----

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| Maryland                                                      | 47-0934168                          |
|---------------------------------------------------------------|-------------------------------------|
| (State or Other Jurisdiction ofIncorporation or Organization) | (I.R.S. EmployerIdentification No.) |

| Large Accelerated Filer o | Accelerated Filer o | Non-Accelerated Filer o | Smaller Reporting Company x |
|---------------------------|---------------------|-------------------------|-----------------------------|

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| PART I. Financial Information                                                                                                | 2  |
|------------------------------------------------------------------------------------------------------------------------------|----|
| Item 1. Condensed Consolidated Financial Statements                                                                          | 2  |
| Condensed Consolidated Balance Sheets as of June 30, 2010 (Unaudited) and December 31, 2009                                  | 2  |
| Unaudited Condensed Consolidated Statements of Operations for the Three and Six Months Ended June 30, 2010 and June 30, 2009 | 3  |
| Unaudited Condensed Consolidated Statement of Stockholders’ Equity for the Six Months Ended June 30, 2010         | 4  |
| Unaudited Condensed Consolidated Statements of Cash Flows for the Six Months Ended June 30, 2010 and June 30, 2009           | 5  |
| Unaudited Notes to the  Condensed Consolidated Financial Statements                                                | 6  |
| Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations                          | 27 |
| Item 3. Quantitative and Qualitative Disclosures about Market Risk                                                           | 46 |
| Item 4. Controls and Procedures                                                                                              | 51 |
| PART II. OTHER INFORMATION                                                                                                   | 52 |
| Item 1A. Risk Factors                                                                                                        | 52 |
| Item 6. Exhibits                                                                                                             | 52 |
| SIGNATURES                                                                                                                   | 53 |

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|                                                                                                                                                          |   | June 30,    |    |   | December 31, |   |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|-------------|---------|--------|--------------|--------|
|                                                                                                                                                          |   | 2010        |    |   | 2009         |   |
| ASSETS                                                                                                                                                        |   | (unaudited) |    |   |         |   |
|                                                                                                                                                          |   |        |    |   |         |   |
| Investment securities - available for sale, at fair value (including pledged    securities of $64,277 and $91,071, respectively)          |   | $           | 115,978 |   |         | $      | 176,691 |   |
| Mortgage loans held in securitization trusts (net)                                                                                                            |   |        | 250,092 |   |         |   | 276,176 |   |
| Cash and cash equivalents                                                                                                                                     |   |        | 34,039  |   |         |   | 24,522 |   |
| Restricted cash                                                                                                                                               |   |        | 2,358   |   |         |   | 3,049 |   |
| Receivable for securities sold                                                                                                                                |   |        | 28,013  |   |         |   | - |   |
| Receivables and other assets                                                                                                                                  |   |        | 8,429   |   |         |   | 8,376 |   |
|    Total Assets                                                                                                                                |   | $           | 438,909 |   |         | $      | 488,814 |   |
|                                                                                                                                                          |   |        |    |   |         |   |   |   |
| LIABILITIES AND STOCKHOLDERS' EQUITY                                                                                                                          |   |        |    |   |         |   |   |   |
|                                                                                                                                                          |   |        |    |   |         |   |   |   |
| Liabilities:                                                                                                                                                  |   |        |    |   |         |   |   |   |
| Financing arrangements, portfolio investments                                                                                                                 |   | $           | 60,315  |   |         | $      | 85,106 |   |
| Collateralized debt obligations                                                                                                                               |   |        | 241,084 |   |         |   | 266,754 |   |
| Derivative liabilities                                                                                                                                        |   |        | 1,955   |   |         |   | 2,511 |   |
| Accounts payable, accrued expenses and other liabilities                                                                                                      |   |        | 5,696   |   |         |   | 6,713 |   |
| Convertible preferred debentures (net)                                                                                                                        |   |        | 19,925  |   |         |   | 19,851 |   |
| Subordinated debentures (net)                                                                                                                                 |   |        | 44,981  |   |         |   | 44,892 |   |
| Total liabilities                                                                                                                                             |   |        | 373,956 |   |         |   | 425,827 |   |
| Commitments and Contingencies                                                                                                                                 |   |        |    |   |         |   |   |   |
| Stockholders' Equity:                                                                                                                                         |   |        |    |   |         |   |   |   |
| Common stock, $0.01 par value, 400,000,000 authorized,  9,419,094 and 9,415,094,    shares issued and outstanding, respectively |   |        | 94      |   |         |   | 94 |   |
| Additional paid-in capital                                                                                                                                    |   |        | 138,564 |   |         |   | 142,519 |   |
| Accumulated other comprehensive income                                                                                                                        |   |        | 13,529  |   |         |   | 11,818 |   |
| Accumulated deficit                                                                                                                                           |   |        | (87,234 | )      |         |   | (91,444 | ) |
| Total stockholders' equity                                                                                                                                    |   |        | 64,953  |   |         |   | 62,987 |   |
| Total Liabilities and Stockholders' Equity                                                                                                                    |   | $           | 438,909 |   |         | $      | 488,814 |   |

----

|                                                                                                                                                           | For the Three Months |   |   | For the Six Months |   |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------|----------------------|--------|--------|--------------------|--------|
|                                                                                                                                                           | Ended June 30,       |   |   | Ended June 30,     |   |
|                                                                                                                                                           | 2010                 |   |   | 2009               |   |   | 2010 |   |   | 2009 |   |
|                                                                                                                                                           |                 |   |   |               |   |   |   |   |   |   |   |
| INTEREST INCOME:                                                                                                                                               |                 |   |   |               |   |   |   |   |   |   |   |
|    Investment securities and loans held in securitization trusts                                                                                | $                    | 5,185  |   |               | $      | 7,621 |   |   | $ | 11,406 |   |   | $ | 16,206 |   |
|                                                                                                                                                           |                 |   |   |               |   |   |   |   |   |   |   |   |   |   |   |
| INTEREST EXPENSE:                                                                                                                                              |                 |   |   |               |   |   |   |   |   |   |   |   |   |   |   |
|    Investment securities and loans held in securitization trusts                                                                                |                 | 1,284  |   |               |   | 2,047 |   |   |   | 2,676 |   |   |   | 5,177 |   |
|    Subordinated debentures                                                                                                                      |                 | 673    |   |               |   | 808 |   |   |   | 1,432 |   |   |   | 1,632 |   |
|    Convertible preferred debentures                                                                                                             |                 | 538    |   |               |   | 608 |   |   |   | 1,200 |   |   |   | 1,145 |   |
|      Total interest expense                                                                                                           |                 | 2,495  |   |               |   | 3,463 |   |   |   | 5,308 |   |   |   | 7,954 |   |
|                                                                                                                                                           |                 |   |   |               |   |   |   |   |   |   |   |   |   |   |   |
| NET INTEREST INCOME                                                                                                                                            |                 | 2,690  |   |               |   | 4,158 |   |   |   | 6,098 |   |   |   | 8,252 |   |
|                                                                                                                                                           |                 |   |   |               |   |   |   |   |   |   |   |   |   |   |   |
| OTHER INCOME (EXPENSE):                                                                                                                                        |                 |   |   |               |   |   |   |   |   |   |   |   |   |   |   |
|     Provision for loan losses                                                                                                              |                 | (600   | )      |               |   | (259 | ) |   |   | (602 | ) |   |   | (888 | ) |
|     Impairment loss on investment securities                                                                                               |                 | -      |   |               |   | - |   |   |   | - |   |   |   | (119 | ) |
|     Realized gain on investment securities             and related hedges |                 | 1,291  |   |               |   | 141 |   |   |   | 2,098 |   |   |   | 264 |   |
|       Total other income (expense)                                                                                               |                 | 691    |   |               |   | (118 | ) |   |   | 1,496 |   |   |   | (743 | ) |
|                                                                                                                                                           |                 |   |   |               |   |   |   |   |   |   |   |   |   |   |   |
|     General, administrative and other expenses                                                                                             |                 | 2,107  |   |               |   | 1,602 |   |   |   | 3,963 |   |   |   | 3,172 |   |
|                                                                                                                                                           |                 |   |   |               |   |   |   |   |   |   |   |   |   |   |   |
| INCOME  FROM CONTINUING OPERATIONS                                                                                                                   |                 | 1,274  |   |               |   | 2,438 |   |   |   | 3,631 |   |   |   | 4,337 |   |
| Income from discontinued operation - net of tax                                                                                                                |                 | 268    |   |               |   | 109 |   |   |   | 579 |   |   |   | 264 |   |
| NET INCOME                                                                                                                                                     | $                    | 1,542  |   |               | $      | 2,547 |   |   | $ | 4,210 |   |   | $ | 4,601 |   |
|                                                                                                                                                           |                 |   |   |               |   |   |   |   |   |   |   |   |   |   |   |
| Basic income per common share                                                                                                                                  | $                    | 0.16   |   |               | $      | 0.27 |   |   | $ | 0.45 |   |   | $ | 0.49 |   |
| Diluted income per common share                                                                                                                                | $                    | 0.16   |   |               | $      | 0.27 |   |   | $ | 0.45 |   |   | $ | 0.49 |   |
| Dividends declared per common share                                                                                                                            | $                    | 0.18   |   |               | $      | 0.23 |   |   | $ | 0.43 |   |   | $ | 0.41 |   |
| Weighted average shares outstanding-basic                                                                                                                      |                 | 9,419  |   |               |   | 9,320 |   |   |   | 9,419 |   |   |   | 9,320 |   |
| Weighted average shares outstanding-diluted                                                                                                                    |                 | 11,919 |   |               |   | 11,820 |   |   |   | 11,919 |   |   |   | 11,820 |   |

----

|                                                                                                                                     |   |   |   |   |       |   |    |        |   |   | Accumulated   |   |   |          |   |   |   |   |
|------------------------------------------------------------------------------------------------------------------------------------------|--------|--------|--------|--------|------------|--------|---------|-------------|--------|--------|---------------|--------|--------|---------------|--------|--------|--------|--------|
|                                                                                                                                     |   |   |   |   | Additional |   |    |        |   |   | Other         |   |   |          |   |   |   |   |
|                                                                                                                                     |   | Common |   |   | Paid-In    |   |    | Accumulated |   |   | Comprehensive |   |   | Comprehensive |   |   |   |   |
|                                                                                                                                     |   | Stock  |   |   | Capital    |   |    | Deficit     |   |   | Income/(Loss) |   |   | Income        |   |   | Total  |   |
| Balance, December 31, 2009                                                                                                               |   | $      | 94     |   |       | $      | 142,519 |        |   | $      | (91,444       | )      |   | $             | 11,818 |   |   | $      | - |   |   | $ | 62,987 |   |
|   Net income                                                                                                                   |   |   | -      |   |       |   | -       |        |   |   | 4,210         |   |   |          | -      |   |   |   | 4,210 |   |   |   | 4,210 |   |
|   Restricted Stock issuance                                                                                                    |   |   | -      |   |       |   | 95      |        |   |   | -             |   |   |          | -      |   |   |   | - |   |   |   | 95 |   |
|   Dividends declared                                                                                                           |   |   | -      |   |       |   | (4,050  | )           |   |   | -             |   |   |          | -      |   |   |   | - |   |   |   | (4,050 | ) |
|   Reclassification adjustment for      net gain included in net income                           |   |   | -      |   |       |   | -       |        |   |   | -             |   |   |          | (2,016 | )      |   |   | (2,016 | ) |   |   | (2,016 | ) |
|   Increase in net unrealized gain on        available for sale securities              |   |   | -      |   |       |   | -       |        |   |   | -             |   |   |          | 2,866  |   |   |   | 2,866 |   |   |   | 2,866 |   |
|   Increase in fair value of    derivative instruments utilized for    cash flow hedges |   |   | -      |   |       |   | -       |        |   |   | -             |   |   |          | 861    |   |   |   | 861 |   |   |   | 861 |   |
|   Comprehensive income                                                                                                         |   |   | -      |   |       |   | -       |        |   |   | -             |   |   |          | -      |   |   | $      | 5,921 |   |   |   | - |   |
| Balance, June 30, 2010                                                                                                                   |   | $      | 94     |   |       | $      | 138,564 |        |   | $      | (87,234       | )      |   | $             | 13,529 |   |   |   |   |   |   | $ | 64,953 |   |

----

|                                                                                                                                                                                                              |   | For the Six Months Ended |    |
|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------------------------|---------|
|                                                                                                                                                                                                              |   | June 30,                 |    |
|                                                                                                                                                                                                              |   | 2010                     |    |   | 2009 |   |
| Cash Flows from Operating Activities:                                                                                                                                                                             |   |                     |    |   |   |   |
| Net income                                                                                                                                                                                                        |   | $                        | 4,210   |   |   | $ | 4,601 |   |
| Adjustments to reconcile net income to net cash provided by operating activities:                                                                                                                                 |   |                     |    |   |   |   |   |   |
|     Depreciation and amortization                                                                                                                                                             |   |                     | 485     |   |   |   | 710 |   |
|     Amortization of (discount) premium on investment securities and mortgage             loans held in securitization trusts |   |                     | (1,372  | ) |   |   | 193 |   |
|     Realized gain on securities and related hedges                                                                                                                                            |   |                     | (2,098  | ) |   |   | (264 | ) |
|     Impairment loss on investment securities                                                                                                                                                  |   |                     | -       |   |   |   | 119 |   |
|     Provision for loan losses                                                                                                                                                                 |   |                     | 602     |   |   |   | 888 |   |
|     Lower of cost or market adjustment mortgage loans held for sale                                                                                                                           |   |                     | -       |   |   |   | 306 |   |
|     Restricted stock issuance                                                                                                                                                                 |   |                     | 95      |   |   |   | - |   |
|     Changes in operating assets and liabilities:                                                                                                                                              |   |                     |    |   |   |   | - |   |
|       Receivables and other assets                                                                                                                                                  |   |                     | (260    | ) |   |   | (641 | ) |
|       Accounts payable, accrued expenses and other liabilities                                                                                                                      |   |                     | (358    | ) |   |   | (1,433 | ) |
|       Payments received on loans held for sale                                                                                                                                      |   |                     | 16      |   |   |   | 969 |   |
| Net cash provided by operating activities                                                                                                                                                                         |   |                     | 1,320   |   |   |   | 5,448 |   |
|                                                                                                                                                                                                              |   |                     |    |   |   |   |   |   |
| Cash Flows from Investing Activities:                                                                                                                                                                             |   |                     |    |   |   |   |   |   |
|     Restricted cash                                                                                                                                                                           |   |                     | 690     |   |   |   | 4,690 |   |
|     Purchases of investment securities                                                                                                                                                        |   |                     | -       |   |   |   | (20,669 | ) |
|     Proceeds from sales of investment securities                                                                                                                                              |   |                     | 4,961   |   |   |   | 196,252 |   |
|     Principal repayments received on mortgage loans held in securitization trusts                                                                                                             |   |                     | 25,491  |   |   |   | 33,130 |   |
|     Principal paydowns on investment securities - available for sale                                                                                                                          |   |                     | 32,328  |   |   |   | 37,806 |   |
| Net cash provided by investing activities                                                                                                                                                                         |   |                     | 63,470  |   |   |   | 251,209 |   |
|                                                                                                                                                                                                              |   |                     |    |   |   |   |   |   |
| Cash Flows from Financing Activities:                                                                                                                                                                             |   |                     |    |   |   |   |   |   |
|     Decrease in financing arrangements                                                                                                                                                        |   |                     | (24,791 | ) |   |   | (214,178 | ) |
|     Dividends paid                                                                                                                                                                            |   |                     | (4,710  | ) |   |   | (2,610 | ) |
|     Payments made on collateralized debt obligations                                                                                                                                          |   |                     | (25,772 | ) |   |   | (33,459 | ) |
| Cash used in financing activities                                                                                                                                                                                 |   |                     | (55,273 | ) |   |   | (250,247 | ) |
| Net Increase in Cash and Cash Equivalents                                                                                                                                                                         |   |                     | 9,517   |   |   |   | 6,410 |   |
| Cash and Cash Equivalents - Beginning of Period                                                                                                                                                                   |   |                     | 24,522  |   |   |   | 9,387 |   |
| Cash and Cash Equivalents - End of Period                                                                                                                                                                         |   | $                        | 34,039  |   |   | $ | 15,797 |   |
|                                                                                                                                                                                                              |   |                     |    |   |   |   |   |   |
| Supplemental Disclosure:                                                                                                                                                                                          |   |                     |    |   |   |   |   |   |
| Cash paid for interest                                                                                                                                                                                            |   | $                        | 4,823   |   |   | $ | 8,537 |   |
|                                                                                                                                                                                                              |   |                     |    |   |   |   |   |   |
| Non-Cash Investment Activities:                                                                                                                                                                                   |   |                     |    |   |   |   |   |   |
| Purchase of investment securities not yet settled                                                                                                                                                                 |   | $                        | -       |   |   | $ | 683 |   |
| Sale of investment securities not yet settled                                                                                                                                                                     |   | $                        | 28,013  |   |   | $ | - |   |
|                                                                                                                                                                                                              |   |                     |    |   |   |   |   |   |
| Non-Cash Financing Activities:                                                                                                                                                                                    |   |                     |    |   |   |   |   |   |
| Dividends declared to be paid in subsequent period                                                                                                                                                                |   | $                        | 1,695   |   |   | $ | 2,143 |   |

----

----

----

|   | · | the items to be hedged expose the Company to interest rate risk; and |
|--------|--------|----------------------------------------------------------------------|

|   | · | the interest rate swaps or caps are expected to be and continue to be highly effective in reducing the Company's exposure to interest rate risk. |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------|

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----

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|                            |   | AmortizedCost |    |   | UnrealizedGains |   |   | UnrealizedLosses |   |   | CarryingValue |   |
|---------------------------------|--------|---------------|---------|--------|-----------------|--------|--------|------------------|--------|--------|---------------|--------|
| Agency RMBS                     |   | $             | 57,761  |   |            | $      | 2,290  |             |   | $      | —       |   |   | $ | 60,051 |   |
| Non-Agency RMBS                 |   |          | 32,503  |   |            |   | 4,117  |             |   |   | (2,317        | )      |   |   | 34,303 |   |
| Collateralized Loan Obligations |   |          | 10,142  |   |            |   | 11,482 |             |   |   | —       |   |   |   | 21,624 |   |
|   Total               |   | $             | 100,406 |   |            | $      | 17,889 |             |   | $      | (2,317        | )      |   | $ | 115,978 |   |

|                            |   | AmortizedCost |    |   | UnrealizedGains |   |   | UnrealizedLosses |   |   | CarryingValue |   |
|---------------------------------|--------|---------------|---------|--------|-----------------|--------|--------|------------------|--------|--------|---------------|--------|
| Agency RMBS                     |   | $             | 112,525 |   |            | $      | 3,701  |             |   | $      | —       |   |   | $ | 116,226 |   |
| Non-Agency RMBS                 |   |          | 40,257  |   |            |   | 4,764  |             |   |   | (2,155        | )      |   |   | 42,866 |   |
| Collateralized Loan Obligations |   |          | 9,187   |   |            |   | 8,412  |             |   |   | —       |   |   |   | 17,599 |   |
|   Total               |   | $             | 161,969 |   |            | $      | 16,877 |             |   | $      | (2,155        | )      |   | $ | 176,691 |   |

----

|                   | Less than 6 Months |    | More than 6 Monthsto 24 Months |    | More than 24 Monthsto 60 Months |   | Total                |
|------------------------|-----------------------------------|---------|----------------------------------------------------|---------|-----------------------------------------------------|--------|----------------------|
|                   | CarryingValue                     |    | WeightedAverageYield                               |    | CarryingValue                                       |   | WeightedAverageYield |   | CarryingValue |   | WeightedAverageYield |   | CarryingValue |   | WeightedAverageYield |
| Agency RMBS            | $                                 | — |                                               | — |                                                | $      | 32,922               |   | 2.18% |   | $ | 27,129 |   | 2.43% |   | $ | 60,051 |   | 2.29% |
| Non-Agency RMBS        |                              | 16,766  |                                               | 13.73%  |                                                |   | 5,573                |   | 6.54% |   |   | 11,964 |   | 9.12% |   |   | 34,303 |   | 10.95% |
| CLO                    |                              | 21,624  |                                               | 20.63%  |                                                |   | —              |   | — |   |   | — |   | — |   |   | 21,624 |   | 20.63% |
| Total/Weighted Average | $                                 | 38,390  |                                               | 17.62%  |                                                | $      | 38,495               |   | 2.81% |   | $ | 39,093 |   | 4.48% |   | $ | 115,978 |   | 8.27% |

|                   | Less than 6 Months |    | More than 6 Monthsto 24 Months |    | More than 24 Monthsto 60 Months |   | Total                |
|------------------------|-----------------------------------|---------|----------------------------------------------------|---------|-----------------------------------------------------|--------|----------------------|
|                   | CarryingValue                     |    | WeightedAverageYield                               |    | CarryingValue                                       |   | WeightedAverageYield |   | CarryingValue |   | WeightedAverageYield |   | CarryingValue |   | WeightedAverageYield |
| Agency RMBS            | $                                 | — |                                               | — |                                                | $      | 42,893               |   | 2.07% |   | $ | 73,333 |   | 2.54% |   | $ | 116,226 |   | 2.37% |
| Non-Agency RMBS        |                              | 22,065  |                                               | 10.15%  |                                                |   | 4,865                |   | 7.23% |   |   | 15,936 |   | 9.57% |   |   | 42,866 |   | 9.61% |
| CLO                    |                              | 17,599  |                                               | 23.48%  |                                                |   | —              |   | — |   |   | — |   | — |   |   | 17,599 |   | 23.48% |
| Total/Weighted Average | $                                 | 39,664  |                                               | 16.07%  |                                                | $      | 47,758               |   | 2.60% |   | $ | 89,269 |   | 3.80% |   | $ | 176,691 |   | 6.23% |

| June 30, 2010   | Less than 12 Months |    |             | Greater than 12 Months |    |          | Total  |             |
|-----------------|---------------------|---------|------------------|------------------------|---------|---------------|--------|------------------|
|            | CarryingValue       |    | UnrealizedLosses |                   |    | CarryingValue |   | UnrealizedLosses |   |   | CarryingValue |   | UnrealizedLosses |   |
| Non-Agency RMBS | $                   | — |             | $                      | — |          |   | $                | 9,659 |   | $ | 2,317 |   |   | $ | 9,659 |   | $ | 2,317 |   |
| Total           | $                   | — |             | $                      | — |          |   | $                | 9,659 |   | $ | 2,317 |   |   | $ | 9,659 |   | $ | 2,317 |   |

| December 31, 2009 | Less than 12 Months |    |             | Greater than 12 Months |    |          | Total  |             |
|-------------------|---------------------|---------|------------------|------------------------|---------|---------------|--------|------------------|
|              | CarryingValue       |    | UnrealizedLosses |                   |    | CarryingValue |   | UnrealizedLosses |   |   | CarryingValue |   | UnrealizedLosses |   |
| Non-Agency RMBS   | $                   | — |             | $                      | — |          |   | $                | 14,693 |   | $ | 2,155 |   |   | $ | 14,693 |   | $ | 2,155 |   |
| Total             | $                   | — |             | $                      | — |          |   | $                |  14,693 |   | $  | 2,155 |   |   | $  | 14,693 |   | $  |  2,155 |   |

----

|                                   |   | June 30,2010 |    |   | December 31,2009 |   |
|---------------------------------------------|--------|--------------|---------|--------|------------------|--------|
| Mortgage loans principal amount        |   | $            | 250,982 |   |             | $      | 277,007 |   |
| Deferred origination costs – net |   |         | 1,583   |   |             |   | 1,750 |   |
| Reserve for loan losses                     |   |         | (2,473  | )      |             |   | (2,581 | ) |
| Total                                       |   | $            | 250,092 |   |             | $      | 276,176 |   |

|                                |   | Six Months Ended June 30, |   |
|-------------------------------------|--------|---------------------------|--------|
|                                |   | 2010                      |   |   | 2009 |   |
| Balance at beginning of period |   | $                         | 2,581  |   |   | $ | 844 |   |
| Provision for loan losses           |   |                      | 493    |   |   |   | 802 |   |
| Transfer to real estate owned       |   |                      | (383   | ) |   |   | (92 | ) |
| Charge-offs                         |   |                      | (218   | ) |   |   | — |   |
| Balance at the end of period        |   | $                         | 2,473  |   |   | $ | 1,554 |   |

|                                                       |   | June 30,2010 |   |   | December 31,2009 |   |
|------------------------------------------------------------|--------|--------------|--------|--------|------------------|--------|
| Balance at beginning of period                        |   | $            | 546    |   |             | $      | 1,366 |   |
| Write downs                                                |   |         | (109   | )      |             |   | (70 | ) |
| Transfer from mortgage loans held in securitization trusts |   |         | 551    |   |             |   | 826 |   |
| Disposal                                                   |   |         | (618   | )      |             |   | (1,576 | ) |
| Balance at the end of period                          |   | $            | 370    |   |             | $      | 546 |   |

----

| June 30, 2010                         |   |   |                     |   |   |              |   |   |              |   |
|---------------------------------------|--------|--------|--------------------------|--------|--------|-------------------|--------|--------|-------------------|--------|
| Days Late                             |   |   | Number ofDelinquentLoans |   |   | TotalDollarAmount |   |   | % ofLoanPortfolio |   |
| 30-60                                 |   |   | 2                        |   |   | $                 | 673    |   |              | 0.27   | % |
| 61-90                                 |   |   | 3                        |   |   |              | 1,133  |   |              | 0.45   | % |
| 90+                                   |   |   | 38                       |   |   |              | 17,743 |   |              | 7.05   | % |
| Real estate owned through foreclosure |   |   | 2                        |   |   |              | 676    |   |              | 0.28   | % |

| December 31, 2009                     |   |   |                     |   |   |              |   |   |              |   |
|---------------------------------------|--------|--------|--------------------------|--------|--------|-------------------|--------|--------|-------------------|--------|
| Days Late                             |   |   | Number ofDelinquentLoans |   |   | TotalDollarAmount |   |   | % ofLoanPortfolio |   |
| 30-60                                 |   |   | 5                        |   |   | $                 | 2,816  |   |              | 1.01   | % |
| 61-90                                 |   |   | 4                        |   |   |              | 1,150  |   |              | 0.41   | % |
| 90+                                   |   |   | 32                       |   |   |              | 15,915 |   |              | 5.73   | % |
| Real estate owned through foreclosure |   |   | 2                        |   |   |              | 739    |   |              | 0.27   | % |

----

| Derivative Designated as Hedging Instruments |   | Balance Sheet Location |   | June 30,2010 |    | December 31,2009 |   |
|----------------------------------------------|--------|------------------------|--------|--------------|---------|------------------|--------|
| Interest Rate Caps                           |   | Other Assets           |   | $            | — |             | $      | 4 |   |
| Interest Rate Swaps                          |   | Derivative Liabilities |   |         | 1,955   |             |   | 2,511 |   |

|                                                                                 |   | Six Months Ended June 30, |    |
|--------------------------------------------------------------------------------------|--------|--------------------------------|---------|
| Derivative Designated as Hedging Instruments                                         |   | 2010                           |    |   | 2009 |   |
| Accumulated other comprehensive income (loss) for derivative instruments:            |   |                           |    |   |   |   |
| Balance at beginning of the period                                                   |   | $                              | (2,905) |   |   | $ | (5,560) |   |
| Unrealized gain on interest rate caps                                                |   |                           | 306     |   |   |   | 485 |   |
| Unrealized gain on interest rate swaps                                               |   |                           | 555     |   |   |   | 1,141 |   |
| Reclassification adjustment for net gains (losses) included in net income for hedges |   |                           | — |   |   |   | — |   |
| Balance at the end of the period                                                     |   | $                              | (2,044) |   |   | $ | (3,934) |   |

|                                                                           |   | Three Months Ended June 30, |    | Six Months Ended June 30, |   |
|--------------------------------------------------------------------------------|--------|-----------------------------|---------|---------------------------|--------|
|                                                                           |   | 2010                        |    |                      | 2009   |   | 2010 |   | 2009 |   |
| Interest Rate Caps:                                                            |   |                        |    |                      |   |   |   |   |   |   |
| Interest expense-investment securities and loans held in securitization trusts |   | $                           | 94      |                      |   | $ | 168 |   |   | $ | 217 |   |   | $ | 328 |   |
| Interest expense-subordinated debentures                                       |   |                        | — |                      |   |   | 81 |   |   |   | 92 |   |   |   | 161 |   |
| Interest Rate Swaps:                                                           |   |                        |    |                      |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest expense-investment securities and loans held in securitization trusts |   |                        | 662     |                      |   |   | 812 |   |   |   | 1,387 |   |   |   | 1,665 |   |

----

|                                |   | June 30, 2010  |    |   | December 31, 2009                      |   |
|-------------------------------------|--------|----------------|---------|--------|----------------------------------------|--------|
| Maturity (1)                        |   | NotionalAmount |    |   | Weighted AverageFixed PayInterest Rate |   |   | NotionalAmount |   |   | Weighted AverageFixed PayInterest Rate |   |
| Within 30 Days                      |   | $              | 2,910   |   |                                   |   | 2.99 | % |   | $ | 2,070 |   |   |   | 2.99 | % |
| Over 30 days to 3 months            |   |           | 7,860   |   |                                   |   | 2.98 |   |   |   | 3,700 |   |   |   | 2.99 |   |
| Over 3 months to 6 months           |   |           | 23,770  |   |                                   |   | 2.98 |   |   |   | 8,330 |   |   |   | 2.99 |   |
| Over 6 months to 12 months          |   |           | 28,470  |   |                                   |   | 3.00 |   |   |   | 34,540 |   |   |   | 2.98 |   |
| Over 12 months to 24 months         |   |           | 21,170  |   |                                   |   | 3.02 |   |   |   | 34,070 |   |   |   | 3.00 |   |
| Over 24 months to 36 months         |   |           | 9,190   |   |                                   |   | 2.93 |   |   |   | 16,380 |   |   |   | 3.01 |   |
| Over 36 months to 48 months         |   |           | — |   |                                   |   | — |   |   |   | 8,380 |   |   |   | 2.93 |   |
|      Total |   | $              | 93,370  |   |                                   |   | 2.99 | % |   | $ | 107,470 |   |   |   | 2.99 | % |

| (1) | The Company enters into scheduled amortizing interest rate swap transactions whereby the Company pays a fixed rate of interest and receives one month LIBOR. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

|                                          |   | Three MonthsEnded June 30, |   | Six MonthsEnded June 30, |   |
|-----------------------------------------------|--------|----------------------------|--------|--------------------------|--------|
|                                          |   | 2010                       |   |                     | 2009   |   | 2010 |   | 2009 |   |
| Revenues                                      |   | $                          | 388    |                     |   | $ | 220 |   |   | $ | 747 |   |   | $ | 510 |   |
| Expenses                                      |   |                       | 120    |                     |   |   | 111 |   |   |   | 168 |   |   |   | 246 |   |
| Income from discontinued operation-net of tax |   | $                          | 268    |                     |   | $ | 109 |   |   | $ | 579 |   |   | $ | 264 |   |

----

|          |   | June 30,2010 |   |   | December 31,2009 |   |
|---------------|--------|--------------|--------|--------|------------------|--------|
| New York      |   |         | 37.6   | %      |             |   | 38.9 | % |
| Massachusetts |   |         | 25.6   | %      |             |   | 24.3 | % |
| New Jersey    |   |         | 8.3    | %      |             |   | 8.5 | % |
| Florida       |   |         | 5.9    | %      |             |   | 5.7 | % |

----

|                          |   | Measured at Fair Value on a Recurring Basisat June 30, 2010 |    |
|-------------------------------|--------|-------------------------------------------------------------|---------|
|                          |   | Level 1                                                |    |   | Level 2 |   |   | Level 3 |   |   | Total |   |
| Assets carried at fair value: |   |                                                        |    |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Agency RMBS                   |   | $                                                           | — |   |   | $ | 60,051 |   |   | $ | — |   |   | $ | 60,051 |   |
| Non-Agency RMBS               |   |                                                        | — |   |   |   | 34,303 |   |   |   | — |   |   |   | 34,303 |   |
| CLO                           |   |                                                        | — |   |   |   | — |   |   |   | 21,624 |   |   |   | 21,624 |   |
| Total                         |   | $                                                           | — |   |   | $ | 94,354 |   |   | $ | 21,624 |   |   | $ | 115,978 |   |

| Liabilities carried at fair value:           |   |   |    |   |   |   |   |   |
|----------------------------------------------|--------|--------|---------|--------|--------|--------|--------|--------|
| Derivative liabilities (interest rate swaps) |   | $      | — |   |   | $      | 1,955  |   |   | $ | — |   |   | $ | 1,955 |   |
| Total                                        |   | $      | — |   |   | $      | 1,955  |   |   | $ | — |   |   | $ | 1,955 |   |

|                                   |   | Measured at Fair Value on a Recurring Basisat December 31, 2009 |    |
|----------------------------------------|--------|-----------------------------------------------------------------|---------|
|                                   |   | Level 1                                                    |    |   | Level 2 |   |   | Level 3 |   |   | Total |   |
| Assets carried at fair value:          |   |                                                            |    |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Agency RMBS                            |   | $                                                               | — |   |   | $ | 116,226 |   |   | $ | — |   |   | $ | 116,226 |   |
| Non-Agency RMBS                        |   |                                                            | — |   |   |   | 42,866 |   |   |   | — |   |   |   | 42,866 |   |
| CLO                                    |   |                                                            | — |   |   |   | — |   |   |   | 17,599 |   |   |   | 17,599 |   |
| Derivative assets (interest rate caps) |   |                                                            | — |   |   |   | 4 |   |   |   | — |   |   |   | 4 |   |
| Total                                  |   | $                                                               | — |   |   | $ | 159,096 |   |   | $ | 17,599 |   |   | $ | 176,695 |   |

| Liabilities carried at fair value:           |   |   |    |   |   |   |   |   |   |   |    |   |   |   |   |   |
|----------------------------------------------|--------|--------|---------|--------|--------|--------|--------|--------|--------|--------|---------|--------|--------|--------|--------|--------|
| Derivative liabilities (interest rate swaps) |   | $      | — |   |   | $      | 2,511  |   |   | $      | — |   |   | $      | 2,511  |   |
| Total                                        |   | $      | — |   |   | $      | 2,511  |   |   | $      | — |   |   | $      | 2,511  |   |

|                                          |   | Six Months Ended June 30, |    |
|-----------------------------------------------|--------|---------------------------|---------|
|                                          |   | 2010                      |    |   | 2009 |   |
| Balance at beginning of period                |   | $                         | 17,599  |   |   | $ | — |   |
| Total gains (realized/unrealized)             |   |                      |    |   |   |   |   |   |
| Included in earnings (1)                      |   |                      | 954     |   |   |   | 105 |   |
| Included in other comprehensive income/(loss) |   |                      | 3,071   |   |   |   | 155 |   |
| Purchases                                     |   |                      | — |   |   |   | 8,728 |   |
| Balance at the end of period             |   | $                         | 21,624  |   |   | $ | 8,988 |   |

----

|                                                                      | Assets Measured at Fair Value on a Non-Recurring Basisat June 30, 2010 |   |
|---------------------------------------------------------------------------|------------------------------------------------------------------------|--------|
|                                                                      | Level 1                                                           |   | Level 2 |   | Level 3 |   | Total |   |
| Mortgage loans held for sale (net)                                        |                                                                   | $      | — |   |   | $ | — |   |   | $ | 3,825 |   |   | $ | 3,825 |   |
| Mortgage loans held in securitization trusts (net) – impaired loans |                                                                   |   | — |   |   |   | — |   |   |   | 8,335 |   |   |   | 8,335 |   |
| Real estate owned held in securitization trusts                           |                                                                   |   | — |   |   |   | — |   |   |   | 370 |   |   |   | 370 |   |

|                                                                      | Assets Measured at Fair Value on a Non-Recurring Basisat December 31, 2009 |   |
|---------------------------------------------------------------------------|----------------------------------------------------------------------------|--------|
|                                                                      | Level 1                                                               |   | Level 2 |   | Level 3 |   | Total |   |
| Mortgage loans held for sale (net)                                        |                                                                       | $      | — |   |   | $ | — |   |   | $ | 3,841 |   |   | $ | 3,841 |   |
| Mortgage loans held in securitization trusts (net) – impaired loans |                                                                       |   | — |   |   |   | — |   |   |   | 7,090 |   |   |   | 7,090 |   |
| Real estate owned held in securitization trusts                           |                                                                       |   | — |   |   |   | — |   |   |   | 546 |   |   |   | 546 |   |

|                                                                      |   | Three Months Ended |    | Six Months Ended |          |
|---------------------------------------------------------------------------|--------|--------------------|---------|------------------|---------------|
|                                                                      |   | June 30, 2010      |    |             | June 30, 2009 |   | June 30, 2010 |   | June 30, 2009 |   |
| Mortgage loans held for sale (net)                                        |   | $                  | — |             |          | $ | 143 |   |   | $ | — |   |   | $ | 246 |   |
| Mortgage loans held in securitization trusts (net) – impaired loans |   |               | 491     |             |          |   | 266 |   |   |   | 493 |   |   |   | 802 |   |

----

|                                               |   | June 30, 2010 |    |   | December 31, 2009   |    |
|----------------------------------------------------|--------|---------------|---------|--------|---------------------|---------|
|                                               |   | CarryingValue |    |   | EstimatedFair Value |    |   | CarryingValue |   |   | EstimatedFair Value |   |
| Financial assets:                                  |   |          |    |   |                |    |   |   |   |   |   |   |
| Cash and cash equivalents                          |   | $             | 34,039  |   |                | $       | 34,039 |   |   | $ | 24,522 |   |   | $ | 24,522 |   |
| Restricted cash                                    |   |          | 2,358   |   |                |    | 2,358 |   |   |   | 3,049 |   |   |   | 3,049 |   |
| Investment securities – available for sale   |   |          | 115,978 |   |                |    | 115,978 |   |   |   | 176,691 |   |   |   | 176,691 |   |
| Mortgage loans held in securitization trusts (net) |   |          | 250,092 |   |                |    | 211,274 |   |   |   | 276,176 |   |   |   | 253,833 |   |
| Derivative assets                                  |   |          | — |   |                |    | — |   |   |   | 4 |   |   |   | 4 |   |
|                                               |   |          |    |   |                |    |   |   |   |   |   |   |   |   |   |   |
| Financial Liabilities:                             |   |          |    |   |                |    |   |   |   |   |   |   |   |   |   |   |
| Financing arrangements, portfolio investments      |   |  $       | 60,315  |   |                |  $ | 60,315 |   |   |  $ | 85,106 |   |   |  $ | 85,106 |   |
| Collateralized debt obligations                    |   |          | 241,084 |   |                |    | 203,309 |   |   |   | 266,754 |   |   |   | 211,032 |   |
| Derivative liabilities                             |   |          | 1,955   |   |                |    | 1,955 |   |   |   | 2,511 |   |   |   | 2,511 |   |
| Subordinated debentures (net)                      |   |          | 44,981  |   |                |    | 28,761 |   |   |   | 44,892 |   |   |   | 26,563 |   |
| Convertible preferred debentures (net)             |   |          | 19,925  |   |                |    | 19,778 |   |   |   | 19,851 |   |   |   | 19,363 |   |

----

| Period              | Declaration Date     | Record Date           | Payment Date           |   | CashDividendPer Share |   |
|---------------------|----------------------|-----------------------|------------------------|--------|-----------------------|--------|
| Second Quarter 2010 | June 16, 2010        | July 6, 2010          | July 26, 2010          |   | $                     | 0.18   |   |
| First Quarter 2010  |  March 16, 2010 | April 1, 2010         | April 26, 2010         |   |                  | 0.25   |   |
| Fourth Quarter 2009 | December 21,2009     |  January 7, 2010 |  January 26, 2010 |   |                  | 0.25   |   |
| Third Quarter 2009  | September 29, 2009   | October 13, 2009      | October 26, 2009       |   |                  | 0.25   |   |
| Second Quarter 2009 | June 15, 2009        | June 26, 2009         | July 27, 2009          |   |                  | 0.23   |   |
| First Quarter 2009  | March 25, 2009       | April 6, 2009         | April 27, 2009         |   |                  | 0.18   |   |

|   Period       | Declaration Date    | Record Date             | Payment Date     |   | CashDividendPer Share |   |
|---------------------|---------------------|-------------------------|------------------|--------|-----------------------|--------|
| Second Quarter 2010 | June 16, 2010       | June 30, 2010           | July 30, 2010    |   | $                     | 0.50   |   |
| First Quarter 2010  | March 16, 2010      | March 31, 2010          | April 30, 2010   |   |                  | 0.63   |   |
| Fourth Quarter 2009 | December 21, 2009   |  December 31, 2009 | January 29, 2010 |   |                  | 0.63   |   |
| Third Quarter 2009  | September 29 , 2009 | September 30, 2009      | October 30, 2009 |   |                  | 0.63   |   |
| Second Quarter 2009 | June 15, 2009       | June 30, 2009           | July 30, 2009    |   |                  | 0.58   |   |
| First Quarter 2009  | March 25, 2009      | March 31, 2009          | April 30, 2009   |   |                  | 0.50   |   |

----

|                                                 |   | For the Three Months EndedJune 30, |   |   | For the Six Months EndedJune 30, |   |
|------------------------------------------------------|--------|------------------------------------|--------|--------|----------------------------------|--------|
|                                                 |   | 2010                               |   |   | 2009                             |   |   | 2010 |   |   | 2009 |   |
| Numerator :                                          |   |                               |   |   |                             |   |   |   |   |   |   |   |
| Net income – Basic                             |   | $                                  | 1,542  |   |                             | $      | 2,547 |   |   | $ | 4,210 |   |   | $ | 4,601 |   |
| Net income from continuing operations                |   |                               | 1,274  |   |                             |   | 2,438 |   |   |   | 3,631 |   |   |   | 4,337 |   |
| Net income from discontinued operations (net of tax) |   |                               | 268    |   |                             |   | 109 |   |   |   | 579 |   |   |   | 264 |   |
| Effect of dilutive instruments:                      |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| Convertible preferred debentures                     |   |                               | 538    |   |                             |   | 608 |   |   |   | 1,200 |   |   |   | 1,145 |   |
| Net income – Dilutive                     |   |                               | 2,080  |   |                             |   | 3,155 |   |   |   | 5,410 |   |   |   | 5,746 |   |
| Net income from continuing operations                |   |                               | 1,812  |   |                             |   | 3,046 |   |   |   | 4,831 |   |   |   | 5,482 |   |
| Net income from discontinued operations (net of tax) |   | $                                  | 268    |   |                             | $      | 109 |   |   | $ | 579 |   |   | $ | 264 |   |
| Denominator:                                         |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| Weighted average basis shares outstanding            |   |                               | 9,419  |   |                             |   | 9,320 |   |   |   | 9,419 |   |   |   | 9,320 |   |
| Effect of dilutive instruments:                      |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| Convertible preferred debentures                     |   |                               | 2,500  |   |                             |   | 2,500 |   |   |   | 2,500 |   |   |   | 2,500 |   |
| Weighted average dilutive shares outstanding         |   |                               | 11,919 |   |                             |   | 11,820 |   |   |   | 11,919 |   |   |   | 11,820 |   |
| EPS:                                                 |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| Basic EPS                                            |   | $                                  | 0.16   |   |                             | $      | 0.27 |   |   | $ | 0.45 |   |   | $ | 0.49 |   |
| Basic EPS from continuing operations                 |   |                               | 0.14   |   |                             |   | 0.26 |   |   |   | 0.39 |   |   |   | 0.46 |   |
| Basic EPS from discontinued operations (net of tax)  |   |                               | 0.02   |   |                             |   | 0.01 |   |   |   | 0.06 |   |   |   | 0.03 |   |
| Dilutive EPS                                         |   | $                                  | 0.16   |   |                             | $      | 0.27 |   |   | $ | 0.45 |   |   | $ | 0.49 |   |
| Dilutive EPS from continuing operations              |   |                               | 0.14   |   |                             |   | 0.26 |   |   |   | 0.39 |   |   |   | 0.46 |   |
| Basic EPS from discontinued operations (net of tax)  |   |                               | 0.02   |   |                             |   | 0.01 |   |   |   | 0.06 |   |   |   | 0.03 |   |

----

----

|                                             |   | Number ofNon-vestedRestrictedShares |    |   | WeightedAverageGrant DateFair Value |   |
|--------------------------------------------------|--------|-------------------------------------|---------|--------|-------------------------------------|--------|
| Non-vested shares at January 1, 2010             |   |                                | 60,665  |   |                                | $      | 5.28 |   |
| Granted                                          |   |                                | 4,000   |   |                                |   | 7.50 |   |
| Forfeited                                        |   |                                | — |   |                                |   | — |   |
| Vested                                           |   |                                | — |   |                                |   | — |   |
| Non-vested shares as of  June 30, 2010 |   |                                | 64,665  |   |                                | $      | 5.42 |   |

----

|   | · | our business strategy; |
|--------|--------|------------------------|

|   | · | future performance, developments, market forecasts or projected dividends; |
|--------|--------|----------------------------------------------------------------------------|

|   | · | projected acquisitions or joint ventures; |
|--------|--------|-------------------------------------------|

|   | · | projected capital expenditures. |
|--------|--------|---------------------------------|

|   | · | our portfolio strategy and operating strategy may be changed or modified by our management without advance notice to you or stockholder approval and we may suffer losses as a result of such modifications or changes; |
|--------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | our ability to successfully diversify our investment portfolio and identify suitable assets to invest in; |
|--------|--------|-----------------------------------------------------------------------------------------------------------|

|   | · | market changes in the terms and availability of repurchase agreements used to finance our investment portfolio activities; |
|--------|--------|----------------------------------------------------------------------------------------------------------------------------|

|   | · | reduced demand for our securities in the mortgage securitization and secondary markets; |
|--------|--------|-----------------------------------------------------------------------------------------|

|   | · | interest rate mismatches between our interest-earning assets and our borrowings used to fund such purchases; |
|--------|--------|--------------------------------------------------------------------------------------------------------------|

|   | · | changes in interest rates and mortgage prepayment rates; |
|--------|--------|----------------------------------------------------------|

|   | · | increased rates of default and/or decreased recovery rates on our assets; |
|--------|--------|---------------------------------------------------------------------------|

|   | · | changes in the financial markets and economy generally; |
|--------|--------|---------------------------------------------------------|

----

|   | · | effects of interest rate caps on our adjustable-rate mortgage-backed securities; |
|--------|--------|----------------------------------------------------------------------------------|

|   | · | the degree to which our hedging strategies may or may not protect us from interest rate volatility; |
|--------|--------|-----------------------------------------------------------------------------------------------------|

|   | · | potential impacts of our leveraging policies on our net income and cash available for distribution;                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|--------|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |
|   | · | our board’s ability to change our operating policies and strategies without notice to you or stockholder approval;                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|   | · | the other important factors identified, or incorporated by reference into this report, including, but not limited to those under the captions “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and “Quantitative and Qualitative Disclosures about Market Risk”, and those described in Part I, Item 1A – “Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2009, and the various other factors identified in any other documents filed by us with the SEC. |

----

----

|   | · | In December 2009, the U.S. Treasury loosened its portfolio reduction requirements for Fannie Mae and Freddie Mac by allowing the portfolio reduction requirements to be applied to the maximum allowable size of the portfolios, rather than the actual size of the portfolios which could extend the time period by which these entities sell portions of their Agency RMBS portfolios in the market, thereby causing the supply of Agency RMBS to be smaller than originally anticipated. |
|--------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | The Federal Reserve’s Agency RMBS purchase program, which provided for purchases of up to $1.25 trillion of Agency RMBS, was completed on March 31, 2010.  While we expected that the termination of this purchase program might cause a decrease in demand for Agency RMBS issued by Fannie Mae and Freddie Mac, which, in turn, was expected to reduce their market price, we continue to see strong demand for these securities and the continuation of elevated market prices for these securities.  As a result, we have continued during the three months ended June 30, 2010 to pursue investments in other asset categories that we believe will provide more attractive returns.  We note that it is also possible that the U.S. Treasury or Federal Reserve could intervene in the Agency RMBS markets in the future; however, we are unable at this time to predict any impact that such actions could have on the markets or our investment portfolio. |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | In February and March 2010, Freddie Mac and Fannie Mae, respectively, announced that they would purchase from the pools of mortgage loans underlying their mortgage pass-through certificates all mortgage loans that are more than 120 days delinquent. with actual repurchases beginning in March 2010 and continuing during the 2010 second quarter. Both Freddie Mac and Fannie Mae have further announced that they would purchase in the future these delinquent loans on an on-going basis.  The impact of these programs thus far is reflected in the constant prepayment rate, or CPR, of our portfolio.  See “―Summary of Operations―Prepayment Experience” below for further information. |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

----

| June 30, 2010          |   | Sponsor or RatingS&P/Moodys/Fitch |    | ParValue |   | CarryingValue |   | % ofPortfolio |   |   | Coupon  |   |   | Yield |   |
|------------------------|--------|---------------------------------------|---------|----------|--------|---------------|--------|---------------|--------|--------|---------|--------|--------|-------|--------|
| Agency RMBS            |   | FNMA                                  |    | $        | 56,729 |          | $      | 60,051        |   | 51.8   | %  |   | 5.01   | %     |   | 2.29 | % |
| Non-Agency RMBS        |   | AAA/Aaa                               |    |     | 1,867  |          |   | 1,699         |   | 1.5    | %       |   | 4.95   | %     |   | 6.19 | % |
|                   |   | AA/Aa                                 |    |     | 341    |          |   | 272           |   | 0.2    | %       |   | 6.25   | %     |   | 48.87 | % |
|                   |   | BB/Ba                                 |    |     | 10,663 |          |   | 8,511         |   | 7.3    | %       |   | 1.41   | %     |   | 20.11 | % |
|                   |   | B/B                                   |    |     | 4,258  |          |   | 3,394         |   | 2.9    | %       |   | 1.40   | %     |   | 7.06 | % |
|                   |   | CCC or Below                          |    |     | 28,588 |          |   | 20,427        |   | 17.6   | %       |   | 4.96   | %     |   | 7.68 | % |
|  CLO              |   | BBB/Baa                               |    |     | 10,400 |          |   | 5,824         |   | 5.0    | %       |   | 1.56   | %     |   | 14.86 | % |
|                   |   | BB/Ba                                 |    |     | 15,300 |          |   | 7,497         |   | 6.5    | %       |   | 2.86   | %     |   | 19.39 | % |
|                   |   | B/B                                   |    |     | 20,250 |          |   | 8,303         |   | 7.2    | %       |   | 5.46   | %     |   | 25.81 | % |
| Total/Weighted average |   | $                                     | 148,396 |     | $      | 115,978       |   | 100.0         | %      |   | 4.24    | %      |   | 8.27  | %      |

| December 31, 2009      |   | Sponsor or RatingS&P/Moodys/Fitch |    | ParValue |    | CarryingValue |   | % ofPortfolio |   |   | Coupon |   |   | Yield |   |
|------------------------|--------|---------------------------------------|---------|----------|---------|---------------|--------|---------------|--------|--------|--------|--------|--------|-------|--------|
| Agency RMBS            |   | FNMA                                  |    | $        | 110,324 |          | $      | 116,226       |   | 65.8   | %      |   | 5.14   | %     |   | 2.37 | % |
| Non-Agency RMBS        |   | AAA/Aaa                               |    |     | 2,195   |          |   | 1,717         |   | 1.0    | %      |   | 4.97   | %     |   | 11.26 | % |
|                   |   | AA/Aa                                 |    |     | 1,270   |          |   | 886           |   | 0.5    | %      |   | 5.18   | %     |   | 15.03 | % |
|                   |   | A/A                                   |    |     | 364     |          |   | 321           |   | 0.2    | %      |   | 4.43   | %     |   | 4.92 | % |
|                   |   | BB/Ba                                 |    |     | 13,384  |          |   | 11,336        |   | 6.3    | %      |   | 1.65   | %     |   | 12.79 | % |
|                   |   | B/B                                   |    |     | 11,743  |          |   | 8,812         |   | 5.0    | %      |   | 4.03   | %     |   | 9.57 | % |
|                   |   | CCC/Caa or Below                      |    |     | 28,028  |          |   | 19,794        |   | 11.2   | %      |   | 5.13   | %     |   | 7.49 | % |
|  CLO              |   | BBB/Baa                               |    |     | 10,400  |          |   | 5,408         |   | 3.1    | %      |   | 1.37   | %     |   | 15.20 | % |
|                   |   | BB/Ba                                 |    |     | 15,300  |          |   | 5,508         |   | 3.1    | %      |   | 2.67   | %     |   | 23.45 | % |
|                   |   | B/B                                   |    |     | 20,250  |          |   | 6,683         |   | 3.8    | %      |   | 5.27   | %     |   | 30.22 | % |
| Total/Weighted average |   | $                                     | 213,258 |     | $       | 176,691       |   | 100           | %      |   | 4.51   | %      |   | 6.23  | %      |

|                                                                    |   | Acquired after2008 |   |   | Acquired prior to2009 |   |
|-------------------------------------------------------------------------|--------|--------------------|--------|--------|-----------------------|--------|
| Current Par Value                                                       |   | $                  | 29,558 |   |                  | $      | 16,156 |   |
| Collateral Type                                                         |   |               |   |   |                  |   |   |   |
| Fixed Rate                                                              |   | $                  | 3,288  |   |                  | $      | 15,547 |   |
| Arms                                                                    |   | $                  | 26,270 |   |                  | $      | 609 |   |
| Weighted average Purchase Price                                         |   |               | 59.88  | %      |                  |   | 91.62 | % |
| Weighted average Credit Support                                         |   |               | 7.54   | %      |                  |   | 3.90 | % |
| Weighted average 60+ Delinquencies (including 60+, REO and Foreclosure) |   |               | 24.26  | %      |                  |   | 6.20 | % |
| Weighted average 3 month CPR                                            |   |               | 16.01  | %      |                  |   | 10.06 | % |
| Weighted average 3 month Voluntary Prepayment Rate                      |   |               | 7.70   | %      |                  |   | 9.14 | % |

----

|                                                                    |   | Acquired after2008 |        |   | Acquired prior to2009 |   |
|-------------------------------------------------------------------------|--------|--------------------|-------------|--------|-----------------------|--------|
| Current Par Value                                                       |   | $                  | 38,682      |   |                  | $      | 18,302 |   |
| Collateral Type                                                         |   |               |        |   |                  |   |   |   |
| Fixed Rate                                                              |   | $                  | 3,738       |   |                  | $      | 17,693 |   |
| Arms                                                                    |   | $                  | 34,944      |   |                  | $      | 609 |   |
| Weighted average Purchase Price                                         |   |               | 60.51       | %      |                  |   | 92.05 | % |
| Weighted average Credit Support                                         |   |               | 8.76        | %      |                  |   | 4.06 | % |
| Weighted average 60+ Delinquencies (including 60+, REO and Foreclosure) |   |               | 20.61       | %      |                  |   | 3.66 | % |
| Weighted average 3 month CPR                                            |   |               |  16.24 | %      |                  |   | 17.46 | % |
| Weighted average 3 month Voluntary Prepayment Rate                      |   |               | 9.78        | %      |                  |   | 15.84 | % |

|                        |   | As of June 30, 2010 |   | As of December 31, 2009 |
|-----------------------------|--------|---------------------|--------|-------------------------|
| Range ofOutstanding Balance |   | Number of Loans     |   | Maturity Date           |   | Total Principal |   | Number of Loans |   | Maturity Date |   | Total Principal |
| $0 - $500                   |   | 7                   |   | 12/2011 – 03/2017 |   | $ | 3,353 |   |         7 |   | 3/2014 - 03/2017 |   | $ | $3,471 |
| $500 - $2,000               |   | 34                  |   | 12/2012 – 6/2017  |   |   | 46,578 |   |        18 |   | 12/2011 - 12/2015 |   |   | 24,722  |
| $2,000 - $5,000             |   | 72                  |   | 05/2011 – 04/2017 |   |   | 239,832 |   |      55 |   | 5/2011 - 2/2016 |   |   | 198,895 |
| $5,000 - $10,000            |   | 23                  |   | 03/2012 – 03/2016 |   |   | 159,048 |   |               28 |   | 11/2010 - 10/2014 |   |   |      202,080 |
| +$10,000                    |   |                |   |                    |   |   |   |   |                 3 |   | 12/2009 - 10/2012 |   |   |        32,292 |
| Total                       |   | 136                 |   |                    |   | $ | 448,811 |   | 111 |   |   |   | $ | $461,460 |

----

| Industry                                                              | Number of Loans |   |   | Outstanding Balance    |    |   | % of Outstanding Balance |   |
|-----------------------------------------------------------------------|-----------------|--------|--------|------------------------|---------|--------|-------------------------------|--------|
|                                                                  |            |   |   | (amounts in thousands) |    |   |                          |   |
| Healthcare, Education & Childcare                                 | 15              |   |   | $                      | 45,698  |   |                          | 10.18% |   |
| Personal, Food & Misc. Services                                   | 7               |   |   |                   | 28,176  |   |                          | 6.28%  |   |
| Retail Store                                                          | 9               |   |   |                   | 27,715  |   |                          | 6.18%  |   |
| Chemicals, Plastics and Rubber                                        | 8               |   |   |                   | 26,277  |   |                          | 5.85%  |   |
| Electronics                                                           | 7               |   |   |                   | 26,091  |   |                          | 5.81%  |   |
| Aerospace & Defense                                               | 7               |   |   |                   | 25,156  |   |                          | 5.60%  |   |
| Printing & Publishing                                             | 5               |   |   |                   | 24,755  |   |                          | 5.52%  |   |
| Telecommunications                                                    | 9               |   |   |                   | 24,015  |   |                          | 5.35%  |   |
| Beverage, Food & Tobacco                                          | 4               |   |   |                   | 19,180  |   |                          | 4.27%  |   |
| Leisure, Amusement, Motion Pictures & Entertainment               | 9               |   |   |                   | 18,251  |   |                          | 4.07%  |   |
| Hotels, Motels, Inns and Gaming                                       | 4               |   |   |                   | 15,621  |   |                          | 3.48%  |   |
| Utilities                                                             | 4               |   |   |                   | 15,107  |   |                          | 3.37%  |   |
| Insurance                                                             | 2               |   |   |                   | 14,311  |   |                          | 3.19%  |   |
| Personal & Non-Durable Consumer Products                          | 4               |   |   |                   | 14,045  |   |                          | 3.13%  |   |
| Cargo Transport                                                       | 2               |   |   |                   | 13,695  |   |                          | 3.05%  |   |
| Farming & Agriculture                                             | 3               |   |   |                   | 13,379  |   |                          | 2.98%  |   |
| Finance                                                               | 5               |   |   |                   | 13,253  |   |                          | 2.95%  |   |
| Ecological                                                            | 4               |   |   |                   | 11,296  |   |                          | 2.52%  |   |
| Broadcasting & Entertainment                                      | 3               |   |   |                   | 11,204  |   |                          | 2.50%  |   |
| Diversified/Conglomerate Mfg.                                         | 3               |   |   |                   | 9,178   |   |                          | 2.04%  |   |
| Machinery (Non-Agriculture, Non-Construction & Non-Electronic)    | 2               |   |   |                   | 8,761   |   |                          | 1.95%  |   |
| Personal Transportation                                               | 4               |   |   |                   | 8,676   |   |                          | 1.93%  |   |
| Diversified/Conglomerate Service                                      | 1               |   |   |                   | 7,157   |   |                          | 1.59%  |   |
| Buildings and Real Estate                                             | 2               |   |   |                   | 5,000   |   |                          | 1.11%  |   |
| Textiles & Leather                                                | 4               |   |   |                   | 4,946   |   |                          | 1.10%  |   |
| Containers, Packaging and Glass                                       | 2               |   |   |                   | 4,816   |   |                          | 1.07%  |   |
| Mining, Steel, Iron and Non-Precious Metals                           | 2               |   |   |                   | 4,492   |   |                          | 1.00%  |   |
| Grocery                                                               | 2               |   |   |                   | 2,983   |   |                          | 0.66%  |   |
| Automobile                                                            | 1               |   |   |                   | 2,383   |   |                          | 0.54%  |   |
| Home and Office Furnishings, Housewares and Durable Consumer Products | 1               |   |   |                   | 1,798   |   |                          | 0.41%  |   |
| Diversified Natural Resources, Precious Metals and Minerals           | 1               |   |   |                   | 1,396   |   |                          | 0.32%  |   |
|                                                                  | 136             |   |   | $                      | 448,811 |   |                          | 100%   |   |

----

| Industry                                                                                                                                  | Number of Loans |   |   | Outstanding Balance    |    |   | % of Outstanding Balance |   |
|-------------------------------------------------------------------------------------------------------------------------------------------|-----------------|--------|--------|------------------------|---------|--------|-------------------------------|--------|
|                                                                                                                                      |            |   |   | (amounts in thousands) |    |   |                          |   |
| Healthcare, Education & Childcare                                                                                                     | 14              |   |   | $                      | 57,190  |   |                          | 12.4%  |   |
| Diversified/Conglomerate Service                                                                                                          | 6               |   |   |                   | 42,348  |   |                          | 9.2%   |   |
| Personal, Food & Misc. Services                                                                                                       | 6               |   |   |                   | 38,638  |   |                          | 8.4%   |   |
| Electronics                                                                                                                               | 7               |   |   |                   | 26,532  |   |                          | 5.7%   |   |
| Printing & Publishing                                                                                                                 | 4               |   |   |                   | 23,990  |   |                          | 5.2%   |   |
| Telecommunications                                                                                                                        | 6               |   |   |                   | 23,098  |   |                          | 5.0%   |   |
| Insurance / Finance                                                                                                                       | 5               |   |   |                   | 22,915  |   |                          | 5.0%   |   |
| Utilities / Oil & Gas                                                                                                                 | 6               |   |   |                   | 21,782  |   |                          | 4.7%   |   |
| Personal & Non-Durable Consumer Products                                                                                              | 6               |   |   |                   | 21,298  |   |                          | 4.6%   |   |
| Retail Store                                                                                                                              | 6               |   |   |                   | 21,211  |   |                          | 4.6%   |   |
| Aerospace & Defense                                                                                                                   | 6               |   |   |                   | 20,462  |   |                          | 4.4%   |   |
| Cargo Transport / Personal Transportation                                                                                                 | 3               |   |   |                   | 19,499  |   |                          | 4.2%   |   |
| Chemicals, Plastics and Rubber                                                                                                            | 6               |   |   |                   | 18,532  |   |                          | 4.0%   |   |
| Hotels, Motels, Inns and Gaming                                                                                                           | 4               |   |   |                   | 18,183  |   |                          | 3.9%   |   |
| Broadcasting & Entertainment                                                                                                          | 3               |   |   |                   | 16,496  |   |                          | 3.6%   |   |
| Beverage, Food & Tobacco                                                                                                              | 6               |   |   |                   | 15,880  |   |                          | 3.4%   |   |
| Leisure, Amusement, Motion Pictures & Entertainment                                                                                   | 4               |   |   |                   | 11,146  |   |                          | 2.4%   |   |
| Other                                                                                                                                     | 13              |   |   |                   | 42,260  |   |                          | 9.3%   |   |
| Total                       | 111             |   |   | $                      | 461,460 |   |                          | 100.0  |   |

|                    |   |   | As of June 30, 2010 |    |   | As of December 31, 2009 |   |
|-------------------------|--------|--------|---------------------|---------|--------|-------------------------|--------|
| Moody's Rating Category |   |   | Number of Loans     |    |   | Outstanding Balance     |   |   | % of Outstanding Balance |   |   | Number of Loans |   |   | Outstanding Balance |   |   | % of Outstanding Balance |   |
| Baa2                    |   |   |                | 1       |   |                    | $      | 2,487 |   |   |   | 0.55 | % |   |   | — |   |   |   | — |   |   |   | — |   |
| Baa3                    |   |   |                | 1       |   |                    |   | 5,864 |   |   |   | 1.31 | % |   |   | 2 |   |   | $ | 6,955 |   |   |   | 1.5 | % |
| Ba1                     |   |   |                | 8       |   |                    |   | 21,336 |   |   |   | 4.75 | % |   |   | 9 |   |   |   | 28,242 |   |   |   | 6.1 | % |
| Ba2                     |   |   |                | 16      |   |                    |   | 49,801 |   |   |   | 11.10 | % |   |   | 9 |   |   |   | 26,418 |   |   |   | 5.7 | % |
| Ba3                     |   |   |                | 21      |   |                    |   | 52,659 |   |   |   | 11.73 | % |   |   | 15 |   |   |   | 44,374 |   |   |   | 9.6 | % |
| B1                      |   |   |                | 29      |   |                    |   | 81,550 |   |   |   | 18.17 | % |   |   | 17 |   |   |   | 51,355 |   |   |   | 11.1 | % |
| B2                      |   |   |                | 36      |   |                    |   | 117,631 |   |   |   | 26.21 | % |   |   | 28 |   |   |   | 106,325 |   |   |   | 23.0 | % |
| B3                      |   |   |                | 15      |   |                    |   | 74,502 |   |   |   | 16.60 | % |   |   | 21 |   |   |   | 137,531 |   |   |   | 29.8 | % |
| Caa1                    |   |   |                | 4       |   |                    |   | 18,353 |   |   |   | 4.09 | % |   |   | 5 |   |   |   | 23,850 |   |   |   | 5.2 | % |
| Caa2                    |   |   |                | 3       |   |                    |   | 20,698 |   |   |   | 4.61 | % |   |   | 3 |   |   |   | 26,311 |   |   |   | 5.7 | % |
| Caa3                    |   |   |                | 2       |   |                    |   | 3,930 |   |   |   | 0.88 | % |   |   | 1 |   |   |   | 540 |   |   |   | 0.1 | % |
| D                       |   |   |                | — |   |                    |   | — |   |   |   | — | % |   |   | 1 |   |   |   | 9,559 |   |   |   | 2.2 | % |
|                    |   |   |                |    |   |                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total                   |   |   |                | 136     |   |                    | $      | 448,811 |   |   |   | 100.0 | % |   |   | 111 |   |   | $ | 461,460 |   |   |   | 100.0 | % |

----

|              | # of Loans |   | Par Value |    | Coupon |   |   | Carrying Value |   | Yield   |   |
|-------------------|----------------------|--------|----------------|---------|--------|--------|--------|---------------------|--------|---------|--------|
| June 30, 2010     | 606                  |   | $              | 250,982 |   | 4.09   | %      |                | $      | 250,092 |   | 5.32 | % |
| December 31, 2009 | 647                  |   | $              | 277,007 |   | 5.19   | %      |                | $      | 276,176 |   | 5.40 | % |

|                                                |   | Average |   |   | High   |   |   | Low    |   |
|-----------------------------------------------------|--------|---------|--------|--------|--------|--------|--------|--------|--------|
| General Loan Characteristics:                       |   |    |   |   |   |   |   |   |   |
| Original Loan Balance (dollar amounts in thousands) |   | $       | 445    |   |   | $      | 2,950  |   |   | $ | 48 |   |
| Current Coupon Rate                                 |   |    | 4.38   | %      |   |   | 7.25   | %      |   |   | 1.38 | % |
| Gross Margin                                        |   |    | 2.37   | %      |   |   | 5.00   | %      |   |   | 1.13 | % |
| Lifetime Cap                                        |   |    | 11.26  | %      |   |   | 13.25  | %      |   |   | 9.13 | % |
| Original Term (Months)                              |   |    | 360    |   |   |   | 360    |   |   |   | 360 |   |
| Remaining Term (Months)                             |   |    | 298    |   |   |   | 306    |   |   |   | 265 |   |
| Average Months to Reset                             |   |    | 3      |   |   |   | 11     |   |   |   | 1 |   |
| Original Average FICO Score                         |   |    | 730    |   |   |   | 818    |   |   |   | 593 |   |
| Original Average LTV                                |   |    | 70.25  | %      |   |   | 95.00  | %      |   |   | 13.94 | % |

|                     |   | % of OutstandingLoan Balance |   |   | Weighted Average Gross Margin (%) |   |
|--------------------------|--------|------------------------------|--------|--------|-----------------------------------|--------|
| Index Type/Gross Margin: |   |                         |   |   |                              |   |
| One Month Libor          |   | 2%                           |   |   | 1.69                              | %      |
| Six Month Libor          |   | 72%                          |   |   | 2.40                              | %      |
| One Year Libor           |   | 17%                          |   |   | 2.26                              | %      |
| One Year CMT             |   | 9%                           |   |   | 2.66                              | %      |
| Total / Weighted Average |   | 100%                         |   |   | 2.39                              | %      |

----

| Description  |   | Interest Rate % |   | Final Maturity |   |   |   |   |   |     |   |     |   |     |
|--------------|--------|-----------------|--------|----------------|--------|--------|--------|--------|--------|----------|--------|----------|--------|----------|
| PropertyType |   | Balance         |   | LoanCount      |   | Max    |   | Min    |   | Avg      |   | Min      |   | Max      |   | Periodic Payment Terms (months) |   | Prior Liens |   | OriginalAmount ofPrincipal |   | CurrentAmount ofPrincipal |   | PrincipalAmount of Loans Subject to Delinquent Principal or Interest |
| Single       |   | <= $100      |   | 11             |   | 5.88   |   | 2.63   |   | 3.72     |   | 12/01/34 |   | 11/01/35 |   | 360 |   | N/A |   | 1,396 |   | $ | 824 |   | $ | - |
| Family       |   | <=$250       |   | 69             |   | 6.63   |   | 2.63   |   | 4.40     |   | 09/01/32 |   | 12/01/35 |   | 360 |   | N/A |   | 14,043 |   |   | 12,255 |   |   | 800 |
|         |   | <=$500       |   | 116            |   | 7.13   |   | 2.63   |   | 4.25     |   | 10/01/32 |   | 01/01/36 |   | 360 |   | N/A |   | 43,484 |   |   | 40,404 |   |   | 6,489 |
|         |   | <=$1,000     |   | 44             |   | 6.00   |   | 1.50   |   | 3.88     |   | 08/01/33 |   | 12/01/35 |   | 360 |   | N/A |   | 34,980 |   |   | 33,036 |   |   | 2,655 |
|         |   | >$1,000      |   | 23             |   | 6.25   |   | 2.63   |   | 5.24     |   | 01/01/35 |   | 01/01/36 |   | 360 |   | N/A |   | 40,207 |   |   | 39,630 |   |   | 6,247 |
|         |   | Summary         |   | 263            |   | 7.13   |   | 1.50   |   | 4.29     |   | 09/01/32 |   | 01/01/36 |   | 360 |   | N/A |   | 134,110 |   |   | 126,149 |   |   | 16,191 |
| 2-4          |   | <= $100      |   | 1              |   | 3.63   |   | 3.63   |   | 3.63     |   | 02/01/35 |   | 02/01/35 |   | 360 |   | N/A |   | 80 |   |   | 74 |   |   | 75 |
| FAMILY       |   | <=$250       |   | 6              |   | 6.75   |   | 2.63   |   | 4.31     |   | 12/01/34 |   | 07/01/35 |   | 360 |   | N/A |   | 1,115 |   |   | 985 |   |   | 192 |
|         |   | <=$500       |   | 16             |   | 7.25   |   | 2.13   |   | 4.01     |   | 09/01/34 |   | 01/01/36 |   | 360 |   | N/A |   | 5,854 |   |   | 5,563 |   |   | 254 |
|         |   | <=$1,000     |   | 1              |   | 2.88   |   | 2.88   |   | 2.88     |   | 04/01/35 |   | 04/01/35 |   | 360 |   | N/A |   | 540 |   |   | 540 |   |   | - |
|         |   | >$1,000      |   | 0              |   | -      |   | -      |   | -        |   | 01/00/00 |   | 01/00/00 |   | 360 |   | N/A |   | - |   |   | - |   |   | - |
|         |   | Summary         |   | 24             |   | 7.25   |   | 2.13   |   | 4.02     |   | 09/01/34 |   | 01/01/36 |   | 360 |   | N/A |   | 7,589 |   |   | 7,162 |   |   | 521 |
| Condo        |   | <= $100      |   | 16             |   | 6.38   |   | 2.63   |   | 3.65     |   | 01/01/35 |   | 12/01/35 |   | 360 |   | N/A |   | 2,332 |   |   | 1,081 |   |   | 101 |
|         |   | <=$250       |   | 79             |   | 6.38   |   | 2.63   |   | 4.66     |   | 08/01/32 |   | 01/01/36 |   | 360 |   | N/A |   | 15,553 |   |   | 14,135 |   |   | 627 |
|         |   | <=$500       |   | 71             |   | 6.88   |   | 1.50   |   | 4.39     |   | 09/01/32 |   | 12/01/35 |   | 360 |   | N/A |   | 24,704 |   |   | 23,570 |   |   | 662 |
|         |   | <=$1,000     |   | 22             |   | 5.63   |   | 1.63   |   | 3.66     |   | 08/01/33 |   | 10/01/35 |   | 360 |   | N/A |   | 16,139 |   |   | 15,155 |   |   | - |
|         |   | >$1,000      |   | 10             |   | 6.13   |   | 2.75   |   | 4.53     |   | 01/01/35 |   | 09/01/35 |   | 360 |   | N/A |   | 14,914 |   |   | 14,679 |   |   | - |
|         |   | Summary         |   | 198            |   | 6.88   |   | 1.50   |   | 4.36     |   | 08/01/32 |   | 01/01/36 |   | 360 |   | N/A |   | 73,642 |   |   | 68,620 |   |   | 1,390 |
| CO-OP        |   | <= $100      |   | 5              |   | 5.88   |   | 2.63   |   | 4.55     |   | 10/01/34 |   | 12/01/35 |   | 360 |   | N/A |   | 1,475 |   |   | 317 |   |   | - |
|         |   | <=$250       |   | 21             |   | 6.13   |   | 2.25   |   | 4.14     |   | 10/01/34 |   | 12/01/35 |   | 360 |   | N/A |   | 4,480 |   |   | 3,737 |   |   | 212 |
|         |   | <=$500       |   | 27             |   | 6.38   |   | 1.38   |   | 4.14     |   | 08/01/34 |   | 12/01/35 |   | 360 |   | N/A |   | 10,775 |   |   | 9,702 |   |   | - |
|         |   | <=$1,000     |   | 15             |   | 5.63   |   | 2.63   |   | 4.04     |   | 12/01/34 |   | 11/01/35 |   | 360 |   | N/A |   | 10,759 |   |   | 10,508 |   |   | - |
|         |   | >$1,000      |   | 5              |   | 6.00   |   | 2.25   |   | 3.80     |   | 11/01/34 |   | 12/01/35 |   | 360 |   | N/A |   | 7,544 |   |   | 6,960 |   |   | - |
|         |   | Summary         |   | 73             |   | 6.38   |   | 1.38   |   | 4.31     |   | 08/01/34 |   | 12/01/35 |   | 360 |   | N/A |   | 35,033 |   |   | 31,224 |   |   | 212 |
| PUD          |   | <= $100      |   | 1              |   | 5.63   |   | 5.63   |   | 5.63     |   | 07/01/35 |   | 07/01/35 |   | 360 |   | N/A |   | 100 |   |   | 93 |   |   | - |
|         |   | <=$250       |   | 19             |   | 6.50   |   | 2.63   |   | 4.41     |   | 01/01/35 |   | 12/01/35 |   | 360 |   | N/A |   | 3,783 |   |   | 3,606 |   |   | 183 |
|         |   | <=$500       |   | 17             |   | 6.88   |   | 2.63   |   | 4.29     |   | 08/01/32 |   | 12/01/35 |   | 360 |   | N/A |   | 6,056 |   |   | 5,726 |   |   | 455 |
|         |   | <=$1,000     |   | 5              |   | 5.88   |   | 2.63   |   | 4.26     |   | 05/01/34 |   | 12/01/35 |   | 360 |   | N/A |   | 3,432 |   |   | 3,256 |   |   | 598 |
|         |   | >$1,000      |   | 4              |   | 6.13   |   | 2.88   |   | 4.49     |   | 04/01/34 |   | 12/01/35 |   | 360 |   | N/A |   | 5,233 |   |   | 5,146 |   |   | - |
|         |   | Summary         |   | 46             |   | 6.88   |   | 2.63   |   | 4.38     |   | 08/01/32 |   | 01/01/36 |   | 360 |   | N/A |   | 18,604 |   |   | 17,827 |   |   | 1,236 |
| Summary      |   | <= $100      |   | 34             |   | 6.38   |   | 2.63   |   | 3.86     |   | 10/01/34 |   | 12/01/35 |   | 360 |   | N/A |   | 5,383 |   |   | 2,389 |   |   | 176 |
|         |   | <=$250       |   | 194            |   | 6.75   |   | 2.25   |   | 4.47     |   | 08/01/32 |   | 12/01/36 |   | 360 |   | N/A |   | 38,974 |   |   | 34,718 |   |   | 2,014 |
|         |   | <=$500       |   | 247            |   | 7.25   |   | 1.38   |   | 4.25     |   | 08/01/32 |   | 01/01/36 |   | 360 |   | N/A |   | 90,873 |   |   | 84,965 |   |   | 7,860 |
|         |   | <=$1,000     |   | 87             |   | 6.00   |   | 1.50   |   | 3.86     |   | 08/01/33 |   | 12/01/35 |   | 360 |   | N/A |   | 65,850 |   |   | 62,495 |   |   | 3,253 |
|         |   | >$1,000      |   | 42             |   | 6.25   |   | 2.25   |   | 4.83     |   | 04/01/34 |   | 01/01/36 |   | 360 |   | N/A |   | 67,898 |   |   | 66,415 |   |   | 6,247 |
| Grand Total  |   | 604             |   | 7.25           |   | 1.38   |   | 4.31   |   | 08/01/32 |   | 01/01/36 |   | 360      |   | N/A |   | 268,978 |   | $ | 250,982 |   | $ | 19,550 |

----

|                          |   | Current Principal |    |   | Premium |   |    | Loan Reserve |   |   | Net Carrying Value |   |
|-------------------------------|--------|-------------------|---------|--------|---------|--------|---------|--------------|--------|--------|--------------------|--------|
| Balance, January 1, 2010      |   | $                 | 277,007 |   |    | $      | 1,750   |         |   | $      | (2,581             | )      |   | $ | 276,176 |   |
| Principal repayments          |   |              | (25,092 | )      |    |   | — |         |   |   | —            |   |   |   | (25,092 | ) |
| Provision for loan losses     |   |              | — |   |    |   | — |         |   |   | (493               | )      |   |   | (493 | ) |
| Transfer to real estate owned |   |              | (933    | )      |    |   | — |         |   |   | 383                |   |   |   | (550 | ) |
| Charge-offs                   |   |              | — |   |    |   | — |         |   |   | 218                |   |   |   | 218 |   |
| Amortization for premium      |   |              | — |   |    |   | (167    | )            |   |   | —            |   |   |   | (167 | ) |
| Balance, June 30, 2010        |   | $                 | 250,982 |   |    | $      | 1,583   |         |   | $      | (2,473             | )      |   | $ | 250,092 |   |

----

----

|                                            | For the Three MonthsEnded June 30, |    |   | For the Six MonthsEnded June 30 |   |
|-------------------------------------------------|------------------------------------|---------|--------|---------------------------------|--------|
|                                            | 2010                               |    |   | 2009                            |   |   | Difference |   |   | 2010 |   |   | 2009 |   |   | Difference |   |
| Net interest income                             | $                                  | 2,690   |   |                            | $      | 4,158 |   |   | $ | (1,468 | ) |   | $ | 6,098 |   |   | $ | 8,252 |   |   | $ | (2,154 | ) |
| Provision for loan losses                       |                               | (600    | )      |                            |   | (259 | ) |   |   | (341 | ) |   |   | (602 | ) |   |   | (888 | ) |   |   | 286 |   |
| Impairment loss on investment securities        |                               | — |   |                            |   | — |   |   |   | — |   |   |   | — |   |   |   | (119 | ) |   |   | 119 |   |
| Realized gain on securities                     |                               | 1,291   |   |                            |   | 141 |   |   |   | 1,150 |   |   |   | 2,098 |   |   |   | 264 |   |   |   | 1,834 |   |
| General, administrative and other expenses      |                               | 2,107   |   |                            |   | 1,602 |   |   |   | 505 |   |   |   | 3,963 |   |   |   | 3,172 |   |   |   | 791 |   |
| Income from continuing operations               |                               | 1,274   |   |                            |   | 2,438 |   |   |   | (1,164 | ) |   |   | 3,631 |   |   |   | 4,337 |   |   |   | (706 | ) |
| Income from discontinued operation - net of tax |                               | 268     |   |                            |   | 109 |   |   |   | 159 |   |   |   | 579 |   |   |   | 264 |   |   |   | 315 |   |
| Net income                                      | $                                  | 1,542   |   |                            | $      | 2,547 |   |   | $ | (1,005 | ) |   | $ | 4,210 |   |   | $ | 4,601 |   |   | $ | (391 | ) |
| Basic income per common share                   | $                                  | 0.16    |   |                            | $      | 0.27 |   |   | $ | (0.11 | ) |   | $ | 0.45 |   |   | $ | 0.49 |   |   | $ | (0.04 | ) |
| Diluted income per common share                 | $                                  | 0.16    |   |                            | $      | 0.27 |   |   | $ | (0.11 | ) |   | $ | 0.45 |   |   | $ | 0.49 |   |   | $ | (0.04 | ) |

----

|                                                              | For the Three Months Ended June 30, |   |
|-------------------------------------------------------------------|---------------------------------------------------------|--------|
|                                                              | 2010                                                    |   |   | 2009 |   |
|                                                              | AverageBalance                                          |   | Amount |   | Yield/Rate |   |   | AverageBalance |   | Amount |   | Yield/Rate |   |
|                                                              | ($ Millions)                                            |   |   | ($ Millions) |   |
| Interest income:                                                  |                                                    |   |   |   |   |   |   |   |   |   |   |   |   |
| Investment securities and loans held in the securitization trusts | $                                                       | 441.5  |   | $ | 4,653 |   | 4.22 | % |   | $ | 629.0 |   | $ | 7,819 |   | 4.97 | % |
| Amortization of net premium                                       |                                                    | (47.7  | ) |   | 532 |   | 1.35 | % |   |   | (28.5 | ) |   | (198 | ) | 0.12 | % |
| Interest income/weighted average                                  | $                                                       | 393.8  |   | $ | 5,185 |   | 5.28 | % |   | $ | 600.5 |   | $ | 7,621 |   | 5.09 | % |
|                                                              |                                                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest expense:                                                 |                                                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investment securities and loans held in the securitization trusts | $                                                       | 317.4  |   | $ | 1,284 |   | 1.58 | % |   | $ | 545.8 |   | $ | 2,047 |   | 1.48 | % |
| Subordinated debentures                                           |                                                    | 45.0   |   |   | 673 |   | 5.85 | % |   |   | 45.0 |   |   | 808 |   | 7.10 | % |
| Convertible preferred debentures                                  |                                                    | 20.0   |   |   | 538 |   | 10.53 | % |   |   | 20.0 |   |   | 608 |   | 12.03 | % |
| Interest expense/weighted average                                 | $                                                       | 382.4  |   | $ | 2,495 |   | 2.55 | % |   | $ | 610.8 |   | $ | 3,463 |   | 2.24 | % |
| Net interest income/weighted average                              |                                                    |   |   | $ | 2,690 |   | 2.73 | % |   |   |   |   | $ | 4,158 |   | 2.85 | % |

|                                                              | For the Six Months Ended June 30, |   |
|-------------------------------------------------------------------|-------------------------------------------------------|--------|
|                                                              | 2010                                                  |   |   | 2009 |   |
|                                                              | AverageBalance                                        |   | Amount |   | Yield/Rate |   |   | AverageBalance |   | Amount |   | Yield/Rate |   |
|                                                              | ($ Millions)                                          |   |   | ($ Millions) |   |
| Interest income:                                                  |                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
| Investment securities and loans held in the securitization trusts | $                                                     | 457.8  |   | $ | 9,993 |   | 4.37 | % |   | $ | 713.8 |   | $ | 16,255 |   | 4.55 | % |
| Amortization of net premium                                       |                                                  | (48.3  | ) |   | 1,413 |   | 1.20 | % |   |   | (15.0 | ) |   | (49 | ) | 0.09 | % |
| Interest income/weighted average                                  | $                                                     | 409.5  |   | $ | 11,406 |   | 5.57 | % |   | $ | 698.8 |   | $ | 16,206 |   | 4.64 | % |
|                                                              |                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest expense:                                                 |                                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investment securities and loans held in the securitization trusts | $                                                     | 330.8  |   | $ | 2,676 |   | 1.60 | % |   | $ | 618.3 |   | $ | 5,177 |   | 1.67 | % |
| Subordinated debentures                                           |                                                  | 45.0   |   |   | 1,432 |   | 6.29 | % |   |   | 45.0 |   |   | 1,632 |   | 7.25 | % |
| Convertible preferred debentures                                  |                                                  | 20.0   |   |   | 1,200 |   | 11.87 | % |   |   | 20.0 |   |   | 1,145 |   | 11.45 | % |
| Interest expense/weighted average                                 | $                                                     | 395.8  |   | $ | 5,308 |   | 2.65 | % |   | $ | 683.3 |   | $ | 7,954 |   | 2.33 | % |
| Net interest income/weighted average                              |                                                  |   |   | $ | 6,098 |   | 2.92 | % |   |   |   |   | $ | 8,252 |   | 2.31 | % |

----

| Quarter Ended      |   | Average InterestEarning Assets ($ millions) |        | WeightedAverageCoupon |   | WeightedAverageCash Yieldon InterestEarning Assets |   | Cost of Funds |   | Net Interest Spread |   | ConstantPrepayment Rate(CPR) |
|--------------------|--------|--------------------------------------------------|-------------|-----------------------|--------|----------------------------------------------------|--------|---------------|--------|---------------------|--------|------------------------------|
| June 30, 2010      |   |  $                                          | 393.8       |                  | 4.22 % |                                               | 5.28 % |          | 1.58 % |                | 3.70 % |                         | 20.5 % |
| March 31, 2010     |   |  $                                          | 425.1       |                  | 4.50 % |                                               | 5.85 % |          | 1.60 % |                | 4.25 % |                         | 18.6 % |
| December 31, 2009  |   |  $                                          |  476.8 |                  | 4.75 % |                                               | 5.78 % |          | 1.45 % |                | 4.33 % |                         | 18.1 % |
| September 30, 2009 |   |  $                                          |  571.0 |                  | 4.98 % |                                               | 5.60 % |          | 1.47 % |                | 4.13 % |                         | 22.5 % |
| June 30, 2009      |   |  $                                          |  600.5 |                  | 4.99 % |                                               | 5.09 % |          | 1.48 % |                | 3.61 % |                         | 21.4 % |
| March 30, 2009     |   |  $                                          |  797.2 |                  | 4.22 % |                                               | 4.31 % |          | 1.79 % |                | 2.52 % |                         | 12.3 % |
| December 31, 2008  |   |  $                                          |  841.7 |                  | 4.77 % |                                               | 4.65 % |          | 3.34 % |                | 1.31 % |                         | 9.2 % |
| September 30, 2008 |   |  $                                          |  874.5 |                  | 4.81 % |                                               | 4.72 % |          | 3.36 % |                | 1.36 % |                         | 13.8 % |
| June 30, 2008      |   |  $                                          |  899.3 |                  | 4.86 % |                                               | 4.78 % |          | 3.35 % |                | 1.43 % |                         | 14.0 % |
| March 30, 2008     |   |  $                                          | 1,019.2     |                  | 5.24 % |                                               | 5.20 % |          | 4.35 % |                | 0.85 % |                         | 13.0 % |
| December 31, 2007  |   |  $                                          |  799.2 |                  | 5.90 % |                                               | 5.79 % |          | 5.33 % |                | 0.46 % |                         | 19.0 % |
| September 30, 2007 |   |  $                                          |  865.7 |                  | 5.93 % |                                               | 5.72 % |          | 5.38 % |                | 0.34 % |                         | 21.0 % |
| June 30, 2007      |   |  $                                          |  948.6 |                  | 5.66 % |                                               | 5.55 % |          | 5.43 % |                | 0.12 % |                         | 21.0 % |
| March 30, 2007     |   |  $                                          | 1,022.7     |                  | 5.59 % |                                               | 5.36 % |          | 5.34 % |                | 0.02 % |                         | 19.2 % |
| December 31, 2006  |   |  $                                          | 1,111.0     |                  | 5.53 % |                                               | 5.35 % |          | 5.26 % |                | 0.09 % |                         | 17.2 % |
| September 30, 2006 |   |  $                                          | 1,287.6     |                  | 5.50 % |                                               | 5.28 % |          | 5.12 % |                | 0.16 % |                         | 20.7 % |
| June 30, 2006      |   |  $                                          | 1,217.9     |                  | 5.29 % |                                               | 5.08 % |          | 4.30 % |                | 0.78 % |                         | 19.8 % |
| March 30, 2006     |   |  $                                          | 1,478.6     |                  | 4.85 % |                                               | 4.75 % |          | 4.04 % |                | 0.71 % |                         | 18.7 % |
| December 31, 2005  |   |  $                                          | 1,499.0     |                  | 4.84 % |                                               | 4.43 % |          | 3.81 % |                | 0.62 % |                         | 26.9 % |
| September 30, 2005 |   |  $                                          | 1,494.0     |                  | 4.69 % |                                               | 4.08 % |          | 3.38 % |                | 0.70 % |                         | 29.7 % |
| June 30, 2005      |   |  $                                          | 1,590.0     |                  | 4.50 % |                                               | 4.06 % |          | 3.06 % |                | 1.00 % |                         | 30.5 % |
| March 30, 2005     |   |  $                                          | 1,477.9     |                  | 4.39 % |                                               | 4.01 % |          | 2.86 % |                | 1.15 % |                         | 29.2 % |
| December 31, 2004  |   |  $                                          | 1,325.7     |                  | 4.29 % |                                               | 3.84 % |          | 2.58 % |                | 1.26 % |                         | 23.7 % |
| September 30, 2004 |   |  $                                          | 776.5       |                  | 4.04 % |                                               | 3.86 % |          | 2.45 % |                | 1.41 % |                         | 16.0 % |

|                                       |   | For the Three Months EndedJune 30, |   |       | For the Six Months EndedJune 30, |           |
|--------------------------------------------|--------|------------------------------------|--------|------------|----------------------------------|----------------|
| General, Administrative and OtherExpenses: |   |  2010                         |   |  2009 |                             |  % Change |   |   |  2010 |   |  2009 |   |   % Change |   |
| Salaries and benefits                      |   | $                                  | 284    |       | $                                | 472            |   |   | (39.8 | ) % |   | $ | 817 |   | $ | 1,013 |   |   | (19.3 | ) % |
|                                       |   |                               |   |       |                             |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Professional fees                          |   |                               | 303    |       |                             | 357            |   |   | (15.1 | ) % |   |   | 585 |   |   | 698 |   |   | (16.2 | ) % |
|                                       |   |                               |   |       |                             |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Management fees                            |   |                               | 740    |       |                             | 245            |   |   | 202.0 | % |   |   | 1,204 |   |   | 427 |   |   | 182.0 | % |
|                                       |   |                               |   |       |                             |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Other                                      |   |                               | 780    |       |                             | 528            |   |   | 47.7 | % |   |   | 1,357 |   |   | 1,034 |   |   | 31.2 | % |
|                                       |   |                               |   |       |                             |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|  Total                                |   | $                                  | 2,107  |       | $                                | 1,602          |   |   | 31.5 | % |   | $ | 3,963 |   | $ | 3,172 |   |   | 24.9 | % |

----

----

----

|   | · | Interest rate risk       |
|--------|--------|--------------------------|
|   | · | Liquidity risk           |
|   | · | Prepayment risk          |
|   | · | Credit risk              |
|   | · | Market (fair value) risk |

----

| Changes in Net Interest Income |
|----------------------------------------------------|
| Changes in Interest Rates           |   | Changes in Net InterestIncome |
| +200                                               |   | $ | (854) |
| +100                                               |   | $ |  (267) |
| -100                                               |   | $ |   (1051) |

----

----

----

| Market Value Changes     |
|------------------------------------|
| Changes inInterest Rates |   | Changes inMarket Value |   | NetDuration |
|                               |   | (Amount in thousands) |   |    |
| +200                               |   | $ | (7,260) |   | 0.56 years |
| +100                               |   | $ | (2,500) |   | 0.49 years |
| Base                               |   |   | — |   | 0.30 years |
| -100                               |   | $ | 1,048 |   | 0.19 years |

----

----

----

|                 | NEW YORK MORTGAGE TRUST, INC. |                                                                                                                                             |
|----------------------|-------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------|
|                 |                          |                                                                                                                                             |   |
|                 |                          |                                                                                                                                             |   |
| Date: August 4, 2010 | By:                           | /s/ Steven R. Mumma                                                                                                                         |   |
|                 |                          | Steven R. MummaChief Executive Officer, President and Chief Financial Officer(Principal Executive Officer and Principal Financial Officer)  |   |
|                 |                          |                                                                                                                                             |   |

----

| Exhibit | Description                                                                                                                                                                                                                                                                                                                                                                                                    |   |
|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
|    |                                                                                                                                                                                                                                                                                                                                                                                                           |   |
| 3.1(a)  | Articles of Amendment and Restatement of New York Mortgage Trust, Inc. (Incorporated by reference to Exhibit 3.1 to the Company’s Registration Statement on Form S-11 as filed with the Securities and Exchange Commission (Registration No. 333-111668), effective June 23, 2004).                                                                                                                      |   |
| 3.1(b)  | Articles of Amendment of the Registrant (Incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K filed on October 4, 2007).                                                                                                                                                                                                                                                 |   |
| 3.1(c)  | Articles of Amendment of the Registrant (Incorporated by reference to Exhibit 3.2 to the Company’s Current Report on Form 8-K filed on October 4, 2007).                                                                                                                                                                                                                                                 |   |
| 3.1(d)  | Articles of Amendment of the Registrant (Incorporated by reference to Exhibit 3.1(d) to the Company’s Current Report on Form 8-K filed on May 16, 2008).                                                                                                                                                                                                                                                 |   |
| 3.1(e)  | Articles of Amendment of the Registrant (Incorporated by reference to Exhibit 3.1(e) to the Company’s Current Report on Form 8-K filed on May 16, 2008).                                                                                                                                                                                                                                                 |   |
| 3.1(f)  | Articles of Amendment of the Registrant (Incorporated by reference to Exhibit 3.1(f) to the Company’s Current Report on Form 8-K filed on June 15, 2009).                                                                                                                                                                                                                                                |   |
| 3.2(a)  | Bylaws of New York Mortgage Trust, Inc. (Incorporated by reference to Exhibit 3.2 to the Company’s Registration Statement on Form S-11 as filed with the Securities and Exchange Commission (Registration No. 333-111668), effective June 23, 2004).                                                                                                                                                     |   |
| 3.2(b)  | Amendment No. 1 to Bylaws of New York Mortgage Trust, Inc. (Incorporated by reference to Exhibit 3.2(b) to Registrant's Annual Report on Form 10-K filed on March 16, 2006).                                                                                                                                                                                                                                   |   |
| 4.1     | Form of Common Stock Certificate. (Incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-11 as filed with the Securities and Exchange Commission (Registration No. 333-111668), effective June 23, 2004).                                                                                                                                                           |   |
| 4.2(a)  | Junior Subordinated Indenture between The New York Mortgage Company, LLC and JPMorgan Chase Bank, National Association, as trustee, dated September 1, 2005. (Incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K as filed with the Securities and Exchange Commission on September 6, 2005).                                                                           |   |
| 4.2(b)  | Amended and Restated Trust Agreement among The New York Mortgage Company, LLC, JPMorgan Chase Bank, National Association, Chase Bank USA, National Association and the Administrative Trustees named therein, dated September 1, 2005. (Incorporated by reference to Exhibit 4.2 to the Company’s Current Report on Form 8-K as filed with the Securities and Exchange Commission on September 6, 2005). |   |
| 4.3(a)  | Articles Supplementary Establishing and Fixing the Rights and Preferences of Series A Cumulative Redeemable Convertible Preferred Stock of the Company (Incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed on January 25, 2008).                                                                                                                                 |   |
| 4.3(b)  | Form of Series A Cumulative Redeemable Convertible Preferred Stock Certificate (Incorporated by reference to Exhibit 4.2 to the Company’s Current Report on Form 8-K filed on January 25, 2008).                                                                                                                                                                                                         |   |
| 10.1    | New York Mortgage Trust, Inc. 2010 Stock Incentive Plan (Incorporated by reference to Exhibit 10.2 to the Company’s Current Report on Form 8-K filed on May 17, 2010).                                                                                                                                                                                                                                   |   |