>
<td style="text-align: left; font-size: 7pt;">%</td>
<td style="font-size: 7pt;"> </td>
<td style="text-align: left; font-size: 7pt;"> </td>
<td style="text-align: right; font-size: 7pt;">3.07</td>
<td style="text-align: left; font-size: 7pt;">%</td>
</tr>
</table>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: left; margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(1) We have chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain (loss) on real estate securities line item. The gross unrealized stated above represents inception to date unrealized gains (losses).</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents the gross unrealized losses, and estimated fair value of the Company’s real estate securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2012 and December 31, 2011.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 85%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="6">Less than 12 months</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="6">Greater than 12 months</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">As of</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Unrealized Losses</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Unrealized Losses</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 40%; font-size: 10pt;">December 31, 2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">777,773,600</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">(11,267,980</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">4,872,469</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">(2,419,978</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">December 31, 2011</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">76,601,602</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(5,063,703</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details weighted average life by Agency RMBS, Agency Interest-Only (“IO”) and Other Securities as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Agency RMBS</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Agency IO</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Other Securities (1)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; font-size: 6pt; font-weight: bold;">Weighted Average Life (2)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon (3)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 19%; font-size: 6pt;">Less than or equal to 1 year</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">3,748,025</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">3,759,750</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">0.75</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 6pt;">Greater than one year and less than or equal to three years</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3,594,670</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3,392,472</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.84</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">41,621,591</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">41,216,699</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.69</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 6pt;">Greater than three years and less than or equal to five years</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">868,542,201</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">846,760,882</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">2.97</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">162,811,754</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">162,576,217</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">6.03</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">332,603,072</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">327,252,110</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">2.82</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">Greater than five years</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">2,709,706,538</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">2,674,831,098</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">3.53</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">41,211,988</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">43,233,067</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.91</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">373,188,941</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">370,843,845</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.08</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 6pt;">Total</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">3,578,248,739</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">3,521,591,980</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3.40</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">207,618,412</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">209,201,756</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">6.00</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">751,161,629</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">743,072,404</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3.54</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="margin-top: 0px; font: 10pt times new roman, times, serif; margin-bottom: 0px;" cellspacing="0" cellpadding="0">
<tr style="text-align: justify; vertical-align: top;">
<td style="width: 0in;"></td>
<td style="text-align: left; width: 0.25in;">(1)</td>
<td style="text-align: justify;">For purposes of this table, Other Securities represents the following Credit Investments held as of December 31, 2012, Non-Agency RMBS, ABS, CMBS and Interest Only.</td>
</tr>
</table>
<table style="margin-top: 0px; font: 10pt times new roman, times, serif; margin-bottom: 0px;" cellspacing="0" cellpadding="0">
<tr style="text-align: justify; vertical-align: top;">
<td style="width: 0in;"></td>
<td style="text-align: left; width: 0.25in;">(2)</td>
<td style="text-align: justify;">Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.</td>
</tr>
</table>
<p style="margin: 0pt 0px 0pt 5.4pt; font: 10pt times new roman, times, serif;"></p>
<table style="margin-top: 0px; font: 10pt times new roman, times, serif; margin-bottom: 0px;" cellspacing="0" cellpadding="0">
<tr style="text-align: justify; vertical-align: top;">
<td style="width: 0in;"></td>
<td style="text-align: left; width: 0.25in;">(3)</td>
<td style="text-align: justify;">Equity residual investments with a zero coupon rate are excluded from this calculation.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details weighted average life by Agency RMBS, Agency IO and Other Securities as of December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Agency RMBS</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Agency IO</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="10">Other Securities (1)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; font-size: 6pt; font-weight: bold;">Weighted Average Life (2)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 19%; font-size: 6pt;">Less than or equal to 1 year</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">14,804,111</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">14,800,710</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">5.81</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 6pt;">Greater than one year and less than or equal to three years</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">18,129,515</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">18,120,455</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">6.33</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 6pt;">Greater than three years and less than or equal to five years</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">577,553,643</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">567,006,561</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3.58</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">4,515,576</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">6,245,328</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.77</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">22,253,850</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">22,313,511</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.92</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">Greater than five years</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">679,023,585</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">673,844,659</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">3.55</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">2,121,295</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">3,213,768</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.00</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">21,664,046</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">23,479,937</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.46</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 6pt;">Total</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">1,256,577,228</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">1,240,851,220</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">3.56</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">6,636,871</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">9,459,096</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.50</td>
<td style="text-align: left; font-size: 6pt;">%</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">76,851,522</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;">$</td>
<td style="text-align: right; font-size: 6pt;">78,714,613</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">5.83</td>
<td style="text-align: left; font-size: 6pt;">%</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="margin-top: 0px; font: 10pt times new roman, times, serif; margin-bottom: 0px;" cellspacing="0" cellpadding="0">
<tr style="text-align: justify; vertical-align: top;">
<td style="width: 0in;"></td>
<td style="text-align: left; width: 0.25in;">(1)</td>
<td style="text-align: justify;">For purposes of this table, Other Securities represents the following Credit Investments held as of December 31, 2011, Non-Agency RMBS, ABS and CMBS.</td>
</tr>
</table>
<table style="margin-top: 0px; font: 10pt times new roman, times, serif; margin-bottom: 0px;" cellspacing="0" cellpadding="0">
<tr style="text-align: justify; vertical-align: top;">
<td style="width: 0in;"></td>
<td style="text-align: left; width: 0.25in;">(2)</td>
<td style="text-align: justify;">Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="14">Fair Value at December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 1</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 2</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 3</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Total</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Assets:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Agency RMBS:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; width: 48%; font-size: 10pt;">15 Year Fixed Rate</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">1,248,210,196</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">1,248,210,196</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">20 Year Fixed Rate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">148,124,694</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">148,124,694</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">30 Year Fixed Rate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,143,738,095</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td
style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,143,738,095</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">ARM</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">38,175,754</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">38,175,754</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">Interest Only</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">207,618,412</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">207,618,412</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Credit Investments:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">Non-Agency RMBS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">297,127,840</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">255,043,557</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">552,171,397</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 0.25in; font-size: 10pt;">ABS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">33,937,097</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">33,937,097</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 0.25in; font-size: 10pt;">CMBS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">63,249,824</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">34,066,710</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">97,316,534</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 0.25in; font-size: 10pt;">Interest Only</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td
style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">67,736,601</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">67,736,601</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Commercial Mortgage Loans</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,500,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,500,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Linked transactions</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">37,820,486</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">6,425,683</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">44,246,169</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Total Assets Carried at Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">4,254,301,902</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">329,473,047</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">4,583,774,949</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Liabilities:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Derivative liabilities</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size:
10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(36,375,947</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(36,375,947</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Total Liabilities Carried at Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(36,375,947</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(36,375,947</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the year ended December 31, 2012.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="14">Fair Value at December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 1</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 2</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Level 3</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Total</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Assets:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Agency RMBS:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td
style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; width: 48%; font-size: 10pt;">15 Year Fixed Rate</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">772,310,909</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">772,310,909</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">20 Year Fixed Rate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">237,586,837</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">237,586,837</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">30 Year Fixed Rate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">246,679,482</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">246,679,482</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 27px; font-size: 10pt;">Interest Only</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6,636,871</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6,636,871</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Credit Investments:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Non-Agency RMBS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">30,380,046</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">28,407,005</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">58,787,051</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">CMBS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size:
10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">13,537,851</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">13,537,851</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">ABS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,526,620</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,526,620</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Linked transactions</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,509,863</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">5,277,317</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">8,787,180</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Derivative assets</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,428,595</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,428,595</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Total Assets Carried at Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,312,070,454</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">38,210,942</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,350,281,396</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Liabilities:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td
style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Derivative liabilities</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,569,643</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,569,643</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Total Liabilities Carried at Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,569,643</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,569,643</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the period ended December 31, 2011.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following tables present additional information about the Company’s investments which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Year Ended</b></p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>December 31, 2012</b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Non-Agency RMBS</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">ABS</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">CMBS</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Linked Transactions</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 48%; font-size: 10pt;">Beginning balance</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">28,407,005</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">4,526,620</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">5,277,317</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Transfers (1):</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Transfers into level 3</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Transfers out of level 3</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Purchases</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">176,256,015</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">45,628,345</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">47,300,600</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">38,429,641</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Reclassification of security type (2)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">71,069,657</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">45,265,490</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(22,279,146</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Proceeds from sales</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(14,341,655</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(50,586,281</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(9,618,438</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Proceeds from settlement</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(22,445,875</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(2,804,996</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(9,787,975</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(8,554,534</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Total net gains/(losses) (3)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Included in net income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,756,755</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">928,783</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,874,876</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,170,843</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Included in other comprehensive income (loss)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Ending Balance</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">255,043,557</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">33,937,097</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">34,066,710</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">6,425,683</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Change in unrealized appreciation/depreciation for level 3 assets still held as of December 31, 2012 (4)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">1,756,756</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">143,876</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">207,785</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">51,083</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">(1) Transfers are assumed to occur at the beginning of the period.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">(2) Represents an accounting reclassification from a linked transaction to a real estate security due to event occurring which breaks the link.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 70%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 82%; font-size: 10pt;">Gain on linked transactions, net</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 15%; font-size: 10pt;">426,201</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Unrealized gain on real estate securities, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,485,756</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Interest income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,135</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Net realized gain</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">4,816,165</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">7,731,257</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font-family: times new roman, times, serif;" border="0" cellspacing="0" cellpadding="0">
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">(4) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 70%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 82%; font-size: 10pt;">Gain on linked transactions, net</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 15%; font-size: 10pt;">51,083</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unrealized gain on real estate securities, net</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">2,108,417</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">2,159,500</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>Period Ended</b></p>
<p style="text-align: center; margin: 0pt 0px; font: 10pt times new roman, times, serif;"><b>December 31, 2011</b></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Non-Agency RMBS</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">ABS</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Linked Transactions</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Beginning balance</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Transfers (1):</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Transfers into level 3</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Transfers out of level 3</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 61%; font-size: 10pt;">Purchases</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">43,057,466</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">4,999,406</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">6,758,730</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Reclassification of security type (2)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Proceeds from sales</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(6,276,906</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Proceeds from settlement</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(8,591,915</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(453,850</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(1,287,007</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Total net gains/ (losses) (3)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Included in net income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">218,360</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(18,936</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(194,406</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Included in other comprehensive income (loss)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Ending Balance</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">28,407,005</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,526,620</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">5,277,317</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Change in unrealized appreciation/depreciation for level 3 assets still held as of December 31, 2011 (4)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3,400</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">(18,936</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">(194,406</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(1) Transfers are assumed to occur at the beginning of the period.          </p>
<p style="text-align: left; margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(2) Represents an accounting reclassification from a linked transaction to a real estate security due to event occurring which breaks the link.</p>
<p style="margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:    </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 70%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 87%; font-size: 10pt;">Gain on linked transactions, net</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">(194,406</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Unrealized gain on real estate securities, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(65,270</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Interest income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">163,829</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Net realized gain</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">100,865</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">5,018</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font-family: times new roman, times, serif;" border="0" cellspacing="0" cellpadding="0">
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">(4) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 70%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 87%; font-size: 10pt;">Gain on linked transactions, net</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">(194,406</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unrealized gain on real estate securities, net</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(15,536</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">(209,942</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The Company did not have any transfers of assets or liabilities in or out of Level 3 of the fair value hierarchy during the year ended December 31, 2012 and for the period ended December 31, 2011.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;">Asset Class</font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"><font style="font-size: 7pt;">Fair Value at December 31, 2012</font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;">Valuation Technique</font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;">Unobservable Input</font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"><font style="font-size: 7pt;">Range <br />(Weighted Average)</font></td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 20%; font-size: 10pt;"><font style="font-size: 7pt;">Non-Agency RMBS</font></td>
<td style="width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; width: 1%; font-size: 10pt;"><font style="font-size: 7pt;">$</font></td>
<td style="text-align: right; width: 17%; font-size: 10pt;"><font style="font-size: 7pt;">255,043,557</font></td>
<td style="text-align: left; width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; width: 19%; font-size: 10pt;"><font style="font-size: 7pt;">Discounted Cash Flow</font></td>
<td style="width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; width: 19%; font-size: 10pt;"><font style="font-size: 7pt;">Yield</font></td>
<td style="width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; width: 17%; font-size: 10pt;"><font style="font-size: 7pt;">4.43% - 9.60% (5.90%)</font></td>
<td style="text-align: left; width: 1%; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Prepayments</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">1.00% - 9.00% (4.41%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Losses</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.20% - 16.00% (2.03%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Severities</font></td>
<td
style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">40.00% - 75.00% (55.27%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;">ABS</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">$</font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">33,937,097</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Discounted Cash Flow</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Yield</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">4.66% - 7.05% (5.77%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Prepayments</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">20.00% - 100.00% (59.72%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Losses</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 0.00% (0.00%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Severities</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 0.00% (0.00%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;">CMBS</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">$</font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">34,066,710</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Discounted Cash Flow</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Yield</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">2.23% - 5.76% (5.05%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right;
font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Prepayments</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 0.00% (0.00%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Losses</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 0.00% (0.00%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Severities</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 0.00% (0.00%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Linked Transactions*</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">$</font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">6,425,683</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Discounted Cash Flow</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Yield</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">4.14% - 10.93% (5.59%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Prepayments</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 25.00% (0.94%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Losses</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td
style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 35.00% (16.25%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;">Projected Collateral Severities</font></td>
<td style="font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
<td style="text-align: right; font-size: 10pt;"><font style="font-size: 7pt;">0.00% - 65.00% (34.32%)</font></td>
<td style="text-align: left; font-size: 10pt;"><font style="font-size: 7pt;"> </font></td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font-family: times new roman, times, serif;" border="0" cellspacing="0" cellpadding="0">
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">*Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS and CMBS investments.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information regarding the Company’s repurchase agreements as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 95%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Repurchase Agreements Maturing Within:</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Balance</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Haircut</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 61%; font-size: 10pt;">30 days or less</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">2,242,856,547</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.71</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">7.28</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">31-60 days</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">783,969,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.52</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4.04</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">61-90 days</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">547,416,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.57</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3.49</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Greater than 90 days</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">337,178,271</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.30</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">11.95</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total / Weighted Average</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3,911,419,818</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6.50</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information regarding the Company’s repurchase agreements as of December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 95%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Repurchase Agreements Maturing Within:</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Balance</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Haircut</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 61%; font-size: 10pt;">30 days or less</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">681,035,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.40</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">5.30</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">31-60 days</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">336,574,407</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.43</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4.89</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">61-90 days</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">132,540,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.52</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">7.26</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Greater than 90 days</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"></td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Total / Weighted Average</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">1,150,149,407</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.42</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">5.41</td>
<td style="text-align: left; font-size: 10pt;">%</td>
</tr>
</table>
<div>The following table presents information with respect to the Company’s posting of collateral at December 31, 2012 and December 31, 2011:</div>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 70%; font-size: 10pt;">Repurchase agreements secured by Agency RMBS</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">3,346,676,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">1,105,167,407</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Fair Value of Agency RMBS pledged as collateral under repurchase agreements</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,489,393,062</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,175,091,729</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Repurchase agreements secured by Non-Agency RMBS, ABS and CMBS</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">564,743,818</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">44,982,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Fair Value of Non-Agency RMBS, ABS and CMBS pledged as collateral under repurchase agreements</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">711,699,379</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">54,500,705</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Cash pledged (i.e., restricted cash) under repurchase agreements</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,500,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">189,054</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents the fair value of the Company’s derivative instruments and their balance sheet location at December 31, 2012 and December 31, 2011.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; font-size: 10pt; font-weight: bold;">Derivative Instrument</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Designation</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Balance Sheet Location</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 32%; font-size: 10pt;">Interest rate swaps, at fair value</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: center; width: 15%; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: center; width: 31%; font-size: 10pt;">Derivative liabilities, at fair value</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 15%; font-size: 10pt;">(36,238,250</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">TBAs</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Derivative liabilities, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(137,697</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Linked transactions, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Linked transactions, net, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">44,246,169</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; font-size: 10pt; font-weight: bold;">Derivative Instrument</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Designation</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Balance Sheet Location</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 32%; font-size: 10pt;">Interest rate swaps, at fair value</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: center; width: 15%; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: center; width: 31%; font-size: 10pt;">Derivative liabilities, at fair value</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 15%; font-size: 10pt;">(7,396,590</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">TBAs, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Derivative assets, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,428,595</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">TBAs, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; font-size:
10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Derivative liabilities, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(511,718</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Linked transactions, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Non-Hedge</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; font-size: 10pt;">Linked transactions, net, at fair value</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">8,787,180</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table summarizes information related to derivatives:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 95%; border-collapse: collapse; font: 10pt times new roman, times, serif; margin-left: 0.25in;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Non-hedge derivatives</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; width: 65%; font-size: 10pt;">Notional amount of Interest Rate Swap Agreements (1)</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">2,166,025,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">793,025,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Net notional amount of TBAs</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">40,000,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">100,000,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Notional amount of Linked Transactions (2)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">349,775,342</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">54,035,772</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font-family: times new roman, times, serif;" border="0" cellspacing="0" cellpadding="0">
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-left: 0.25in; font-size: 10pt;">(1) Includes forward starting swaps with a notional of $100.0 million as of December 31, 2012 and $0.0 million as of December 31, 2011.</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-left: 0.25in; font-size: 10pt;">(2) This represents the current face of the securities comprising linked transactions.</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table summarizes gains (losses) related to derivatives:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font: bold 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: center; font: bold 10pt times new roman, times, serif; color: black;" colspan="2">Year Ended</td>
<td style="font: bold 10pt times new roman, times, serif; color: black;"> </td>
<td style="font: bold 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: center; font: bold 10pt times new roman, times, serif; color: black;" colspan="2">For the Period Ended</td>
<td style="font: bold 10pt times new roman, times, serif; color: black;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font: bold 10pt times new roman, times, serif; color: black;"> </td>
<td style="border-bottom: black 1pt solid; font: bold 10pt times new roman, times, serif; color: black;">Statement of Operations Location</td>
<td style="padding-bottom: 1pt; font: bold 10pt times new roman, times, serif;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font: bold 10pt times new roman, times, serif;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font: bold 10pt times new roman, times, serif;"> </td>
<td style="padding-bottom: 1pt; font: bold 10pt times new roman, times, serif;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font: bold 10pt times new roman, times, serif;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font: bold 10pt times new roman, times, serif;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Non-hedge derivatives gain (loss):</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: center; padding-left: 5.4pt; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; text-indent: 20pt; padding-left: 5.4pt; width: 32%; font: 10pt times new roman, times, serif; color: black;">Interest rate swaps</td>
<td style="width: 1%; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; width: 35%; font: 10pt times new roman, times, serif; color: black;">Unrealized loss on derivative instruments, net</td>
<td style="width: 1%; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; width: 1%; font: 10pt times new roman, times, serif; color: black;">$</td>
<td style="text-align: right; width: 13%; font: 10pt times new roman, times, serif; color: black;">(23,043,671</td>
<td style="text-align: left; width: 1%; font: 10pt times new roman, times, serif; color: black;">)</td>
<td style="width: 1%; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; width: 1%; font: 10pt times new roman, times, serif; color: black;">$</td>
<td style="text-align: right; width: 13%; font: 10pt times new roman, times, serif; color: black;">(7,396,590</td>
<td style="text-align: left; width: 1%; font: 10pt times new roman, times, serif; color: black;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Interest rate swaps</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Net realized gain</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">(332,127</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;">)</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">-</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">TBAs</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Unrealized loss on derivative instruments, net</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">(1,042,855</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;">)</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">905,160</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">TBAs</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color:
black;">Net realized gain</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">1,774,492</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">1,042,651</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Linked transactions</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Gain/(loss) on linked transactions, net</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">20,014,654</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">(808,564</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Linked transactions</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Net realized gain</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">4,968,679</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">(10,763</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; text-indent: 20pt; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Credit derivatives</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; padding-left: 5.4pt; font: 10pt times new roman, times, serif; color: black;">Net realized gain</td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">-</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;"> </td>
<td style="text-align: right; font: 10pt times new roman, times, serif; color: black;">(2,290,560</td>
<td style="text-align: left; font: 10pt times new roman, times, serif; color: black;">)</td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents information about the Company’s interest rate swaps as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" nowrap="nowrap">Maturity</td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap">Notional Amount</td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap">Weighted Average<br />Pay Rate</td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap">Weighted Average<br />Receive Rate</td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap">Weighted Average<br />Years to Maturity</td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; width: 48%; color: black;">2014</td>
<td style="width: 1%; color: black;"> </td>
<td style="text-align: left; width: 1%; color: black;">$</td>
<td style="text-align: right; width: 10%; color: black;">204,500,000</td>
<td style="text-align: left; width: 1%; color: black;"> </td>
<td style="width: 1%; color: black;"> </td>
<td style="text-align: left; width: 1%; color: black;"> </td>
<td style="text-align: right; width: 10%; color: black;">1.000</td>
<td style="text-align: left; width: 1%; color: black;">%</td>
<td style="width: 1%; color: black;"> </td>
<td style="text-align: left; width: 1%; color: black;"> </td>
<td style="text-align: right; width: 10%; color: black;">0.332</td>
<td style="text-align: left; width: 1%; color: black;">%</td>
<td style="width: 1%; color: black;"> </td>
<td style="text-align: left; width: 1%; color: black;"> </td>
<td style="text-align: right; width: 10%; color: black;">1.54</td>
<td style="text-align: left; width: 1%; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; color: black;">2015</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">364,025,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.078</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.299</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">2.42</td>
<td style="text-align: left; color: black;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; color: black;">2016</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">367,500,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.077</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.297</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">3.36</td>
<td style="text-align: left; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; color: black;">2017</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">410,000,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.018</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.312</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">4.70</td>
<td style="text-align: left; color: black;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; color: black;">2018</td>
<td style="color: black;">*</td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">320,000,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.308</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.309</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">5.56</td>
<td style="text-align: left; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; color: black;">2019</td>
<td style="color: black;">*</td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">450,000,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.390</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.315</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">6.56</td>
<td style="text-align: left; color: black;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; padding-bottom: 1pt; color: black;">2022</td>
<td style="padding-bottom: 1pt; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; color: black;">50,000,000</td>
<td style="text-align: left; padding-bottom: 1pt; color: black;"> </td>
<td style="padding-bottom: 1pt; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; color: black;">1.685</td>
<td style="text-align: left; padding-bottom: 1pt; color: black;">%</td>
<td style="padding-bottom: 1pt; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; color: black;">0.311</td>
<td style="text-align: left; padding-bottom: 1pt; color: black;">%</td>
<td style="padding-bottom: 1pt; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; color: black;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; color: black;">9.68</td>
<td style="text-align: left; padding-bottom: 1pt; color: black;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: right; color: black;">Total/Wtd Avg</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;">$</td>
<td style="text-align: right; color: black;">2,166,025,000</td>
<td style="text-align: left; color: black;"> </td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">1.172</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">0.309</td>
<td style="text-align: left; color: black;">%</td>
<td style="color: black;"> </td>
<td style="text-align: left; color: black;"> </td>
<td style="text-align: right; color: black;">4.42</td>
<td style="text-align: left; color: black;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="text-align: left; margin-top: 0pt; font: 10pt times new roman, times, serif; margin-bottom: 0pt;">* These figures include forward starting swaps with a total notional of $100.0 million and a weighted average start date of April 2, 2013. Weighted average rates shown are inclusive of rates corresponding to the terms of the swap as if the swap were effective as of December 31, 2012.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents information about the Company’s interest rate swaps as of December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Maturity</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Notional Amount</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Pay Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Receive Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Years to Maturity</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; width: 48%; font-size: 10pt;">2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">100,000,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.354</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.285</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.14</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; font-size: 10pt;">2013</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">182,000,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.535</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.286</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1.78</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; font-size: 10pt;">2014</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">204,500,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1.000</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.395</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2.54</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; font-size: 10pt;">2015</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">184,025,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1.412</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.380</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3.56</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: center; font-size: 10pt;">2016</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">87,500,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1.625</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.328</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4.63</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: center; padding-bottom: 1pt; font-size: 10pt;">2018</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">35,000,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.728</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">0.511</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">6.88</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; font-size: 10pt;">Total/Wtd Avg</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">793,025,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1.008</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.350</td>
<td style="text-align: left; font-size: 10pt;">%</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2.72</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents information about the Company’s TBAs for the year ended December 31, 2012 and the period ended December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="text-align: center; color: black; font-weight: bold;" colspan="33"><font style="font-size: 8pt;">For the Year Ended December 31, 2012</font></td>
</tr>
<tr style="vertical-align: bottom;">
<td nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Beginning<br />Notional<br />Amount</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Additions</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Sale or<br />Settlement</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Ending Net<br />Notional<br />Amount</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Net Fair Value <br />as of Period End</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Net Payable to<br />Broker</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Derivative <br />Asset</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Derivative <br />Liability</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="color: black;"><font style="font-size: 8pt;">TBAs</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">100,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">660,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">(720,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">)</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">40,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">41,723,436</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">(41,861,133</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">)</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">-</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">(137,697</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">)</font></td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="text-align: center; color: black; font-weight: bold;" colspan="33"><font style="font-size: 8pt;">For the Period Ended December 31, 2011</font></td>
</tr>
<tr style="vertical-align: bottom;">
<td nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Beginning<br />Notional<br />Amount</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Additions</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Sale or<br />Settlement</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Ending Net <br />Notional <br />Amount</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Net Fair Value <br />as of Period End</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Net Payable to <br />Broker</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Derivative <br />Asset</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
<td style="border-bottom: black 1pt solid; text-align: center; color: black; font-weight: bold;" colspan="2" nowrap="nowrap"><font style="font-size: 8pt;">Derivative <br />Liability</font></td>
<td style="padding-bottom: 1pt; color: black; font-weight: bold;" nowrap="nowrap"><font style="font-size: 8pt;"> </font></td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="color: black;"><font style="font-size: 8pt;">TBAs</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">-</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">275,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">(175,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">)</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">100,000,000</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">104,708,010</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">(103,791,133</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">)</font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;"><font style="font-size: 8pt;">1,428,595</font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="width: 1%; color: black;"><font style="font-size: 8pt;"> </font></td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">$</font></td>
<td style="text-align: right; width: 10%; color: black;">(511,718</td>
<td style="text-align: left; width: 1%; color: black;"><font style="font-size: 8pt;">) </font></td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information related to the securities accounted for as part of linked transactions for the year ended December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="14">For the Year Ended December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;">Instrument</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Current Face</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Net Interest Income</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Unrealized Gain/(Loss)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Net Realized Gain</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amount Included in Statement of Operations</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Life</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 19%; font-size: 6pt;">Non-Agency RMBS</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">335,905,342</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">305,634,794</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">313,846,243</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">9,238,720</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">9,786,473</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">2,266,068</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">21,291,261</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align:
right; width: 6%; font-size: 6pt;">4.84</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">%</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">6.53</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 6pt;">ABS</td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 6pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 6pt; font-weight: bold;">-</td>
<td style="text-align: left; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">230,160</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">134,178</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">1,041,444</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">1,405,782</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="font-size: 6pt;"> </td>
<td style="text-align: left; font-size: 6pt;"> </td>
<td style="text-align: right; font-size: 6pt;">-</td>
<td style="text-align: left; font-size: 6pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 6pt;">CMBS</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">13,870,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">12,814,226</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">12,743,380</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">695,969</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">(70,846</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">1,661,167</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">2,286,290</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">3.56</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">6.73</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: right; padding-bottom: 1pt; font-size: 6pt;">Total</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">349,775,342</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">318,449,020</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">326,589,623</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">10,164,849</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td
style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">9,849,805</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">4,968,679</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">24,983,333</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">4.79</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">6.54</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information related to the securities accounted for as part of linked transactions for the period ended December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="14">For the Period Ended December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="font-size: 6pt; font-weight: bold;" colspan="2"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;">Instrument</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Current Face</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amortized Cost</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Fair Value</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Net Interest Income</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Unrealized Gain/(Loss)</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Net Realized Gain</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Amount Included in Statement of Operations</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Coupon</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 6pt; font-weight: bold;" colspan="2">Weighted Average Life</td>
<td style="padding-bottom: 1pt; font-size: 6pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 19%; font-size: 6pt;">Non-Agency RMBS</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">37,535,772</td>
<td style="text-align: left; width: 1%; font-size:
6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">33,156,290</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">31,581,265</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">657,612</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">(1,575,024</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">)</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;">$</td>
<td style="text-align: right; width: 6%; font-size: 6pt;">(917,412</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">)</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">5.80</td>
<td style="text-align: left; width: 1%; font-size: 6pt;">%</td>
<td style="width: 1%; font-size: 6pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
<td style="text-align: right; width: 6%; font-size: 6pt;">4.10</td>
<td style="text-align: left; width: 1%; font-size: 6pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 6pt;">ABS</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">16,500,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">16,494,093</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">16,359,915</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">243,027</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">(134,179</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">(10,763</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">98,085</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">4.72</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.00</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; padding-bottom: 1pt; font-size: 6pt;">Total</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">54,035,772</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">49,650,383</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">47,941,180</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">900,639</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">(1,709,203</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid;
text-align: right; font-size: 6pt;">(10,763</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">(819,327</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">5.47</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 6pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 6pt;">4.38</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 6pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information related to the repurchase agreements accounted for as a part of linked transactions as of December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Instrument</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Repurchase Agreement</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Interest Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Years to Maturity</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 61%; font-size: 10pt;">Non-Agency RMBS</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">272,755,454</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">1.87</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.04</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;">CMBS</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,588,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.21</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">0.06</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">282,343,454</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.85</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">0.04</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">   </p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents certain information related to the repurchase agreements accounted for as a part of linked transactions as of December 31, 2011:</p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="text-align: justify; margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt;
font-weight: bold;">Instrument</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Repurchase Agreement</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Interest Rate</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Years to Maturity</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 61%; font-size: 10pt;">Non-Agency RMBS</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 10%; font-size: 10pt;">27,088,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">1.92</td>
<td style="text-align: left; width: 1%; font-size: 10pt;">%</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">0.03</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;">CMBS</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">12,066,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.52</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">0.01</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">39,154,000</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1.80</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">%</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">0.02</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">As of December 31, 2012 and December 31, 2011, the Company’s warrants and unvested shares of restricted common stock were as follows:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 74%; font-size: 10pt;">Warrants</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">1,642,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 10%; font-size: 10pt;">3,205,000</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Restricted stock granted to<font style="font: 10pt times new roman, times, serif; color: black;"> the Manager </font></td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">23,480</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">40,250</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Restricted stock granted to<font style="font: 10pt times new roman, times, serif; color: black;"> the independent directors</font></td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6,000</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the year ended December 31, 2012 and for the period from March 7, 2011 to December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 90%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;" colspan="2"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Period from</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Year Ended</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">March 7, 2011 to</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Numerator:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; width: 60%; font-size: 10pt;">Net income available to common stockholders for basic and diluted earnings per share</td>
<td style="padding-bottom: 1pt; width: 1%; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; width: 12%; font-size: 10pt;">130,798,907</td>
<td style="text-align: left; padding-bottom: 1pt; width: 1%; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; width: 1%; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; width: 12%; font-size: 10pt;">18,970,696</td>
<td style="text-align: left; padding-bottom: 1pt; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Denominator:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;">Basic weighted average common shares outstanding</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">18,167,227</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">5,933,839</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Dilutive effect of manager and director restricted stock and warrants</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">59,833</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">91</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 9px; font-size: 10pt;">Dilutive weighted average common shares outstanding</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">18,227,060</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt;
font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">5,933,930</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 9px; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Basic Earnings Per Share of Common Stock:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">7.20</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3.20</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Diluted Earnings Per Share of Common Stock:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">7.18</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3.20</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details dividends paid on the Company’s common stock:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">2012</td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;" colspan="2"> </td>
<td style="font-size: 10pt;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Declaration Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Record Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Payment Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Dividend Per Share</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; width: 25%; font-size: 10pt;">3/14/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 24%; font-size: 10pt;">3/30/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 24%; font-size: 10pt;">4/27/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 22%; font-size: 10pt;">0.70</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: right; font-size: 10pt;">6/7/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6/29/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">7/27/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; font-size: 10pt;">9/6/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">9/18/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">10/26/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.77</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: right; font-size: 10pt;">12/6/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">12/18/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1/28/2013</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.80</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">2011</td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;" colspan="2"> </td>
<td style="font-size: 10pt;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Declaration Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Record Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Payment Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Dividend Per Share</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: right; width: 25%; font-size: 10pt;">9/19/2011</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 24%; font-size: 10pt;">9/30/2011</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 24%; font-size: 10pt;">10/27/2011</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 22%; font-size: 10pt;">0.40</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: right; font-size: 10pt;">12/14/2011</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">12/30/2011</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1/27/2012</td>
<td style="font-size:
10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table details dividends paid on the Company’s preferred stock:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 90%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Dividend</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Declaration Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Record Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;">Payment Date</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Dividend Per Share</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 20%; font-size: 10pt;">8.25% Series A</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 19%; font-size: 10pt;">8/16/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 19%; font-size: 10pt;">8/31/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 19%; font-size: 10pt;">9/17/2012</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 17%; font-size: 10pt;">0.2521</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">8.25% Series A</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">11/16/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">11/30/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">12/17/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.51563</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">8.00% Series B</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">11/16/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">11/30/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">12/17/2012</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">0.44</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents information with respect to the Company’s restricted stock for the year ended December 31, 2012:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif; margin-left: 1in;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Shares of Restricted Stock</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Grant Date Fair Value (1)</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="width: 64%; font-size: 10pt;">Outstanding at beginning of period</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 15%; font-size: 10pt;">47,854</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 15%; font-size: 10pt;">19.96</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; font-size: 10pt;">Granted</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">5,644</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">21.24</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Cancelled/forfeited</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Outstanding at end of year</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">53,498</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">20.09</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unvested at end of year</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">27,480</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">20.00</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px 0pt 1in; font: 10pt times new roman, times, serif;">(1) The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">The following table presents information with respect to the Company’s restricted stock for the period ended December 31, 2011:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table align="center" style="width: 80%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Shares of Restricted Stock</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Weighted Average Grant Date Fair Value (1)</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Outstanding at beginning of period</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size:
10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-left: 18px; width: 64%; font-size: 10pt;">Granted</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 15%; font-size: 10pt;">47,854</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="text-align: right; width: 15%; font-size: 10pt;">19.96</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; padding-left: 18px; font-size: 10pt;">Cancelled/forfeited</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Outstanding at end of year</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">47,854</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">19.96</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unvested at end of year</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">42,896</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">20.00</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px 0pt 0.85in; font: 10pt times new roman, times, serif;">(1) The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date.</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">Summarized quarterly results of operations were as follows:</p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"> </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="14">Quarter Ended</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">March 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">June 30, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">September 30, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2012</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Statement of Operations Data:</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">Net Interest Income</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; width: 40%; font-size: 10pt;">Interest income</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">13,996,628</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">17,883,008</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">28,285,116</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">36,211,940</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Interest expense</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,827,414</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">2,450,017</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">4,228,610</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">6,504,403</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">12,169,214</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">15,432,991</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">24,056,506</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">29,707,537</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">Other Income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Net realized gain</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,429,020</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">7,552,780</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,105,323</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">15,450,117</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Gain/(loss) on linked transactions, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,439,185</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">3,364,972</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6,688,111</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">6,522,386</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Realized loss on periodic interest settlements of interest rate swaps, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(1,457,950</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(2,132,414</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(2,471,590</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(3,900,171</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Unrealized loss on derivative instruments, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(2,845,879</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(10,575,768</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(13,371,486</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,706,607</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unrealized gain/(loss) on real estate securities, net</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(755,552</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">33,593,211</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">45,917,570</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(26,683,774</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">808,824</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">31,802,781</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">40,867,928</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(5,904,835</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Expenses</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Management fee to affiliate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,049,294</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,196,383</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,657,701</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,510,065</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Other operating expenses</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">813,324</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">760,915</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">1,653,547</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">2,215,273</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Equity based compensation to affiliate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">87,329</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">104,771</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">120,612</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">87,488</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Excise tax</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">77,653</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">255,925</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">272,195</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,142,554</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">2,027,600</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">2,317,994</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">3,704,055</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">5,955,380</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt; font-weight: bold;">Net Income</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">10,950,438</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">44,917,778</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">61,220,379</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">17,847,322</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Dividends on preferred stock</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">790,100</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">3,346,910</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt; font-weight: bold;">Net Income Available to Common Stockholders</td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">10,950,438</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">44,917,778</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">60,430,279</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">14,500,412</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Share Data:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Earnings Per Share of Common Stock:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Basic</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.77</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">2.85</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3.13</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.62</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Diluted</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.77</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">2.85</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">3.10</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.62</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Dividends Declared per Share of Common Stock</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.77</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.80</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;">  </p>
<p style="margin: 0pt 0px; font: 10pt times new roman, times, serif;"></p>
<table style="width: 100%; border-collapse: collapse; font: 10pt times new roman, times, serif;" cellspacing="0" cellpadding="0">
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">Period from</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; font-size: 10pt; font-weight: bold;" colspan="2"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: center; padding-bottom: 1pt; font-size: 10pt; font-weight: bold;" colspan="2">March 7, 2011 to</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="6">Quarter Ended</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">June 30, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">September 30, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
<td style="border-bottom: black 1pt solid; text-align: center; font-size: 10pt; font-weight: bold;" colspan="2">December 31, 2011</td>
<td style="padding-bottom: 1pt; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">Statement of Operations Data:</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">Net Interest Income</td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: right; font-size: 10pt; font-weight: bold;"> </td>
<td style="text-align: left; font-size: 10pt; font-weight: bold;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; width: 55%; font-size: 10pt;">Interest income</td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">-</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">8,726,394</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
<td style="width: 1%; font-size: 10pt;"> </td>
<td style="text-align: left; width: 1%; font-size: 10pt;">$</td>
<td style="text-align: right; width: 12%; font-size: 10pt;">10,022,275</td>
<td style="text-align: left; width: 1%; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Interest expense</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">590,247</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,106,097</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">8,136,147</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">8,916,178</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt; font-weight: bold;">Other Income</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Net realized gain</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">4,291,139</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(589,747</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Gain/(loss) on linked transactions, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">204,727</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(1,013,291</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Realized loss on periodic interest settlements of interest rate swaps, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(986,502</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(1,175,788</td>
<td style="text-align: left; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Unrealized loss on derivative instruments, net</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">(6,562,093</td>
<td style="text-align: left; font-size: 10pt;">)</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">70,663</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Unrealized gain on real estate securities, net</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">9,694,455</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,346,237</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">6,641,726</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">(1,361,926</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">)</td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Expenses</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Management fee to affiliate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">742,557</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">770,341</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Other operating expenses</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">15,818</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">739,452</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">811,372</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Equity based compensation to affiliate</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">78,822</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">97,343</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Excise tax</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">105,724</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">15,818</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,560,831</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">1,784,780</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt; font-weight: bold;">Net Income</td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">(15,818</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;">)</td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">13,217,042</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">5,769,472</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;">Dividends on preferred stock</td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 1pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: left; font-size: 10pt;"> </td>
<td style="border-bottom: black 1pt solid; text-align: right; font-size: 10pt;">-</td>
<td style="text-align: left; padding-bottom: 1pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt; font-weight: bold;">Net Income Available to Common Stockholders</td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">(15,818</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;">)</td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">13,217,042</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="padding-bottom: 2.5pt; font-size: 10pt;"> </td>
<td style="border-bottom: black 2.5pt double; text-align: left; font-size: 10pt;">$</td>
<td style="border-bottom: black 2.5pt double; text-align: right; font-size: 10pt;">5,769,472</td>
<td style="text-align: left; padding-bottom: 2.5pt; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt; font-weight: bold;">Share Data:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Earnings Per Share of Common Stock:</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;">Basic</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">NM</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">1.42</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.58</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="font-size: 10pt;">Diluted</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;">NM</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">1.41</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.58</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: white; vertical-align: bottom;">
<td style="font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
<tr style="background-color: #ccffcc; vertical-align: bottom;">
<td style="text-align: left; font-size: 10pt;">Dividends Declared per Share of Common Stock</td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="text-align: right; font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.40</td>
<td style="text-align: left; font-size: 10pt;"> </td>
<td style="font-size: 10pt;"> </td>
<td style="text-align: left; font-size: 10pt;">$</td>
<td style="text-align: right; font-size: 10pt;">0.70</td>
<td style="text-align: left; font-size: 10pt;"> </td>
</tr>
</table>
100
1000
100
1% of the total gross proceeds from the IPO
As a REIT, if the Company fails to distribute in any calendar year at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax.
1331063267
4546150
64710290
19500000
232890169
227566114
43505596
738344948
5728061705
33620881
634277808
96536946
1998807425
137858353
972543812
1177320487
36228319
640867674
-2038338
-28590
-4601272
-5411965
12162512
7362001
-34046500
22525476
-1254195565
-36289
-87414086
-2094604
116173790
6696803
-763342056
46922089
1584714
-572685926
4517560
60109018
14088035
245052681
234928115
9459096
760870424
33584592
546863722
94442342
2114981215
144555156
209201756
1224242576
37813033
68181748
4526620
58787051
13537851
246679482
237586837
6636871
772310909
33937097
552171397
97316534
2143738095
148124694
207618412
1248210196
38175754
67736601
0.0368
0.0596
0.0588
0.0399
0.0369
0.0550
0.0332
0.0600
0.0307
0.0369
0.0631
0.1344
0.0318
0.0300
0.0345
0.0262
0.0322
0.0544
0.0544
0.0636
0.0275
0.0278
0.0700
0.0208
0.0234
0.0550
76601602
777773600
5063703
11267980
0
4872469
0
2419978
7400000
25500000
2500000
1800000
2500000
0.0976
38210942
4526620
1312070454
0
0
0
772310909
13537851
0
30380046
0
0
28407005
8787180
0
237586837
237586837
6636871
1428595
0
5277317
0
1350281396
0
13537851
6636871
0
0
3509863
0
4526620
0
772310909
58787051
0
0
246679482
1428595
246679482
0
329473047
33937097
4254301902
0
0
1248210196
97316534
0
297127840
0
0
255043557
44246169
0
148124694
148124694
207618412
0
6425683
0
4583774949
0
63249824
207618412
0
0
37820486
0
33937097
0
1248210196
552171397
34066710
0
2143738095
2143738095
67736601
0
38175754
0
0
2500000
67736601
38175754
2500000
0
9569643
0
9569643
0
0
9569643
9569643
0
-36375947
0
-36375947
0
0
-36375947
-36375947
0
4526620
28407005
5277317
0
33937097
255043557
6425683
34066710
4999406
43057466
6758730
45628345
176256015
38429641
47300600
0
0
0
6276906
0
14341655
0
9618438
50586281
453850
8591915
1287007
2804996
22445875
8554534
9787975
-15536
-65270
2108417
2485756
163829
3135
-209942
5018
2159500
7731257
-194406
-194406
51083
426201
Discounted Cash Flow
Discounted Cash Flow
Discounted Cash Flow
Projected Collateral Severities
Projected Collateral Prepayments
Yield
Projected Collateral Prepayments
Projected Collateral Losses
Projected Collateral Severities
Projected Collateral Prepayments
Projected Collateral Severities
Yield
Yield
Projected Collateral Losses
Projected Collateral Losses
0.0100
0.0576
-0.0590
0.0020
0.0466
0.00
0.00
0.00
0.0900
0.0000
0.0000
-0.5527
-0.0203
0.1600
0.00
-0.0505
0.0443
0.00
0.20
-0.5972
0.00
0.0960
0.0705
0.00
0.00
0.00
0.0223
-0.0441
0.00
0.00
0.0000
0.0000
0.4000
1.00
-0.0577
0.75
1150149407
12066000
39154000
27088000
681035000
0
336574407
132540000
3911419818
9588000
282343454
272755454
2242856547
337178271
783969000
547416000
0.0042
0.0152
0.018
0.0192
0.004
0
0.0043
0.0052
0.007
0.0121
0.0185
0.0187
0.0071
0.013
0.0052
0.0057
0.0541
0.053
0
0.0489
0.0726
0.065
0.0728
0.1195
0.0404
0.0349
1105167407
3346676000
1175091729
3489393062
44982000
564743818
54500705
711699379
189054
1500000
P30D
P90D
0.10
0.10
P364D
75000000
P90D
185000000
20000000
5000000
39200000
282300000
7396590
511718
36238250
137697
8787180
1428595
44246169
100000000
40000000
905160
7396590
1042855
23043671
-819327
-917412
98085
1042651
0
1774492
2286290
24983333
21291261
1405782
-332127
-10763
4968679
-808564
20014654
0
793025000
100000000
54035772
37535772
16500000
182000000
204500000
35000000
184025000
87500000
100000000
500000
0
2166025000
40000000
13870000
349775342
335905342
0
204500000
364025000
367500000
6300000
100000000
50000000
410000000
0.00535
0.01000
0.01728
0.01412
0.01625
0.00354
0.01000
0.01078
0.01077
0.01685
0.01018
0.00286
0.00395
0.00511
0.0038
0.00328
0.00285
0.00332
0.00299
0.00297
0.00311
0.00312
P2Y6M15D
P6Y10M17D
P3Y6M22D
P4Y7M17D
P1Y6M15D
P2Y5M1D
P3Y4M10D
P9Y8M5D
P4Y8M12D
0.01008
0.01172
0.0035
0.00309
P2Y8M19D
P4Y4M17D
P4Y1M6D
P5Y
P1Y9M11D
P1M21D
P4Y5M1D
P6Y8M23D
P6Y6M15D
P6Y6M11D
P0Y
275000000
660000000
-175000000
-720000000
104708010
41723436
-103791133
-41861133
49650383
33156290
16494093
12814226
318449020
305634794
0
47941180
31581265
16359915
12743380
326589623
313846243
0
-10763
0
-10763
1661167
4968679
2266068
1041444
0.0547
0.058
0.0472
0.0356
0.0479
0.0484
0.00
P4D
P7D
P11D
P22D
P15D
P15D
2300000
11100000
47900000
47500000
326600000
161700000
45300000
37200000
131700000
3400000
3205000000
1642000000
91
59833
2011-12-14
2011-09-19
2012-06-07
2012-03-14
2012-08-16
2012-11-16
2012-11-16
2012-12-06
2012-09-06
2011-12-30
2011-09-30
2012-06-29
2012-03-30
2012-08-31
2012-11-30
2012-11-30
2012-12-18
2012-09-18
2012-01-27
2012-10-27
2012-07-27
2012-04-27
2012-09-17
2012-12-17
2012-12-17
2013-01-28
2012-10-26
0.70
0.4
0.7
0.7
0.2521
0.44
0.51563
0.8
0.77
0.0825
0.0800
0.0825
100000
1700000
0.1351
0.8649
0
47854
53498
47854
5644
0
0
42896
27480
40250
1500
277500
0.50
0.50
0
1000000
4958
21060
500000
0.0150
100000
400000
P18M
200000
500000
1% of the total gross proceeds from the IPO and the concurrent private placement or approximately $2.0 million when the underwriters exercised their overallotment option.
0
2200000
20.00
20.00
110000000
500000
20.00
20
3000000
20
20.00
19
25.00
23.29
25.00
24.33
1800000
2000000
5300000
0.5
3205000
105000
11154
20.50
20.00
104000000
152700000
87500000
60453
380999
7800000
25
25
25
1000000000
579100000
800000
74100000
0
204727
-1013291
3439185
3364972
6688111
6522386
0
140191
75000000
-2290560
0
352500
Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
For purposes of this table, Other Securities represents the following Credit Investments held as of December 31, 2011, Non-Agency RMBS, ABS and CMBS.
We have chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain (loss) on real estate securities line item. The gross unrealized stated above represents inception to date unrealized gains (losses).
Equity residual investments with a zero coupon rate are excluded from this calculation.
Transfers are assumed to occur at the beginning of the period.
Represents an accounting reclassification from a linked transaction to a real estate security due to event occurring which breaks the link.
Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Linked Transactions are comprised of unobservable inputs from Non-Agency RMBS and CMBS investments.
Includes forward starting swaps with a notional of $100.0 million as of December 31, 2012 and $0.0 million as of December 31, 2011.
This represents the current face of the securities comprising linked transactions.
These figures include forward starting swaps with a total notional of $100.0 million and a weighted average start date of April 2, 2013. Weighted average rates shown are inclusive of rates corresponding to the terms of the swap as if the swap were effective as of December 31, 2012
The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date.
1900000
2200000
60000
00015142812013-02-28
27459346
0001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2010-12-31
0
0001514281mitt:LinkedTransactionsMember2010-12-31
0
0001514281us-gaap:AssetBackedSecuritiesMember2010-12-31
0
0001514281mitt:SaleAgentsMember2012-01-012012-12-31
89466
2100000