| 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 |
|---------------------------|---------------------|-------------------------|-----------------------------|

----

| PART I. Financial Information                                                                                                      | 2  |
|------------------------------------------------------------------------------------------------------------------------------------|----|
| Item 1. Condensed Consolidated Financial Statements                                                                                | 2  |
| Condensed Consolidated Balance Sheets as of June 30, 2012 (Unaudited) and December 31, 2011                                        | 2  |
| Unaudited Condensed Consolidated Statements of Operations for the Three and Six Months Ended June 30, 2012 and  2011     | 3  |
| Unaudited Condensed Consolidated Statements of Comprehensive Income for the Three and Six Months Ended June 30, 2012 and 2011 | 4  |
| Unaudited Condensed Consolidated Statement of Equity for the Six Months Ended June 30, 2012                                   | 5  |
| Unaudited Condensed Consolidated Statements of Cash Flows for the Six Months Ended June 30, 2012 and 2011                          | 6  |
| Unaudited Notes to the Condensed Consolidated Financial Statements                                                            | 7  |
| Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations                                | 36 |
| Item 3. Quantitative and Qualitative Disclosures about Market Risk                                                                 | 66 |
| Item 4. Controls and Procedures                                                                                                    | 70 |
| PART II. OTHER INFORMATION                                                                                                         | 70 |
| Item 1A. Risk Factors                                                                                                              | 70 |
| Item 6. Exhibits                                                                                                                   | 72 |
| SIGNATURES                                                                                                                         | 73 |

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|                                                                                                                                                                |   | June 30,2012 |      |   | December 31,2011 |   |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------------|-----------|--------|------------------|--------|
| ASSETS                                                                                                                                                              |   | (unaudited)  |      |   |             |   |
|                                                                                                                                                                |   |         |      |   |             |   |
| Investment securities available for sale, at fair value (including pledged securities of $131,449 and $129,942, respectively)                                       |   | $            | 157,886   |   |             | $      | 200,342 |   |
| Investment securities available for sale, at fair value held in securitization trust                                                                                |   |         | 21,466    |   |             |   | - |   |
| Residential mortgage loans held in securitization trusts (net)                                                                                                      |   |         | 196,378   |   |             |   | 206,920 |   |
| Multi-family loans held in securitization trusts, at fair value                                                                                                     |   |         | 3,854,884 |   |             |   | - |   |
| Derivative assets                                                                                                                                                   |   |         | 274,716   |   |             |   | 208,218 |   |
| Investment in limited partnership                                                                                                                                   |   |         | 1,530     |   |             |   | 8,703 |   |
| Cash and cash equivalents                                                                                                                                           |   |         | 8,621     |   |             |   | 16,586 |   |
| Receivable for securities sold                                                                                                                                      |   |         | -         |   |             |   | 1,133 |   |
| Receivables and other assets                                                                                                                                        |   |         | 62,425    |   |             |   | 40,803 |   |
| Total Assets                                                                                                                                                        |   | $            | 4,577,906 |   |             | $      | 682,705 |   |
|                                                                                                                                                                |   |         |      |   |             |   |   |   |
| LIABILITIES AND EQUITY                                                                                                                                              |   |         |      |   |             |   |   |   |
| Liabilities:                                                                                                                                                        |   |         |      |   |             |   |   |   |
| Financing arrangements, portfolio investments                                                                                                                       |   | $            | 138,871   |   |             | $      | 112,674 |   |
| Residential collateralized debt obligations                                                                                                                         |   |         | 190,637   |   |             |   | 199,762 |   |
| Multi-family collateralized debt obligations, at fair value                                                                                                         |   |         | 3,768,116 |   |             |   | - |   |
| Securitized debt                                                                                                                                                    |   |         | 26,044    |   |             |   | - |   |
| Derivative liabilities                                                                                                                                              |   |         | 3,213     |   |             |   | 2,619 |   |
| Payable for securities purchased                                                                                                                                    |   |         | 273,981   |   |             |   | 228,300 |   |
| Accrued expenses and other liabilities                                                                                                                              |   |         | 19,053    |   |             |   | 8,043 |   |
| Subordinated debentures                                                                                                                                             |   |         | 45,000    |   |             |   | 45,000 |   |
| Total liabilities                                                                                                                                                   |   |         | 4,464,915 |   |             |   | 596,398 |   |
|                                                                                                                                                                |   |         |      |   |             |   |   |   |
| Commitments and Contingencies                                                                                                                                       |   |         |      |   |             |   |   |   |
| Equity:                                                                                                                                                             |   |         |      |   |             |   |   |   |
| Stockholders' equity                                                                                                                                                |   |         |      |   |             |   |   |   |
| Common stock, $0.01 par value, 400,000,000 authorized, 17,369,374 and 13,938,273 shares issued and outstanding at June 30, 2012 and December 31, 2011, respectively |   |         | 174       |   |             |   | 139 |   |
| Additional paid-in capital                                                                                                                                          |   |         | 165,785   |   |             |   | 153,710 |   |
| Accumulated other comprehensive income                                                                                                                              |   |         | 15,919    |   |             |   | 11,292 |   |
| Accumulated deficit                                                                                                                                                 |   |         | (68,887   | )      |             |   | (79,863 | ) |
| Total stockholders' equity                                                                                                                                          |   |         | 112,991   |   |             |   | 85,278 |   |
| Noncontrolling interest                                                                                                                                             |   |         | -         |   |             |   | 1,029 |   |
| Total equity                                                                                                                                                        |   |         | 112,991   |   |             |   | 86,307 |   |
| Total Liabilities and Equity                                                                                                                                        |   | $            | 4,577,906 |   |             | $      | 682,705 |   |

----

|                                                                         |   | For the Three MonthsEnded June 30, |   |   | For the Six MonthsEnded June 30, |   |
|------------------------------------------------------------------------------|--------|------------------------------------|--------|--------|----------------------------------|--------|
|                                                                         |   | 2012                               |   |   | 2011                             |   |   | 2012 |   |   | 2011 |   |
| INTEREST INCOME:                                                             |   |                               |   |   |                             |   |   |   |   |   |   |   |
| Investment securities and other                                              |   | $                                  | 4,759  |   |                             | $      | 5,052 |   |   | $ | 10,306 |   |   | $ | 7,316 |   |
| Multi-family loans held in securitization trusts                             |   |                               | 18,804 |   |                             |   | - |   |   |   | 31,004 |   |   |   | - |   |
| Residential mortgage loans held in securitization trusts                     |   |                               | 1,428  |   |                             |   | 1,430 |   |   |   | 2,772 |   |   |   | 2,860 |   |
| Total interest income                                                        |   |                               | 24,991 |   |                             |   | 6,482 |   |   |   | 44,082 |   |   |   | 10,176 |   |
|                                                                         |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| INTEREST EXPENSE:                                                            |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| Investment securities and other                                              |   |                               | 500    |   |                             |   | 355 |   |   |   | 952 |   |   |   | 694 |   |
| Multi-family collaterized debt obligations                                   |   |                               | 17,541 |   |                             |   | - |   |   |   | 29,115 |   |   |   | - |   |
| Residential collaterized debt obligations                                    |   |                               | 332    |   |                             |   | 356 |   |   |   | 691 |   |   |   | 735 |   |
| Securitized debt                                                             |   |                               | 277    |   |                             |   | - |   |   |   | 277 |   |   |   | - |   |
| Subordinated debentures                                                      |   |                               | 500    |   |                             |   | 470 |   |   |   | 999 |   |   |   | 936 |   |
| Total interest expense                                                       |   |                               | 19,150 |   |                             |   | 1,181 |   |   |   | 32,034 |   |   |   | 2,365 |   |
|                                                                         |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| NET INTEREST INCOME                                                          |   |                               | 5,841  |   |                             |   | 5,301 |   |   |   | 12,048 |   |   |   | 7,811 |   |
|                                                                         |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| OTHER INCOME (EXPENSE):                                                      |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| Provision for loan losses                                                    |   |                               | (59    | )      |                             |   | (391 | ) |   |   | (289 | ) |   |   | (1,024 | ) |
| Income from investment in limited partnership and limited liability company  |   |                               | 358    |   |                             |   | 499 |   |   |   | 728 |   |   |   | 1,283 |   |
| Realized (loss) gain on investment securities and related hedges, net        |   |                               | (443   | )      |                             |   | 3,283 |   |   |   | 626 |   |   |   | 5,474 |   |
| Unrealized gain (loss) on investment securities and related hedges, net      |   |                               | 171    |   |                             |   | (695 | ) |   |   | (701 | ) |   |   | (735 | ) |
| Unrealized gain on multi-family loans and debt held in securitization trusts |   |                               | 2,205  |   |                             |   | - |   |   |   | 4,228 |   |   |   | - |   |
| Total other income                                                           |   |                               | 2,232  |   |                             |   | 2,696 |   |   |   | 4,592 |   |   |   | 4,998 |   |
|                                                                         |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| General, administrative and other expenses                                   |   |                               | 2,659  |   |                             |   | 3,454 |   |   |   | 5,327 |   |   |   | 5,747 |   |
| Total general, administrative and other expenses                             |   |                               | 2,659  |   |                             |   | 3,454 |   |   |   | 5,327 |   |   |   | 5,747 |   |
|                                                                         |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| INCOME FROM CONTINUING OPERATIONS BEFORE INCOME TAXES                        |   |                               | 5,414  |   |                             |   | 4,543 |   |   |   | 11,313 |   |   |   | 7,062 |   |
| Income tax expense                                                           |   |                               | 467    |   |                             |   | 363 |   |   |   | 467 |   |   |   | 363 |   |
| INCOME FROM CONTINUING OPERATIONS                                            |   |                               | 4,947  |   |                             |   | 4,180 |   |   |   | 10,846 |   |   |   | 6,699 |   |
| Income from discontinued operation - net of tax                              |   |                               | 42     |   |                             |   | 9 |   |   |   | 33 |   |   |   | 4 |   |
| NET INCOME                                                                   |   |                               | 4,989  |   |                             |   | 4,189 |   |   |   | 10,879 |   |   |   | 6,703 |   |
| Net (loss) income attributable to noncontrolling interest                    |   |                               | (148   | )      |                             |   | 20 |   |   |   | (97 | ) |   |   | 20 |   |
| NET INCOME ATTRIBUTABLE TO COMMON STOCKHOLDERS                               |   | $                                  | 5,137  |   |                             | $      | 4,169 |   |   | $ | 10,976 |   |   | $ | 6,683 |   |
|                                                                         |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| Basic income per common share                                                |   | $                                  | 0.34   |   |                             | $      | 0.44 |   |   | $ | 0.75 |   |   | $ | 0.71 |   |
| Diluted income per common share                                              |   | $                                  | 0.34   |   |                             | $      | 0.44 |   |   | $ | 0.75 |   |   | $ | 0.71 |   |
| Dividends declared per common share                                          |   | $                                  | 0.27   |   |                             | $      | 0.22 |   |   | $ | 0.52 |   |   | $ | 0.40 |   |
| Weighted average shares outstanding-basic                                    |   |                               | 15,262 |   |                             |   | 9,447 |   |   |   | 14,630 |   |   |   | 9,440 |   |
| Weighted average shares outstanding-diluted                                  |   |                               | 15,262 |   |                             |   | 9,447 |   |   |   | 14,630 |   |   |   | 9,440 |   |

----

|                                                                           |   | For the Three MonthsEnded June 30, |   |   | For the Six MonthsEnded June 30, |   |
|--------------------------------------------------------------------------------|--------|------------------------------------|--------|--------|----------------------------------|--------|
|                                                                           |   | 2012                               |   |   | 2011                             |   |   | 2012 |   |   | 2011 |   |
|                                                                           |   |                               |   |   |                             |   |   |   |   |   |   |   |
|                                                                           |   |                               |   |   |                             |   |   |   |   |   |   |   |
| NET INCOME ATTRIBUTABLE TO COMMON STOCKHOLDERS                                 |   | $                                  | 5,137  |   |                             | $      | 4,169 |   |   | $ | 10,976 |   |   | $ | 6,683 |   |
|                                                                           |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| OTHER COMPREHENSIVE INCOME (LOSS)                                              |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
|                                                                           |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| Increase (decrease) in net unrealized gain on available for sale securities    |   |                               | 240    |   |                             |   | (362 | ) |   |   | 4,454 |   |   |   | 3,088 |   |
| Reclassification adjustment for net gain included in net income                |   |                               | -      |   |                             |   | (2,017 | ) |   |   | - |   |   |   | (3,885 | ) |
| Increase in fair value of derivative instruments utilized for cash flow hedges |   |                               | 62     |   |                             |   | 149 |   |   |   | 173 |   |   |   | 409 |   |
|                                                                           |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| OTHER COMPREHENSIVE INCOME (LOSS)                                              |   |                               | 302    |   |                             |   | (2,230 | ) |   |   | 4,627 |   |   |   | (388 | ) |
|                                                                           |   |                               |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| COMPREHENSIVE INCOME ATTRIBUTABLE TO COMMON STOCKHOLDERS                       |   | $                                  | 5,439  |   |                             | $      | 1,939 |   |   | $ | 15,603 |   |   | $ | 6,295 |   |

----

|                                                                                                   |   | CommonStock |   |   | AdditionalPaid-InCapital |   |    | AccumulatedDeficit |   |   | AccumulatedOtherComprehensiveIncome |   |   | Non-controllingInterest |   |   | Total  |   |
|--------------------------------------------------------------------------------------------------------|--------|-------------|--------|--------|--------------------------|--------|---------|--------------------|--------|--------|-------------------------------------|--------|--------|-------------------------|--------|--------|--------|--------|
| Balance, December 31, 2011                                                                             |   | $           | 139    |   |                     | $      | 153,710 |               |   | $      | (79,863                             | )      |   | $                       | 11,292 |   |   | $      | 1,029 |   |   | $ | 86,307 |   |
| Net income                                                                                             |   |        | -      |   |                     |   | -       |               |   |   | 10,976                              |   |   |                    | -      |   |   |   | (97 | ) |   |   | 10,879 |   |
| Stock issuance, net                                                                                    |   |        | 35     |   |                     |   | 20,309  |               |   |   | -                                   |   |   |                    | -      |   |   |   | - |   |   |   | 20,344 |   |
| Dividends declared                                                                                     |   |        | -      |   |                     |   | (8,234  | )                  |   |   | -                                   |   |   |                    | -      |   |   |   | - |   |   |   | (8,234 | ) |
| Decrease in noncontrolling interest related to sale of interest in a mortgage loan held for investment |   |        | -      |   |                     |   | -       |               |   |   | -                                   |   |   |                    | -      |   |   |   | (932 | ) |   |   | (932 | ) |
| Increase in net unrealized gain on available for sale securities                                       |   |        | -      |   |                     |   | -       |               |   |   | -                                   |   |   |                    | 4,454  |   |   |   | - |   |   |   | 4,454 |   |
| Increase in fair value of derivative instruments utilized for cash flow hedges                         |   |        | -      |   |                     |   | -       |               |   |   | -                                   |   |   |                    | 173    |   |   |   | - |   |   |   | 173 |   |
| Balance, June 30, 2012                                                                                 |   | $           | 174    |   |                     | $      | 165,785 |               |   | $      | (68,887                             | )      |   | $                       | 15,919 |   |   | $      | - |   |   | $ | 112,991 |   |

----

|                                                                              |   | For the Six Months EndedJune 30, |      |
|-----------------------------------------------------------------------------------|--------|----------------------------------|-----------|
|                                                                              |   | 2012                             |      |   | 2011 |   |
| Cash Flows from Operating Activities:                                             |   |                             |      |   |   |   |
| Net income                                                                        |   | $                                | 10,879    |   |   | $ | 6,703 |   |
| Adjustments to reconcile net income to net cash provided by operating activities: |   |                             |      |   |   |   |   |   |
| Net amortization                                                                  |   |                             | 4,526     |   |   |   | 410 |   |
| Realized gain on investment securities and related hedges, net                    |   |                             | (626      | ) |   |   | (5,474 | ) |
| Unrealized loss on investment securities and related hedges, net                  |   |                             | 701       |   |   |   | 735 |   |
| Unrealized gain on loans and debt held in multi-family securitization trusts      |   |                             | (4,228    | ) |   |   | - |   |
| Net decrease in loans held for sale                                               |   |                             | 951       |   |   |   | 14 |   |
| Provision for loan losses                                                         |   |                             | 289       |   |   |   | 1,024 |   |
| Income from investment in limited partnership and limited liability company       |   |                             | (728      | ) |   |   | (1,283 | ) |
| Interest distributions from investment in limited partnership                     |   |                             | 181       |   |   |   | 383 |   |
| Stock issuance expense                                                            |   |                             | 448       |   |   |   | 177 |   |
| Changes in operating assets and liabilities:                                      |   |                             |      |   |   |   |   |   |
| Receivables and other assets                                                      |   |                             | (10,491   | ) |   |   | (749 | ) |
| Accrued expenses and other liabilities                                            |   |                             | 11,202    |   |   |   | 1,452 |   |
| Net cash provided by operating activities                                         |   |                             | 13,104    |   |   |   | 3,392 |   |
|                                                                              |   |                             |      |   |   |   |   |   |
| Cash Flows from Investing Activities:                                             |   |                             |      |   |   |   |   |   |
| Restricted cash                                                                   |   |                             | (14,151   | ) |   |   | (2,828 | ) |
| Purchases of reverse repurchase agreements                                        |   |                             | -         |   |   |   | (18,000 | ) |
| Purchases of investment securities                                                |   |                             | (17,374   | ) |   |   | (87,585 | ) |
| Proceeds from sales of investment securities                                      |   |                             | 1,201     |   |   |   | 26,286 |   |
| Issuance of mortgage loans held for investment                                    |   |                             | -         |   |   |   | (2,520 | ) |
| Proceeds from mortgage loans held for investment                                  |   |                             | 3,318     |   |   |   | 4,989 |   |
| Purchase of investment in limited liability company                               |   |                             | -         |   |   |   | (5,322 | ) |
| Proceeds from investment in limited partnership                                   |   |                             | 7,719     |   |   |   | 4,517 |   |
| Net receipts on other derivative instruments settled during the period            |   |                             | 3,837     |   |   |   | - |   |
| Principal repayments received on mortgage loans held in securitization trusts     |   |                             | 17,576    |   |   |   | 10,039 |   |
| Principal paydowns on investment securities - available for sale                  |   |                             | 12,563    |   |   |   | 8,811 |   |
| Purchases of investments held in multi-family securitization trusts               |   |                             | (80,959   | ) |   |   | - |   |
| Net cash used in investing activities                                             |   |                             | (66,270   | ) |   |   | (61,613 | ) |
|                                                                              |   |                             |      |   |   |   |   |   |
| Cash Flows from Financing Activities:                                             |   |                             |      |   |   |   |   |   |
| Proceeds from financing arrangements                                              |   |                             | 26,197    |   |   |   | 60,738 |   |
| Stock issuance                                                                    |   |                             | 20,189    |   |   |   | - |   |
| Dividends paid                                                                    |   |                             | (8,422    | ) |   |   | (5,475 | ) |
| Payments made on collateralized debt obligations                                  |   |                             | (17,582   | ) |   |   | (10,358 | ) |
| Capital (distributed to) contributed by noncontrolling interest                   |   |                             | (932      | ) |   |   | 932 |   |
| Costs associated with common stock issued                                         |   |                             | (293      | ) |   |   | (106 | ) |
| Proceeds from securitized debt                                                    |   |                             | 26,044    |   |   |   | - |   |
| Net cash provided by financing activities                                         |   |                             | 45,201    |   |   |   | 45,731 |   |
| Net Decrease in Cash and Cash Equivalents                                         |   |                             | (7,965    | ) |   |   | (12,490 | ) |
| Cash and Cash Equivalents - Beginning of Period                                   |   |                             | 16,586    |   |   |   | 19,375 |   |
| Cash and Cash Equivalents - End of Period                                         |   | $                                | 8,621     |   |   | $ | 6,885 |   |
|                                                                              |   |                             |      |   |   |   |   |   |
| Supplemental Disclosure:                                                          |   |                             |      |   |   |   |   |   |
| Cash paid for interest                                                            |   | $                                | 2,238     |   |   | $ | 2,301 |   |
|                                                                              |   |                             |      |   |   |   |   |   |
| Non-Cash Investment Activities:                                                   |   |                             |      |   |   |   |   |   |
| Purchase of investment securities not yet settled                                 |   | $                                | 273,981   |   |   | $ | 15,674 |   |
| Consolidation of multi-family loans held in securitization trusts                 |   | $                                | 3,808,556 |   |   | $ | - |   |
| Consolidation of multi-family collateralized debt obligations                     |   | $                                | 3,727,742 |   |   | $ | - |   |
|                                                                              |   |                             |      |   |   |   |   |   |
| Non-Cash Financing Activities:                                                    |   |                             |      |   |   |   |   |   |
| Dividends declared to be paid in subsequent period                                |   | $                                | 4,690     |   |   | $ | - |   |
|                                                                              |   |                             |      |   |   |   |   |   |
| Common stock subscribed included in subscription receivable                       |   | $                                | -         |   |   | $ | 10,638 |   |

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|            |   | AmortizedCosts |    |   | UnrealizedGains |   |    | UnrealizedLosses |   |   | CarryingValue |   |
|-----------------|--------|----------------|---------|--------|-----------------|--------|---------|------------------|--------|--------|---------------|--------|
| Agency RMBS     |   | $              | 135,268 |   |            | $      | 2,952   |             |   | $      | (10,007)      |   |   | $ | 128,213 |   |
| Non-Agency RMBS |   |           | 3,605   |   |            |   | — |             |   |   | (733)         |   |   |   | 2,872 |   |
| CLOs            |   |           | 11,697  |   |            |   | 15,104  |             |   |   | —       |   |   |   | 26,801 |   |
| Total           |   | $              | 150,570 |   |            | $      | 18,056  |             |   | $      | (10,740)      |   |   | $ | 157,886 |   |

|                                                                |   | AmortizedCosts |   |   | UnrealizedGains |   |   | UnrealizedLosses |   |   | CarryingValue |   |
|---------------------------------------------------------------------|--------|----------------|--------|--------|-----------------|--------|--------|------------------|--------|--------|---------------|--------|
| IOs included in Agency RMBS:                                        |   |           |   |   |            |   |   |             |   |   |          |   |   |   |   |   |
| Federal National Mortgage Association (“Fannie Mae”)    |   | $              | 32,549 |   |            | $      | 643    |             |   | $      | (4,775)       |   |   | $ | 28,417 |   |
| Federal Home Loan Mortgage Corporation (“Freddie Mac”)  |   |           | 24,043 |   |            |   | 108    |             |   |   | (2,725)       |   |   |   | 21,426 |   |
| Government National Mortgage Association (“Ginnie Mae”) |   |           | 22,530 |   |            |   | 491    |             |   |   | (2,495)       |   |   |   | 20,526 |   |
| Total                                                               |   | $              | 79,122 |   |            | $      | 1,242  |             |   | $      | (9,995)       |   |   | $ | 70,369 |   |

|   |   | AmortizedCosts |   |   | UnrealizedGains |   |   | UnrealizedLosses |   |   | CarryingValue |   |
|--------|--------|----------------|--------|--------|-----------------|--------|--------|------------------|--------|--------|---------------|--------|
| CMBS   |   | $              | 21,486 |   |            | $      | 476    |             |   | $      | (496)         |   |   | $ | 21,466 |   |
| Total  |   | $              | 21,486 |   |            | $      | 476    |             |   | $      | (496)         |   |   | $ | 21,466 |   |

----

|            |   | AmortizedCosts |    |   | UnrealizedGains |   |    | UnrealizedLosses |   |   | CarryingValue |   |
|-----------------|--------|----------------|---------|--------|-----------------|--------|---------|------------------|--------|--------|---------------|--------|
| Agency RMBS     |   | $              | 139,639 |   |            | $      | 2,327   |             |   | $      | (9,509)       |   |   | $ | 132,457 |   |
| CMBS            |   |           | 42,221  |   |            |   | 128     |             |   |   | (1,164)       |   |   |   | 41,185 |   |
| Non-Agency RMBS |   |           | 5,156   |   |            |   | — |             |   |   | (1,211)       |   |   |   | 3,945 |   |
| CLO             |   |           | 10,262  |   |            |   | 12,493  |             |   |   | —       |   |   |   | 22,755 |   |
| Total           |   | $              | 197,278 |   |            | $      | 14,948  |             |   | $      | (11,884)      |   |   | $ | 200,342 |   |

|                                              |   | AmortizedCosts |   |   | UnrealizedGains |   |   | UnrealizedLosses |   |   | CarryingValue |   |
|---------------------------------------------------|--------|----------------|--------|--------|-----------------|--------|--------|------------------|--------|--------|---------------|--------|
| Interest only securities included in Agency RMBS: |   |           |   |   |            |   |   |             |   |   |          |   |   |   |   |   |
| Fannie Mae                                        |   | $              | 31,079 |   |            | $      | 490    |             |   | $      | (3,908)       |   |   | $ | 27,661 |   |
| Freddie Mac                                       |   |           | 19,477 |   |            |   | 142    |             |   |   | (2,554)       |   |   |   | 17,065 |   |
| Ginnie Mae                                        |   |           | 21,656 |   |            |   | 304    |             |   |   | (3,004)       |   |   |   | 18,956 |   |
| Total                                             |   | $              | 72,212 |   |            | $      | 936    |             |   | $      | (9,466)       |   |   | $ | 63,682 |   |

| June 30, 2012   |   | Less than6 Months |   |   | More than6 MonthsTo 24 Months |   |    | More than24 Months |   |   |   Total         |   |
|-----------------|--------|-------------------|--------|--------|-------------------------------|--------|---------|--------------------|--------|--------|----------------------|--------|
|            |   |              |   |   |                          |   |    |               |   |   |                 |   |
|            |   | CarryingValue     |   |   | CarryingValue                 |   |    | CarryingValue      |   |   |   CarryingValue |   |
| Agency RMBS     |   | $                 | 64,954 |   |                          | $      | 40,788  |               |   | $      | 22,471               |   |   | $ | 128,213 |   |
| Non-Agency RMBS |   |              | 2,872  |   |                          |   | — |               |   |   | —              |   |   |   | 2,872 |   |
| CLO             |   |              | 26,801 |   |                          |   | — |               |   |   | —              |   |   |   | 26,801 |   |
| Total           |   | $                 | 94,627 |   |                          | $      | 40,788  |               |   | $      | 22,471               |   |   | $ | 157,886 |   |

----

| June 30, 2012 |   | Less than6 Months |    |   | More than6 MonthsTo 24 Months |   |    | More than24 Months |   |   |   Total         |   |
|---------------|--------|-------------------|---------|--------|-------------------------------|--------|---------|--------------------|--------|--------|----------------------|--------|
|          |   |              |    |   |                          |   |    |               |   |   |                 |   |
|          |   | CarryingValue     |    |   | CarryingValue                 |   |    | CarryingValue      |   |   |   CarryingValue |   |
| CMBS          |   | $                 | — |   |                          | $      | — |               |   | $      | 21,466               |   |   | $ | 21,466 |   |
| Total         |   | $                 | — |   |                          | $      | — |               |   | $      | 21,466               |   |   | $ | 21,466 |   |

| December 31, 2011 |   | Less than6 Months |    |   | More than6 MonthsTo 24 Months |   |    | More than24 Months |   |   |   Total         |   |
|-------------------|--------|-------------------|---------|--------|-------------------------------|--------|---------|--------------------|--------|--------|----------------------|--------|
|              |   |              |    |   |                          |   |    |               |   |   |                 |   |
|              |   | CarryingValue     |    |   | CarryingValue                 |   |    | CarryingValue      |   |   |   CarryingValue |   |
| Agency RMBS       |   | $                 | 74,983  |   |                          | $      | 29,210  |               |   | $      | 28,264               |   |   | $ | 132,457 |   |
| CMBS              |   |              | — |   |                          |   | — |               |   |   | 41,185               |   |   |   | 41,185 |   |
| Non-Agency RMBS   |   |              | 3,945   |   |                          |   | — |               |   |   | —              |   |   |   | 3,945 |   |
| CLO               |   |              | 22,755  |   |                          |   | — |               |   |   | —              |   |   |   | 22,755 |   |
| Total             |   | $                 | 101,683 |   |                          | $      | 29,210  |               |   | $      | 69,449               |   |   | $ | 200,342 |   |

| June 30, 2012   |   | Less than 12 Months |    |   | Greater than 12 months  |   |    | Total         |   |
|-----------------|--------|---------------------|---------|--------|-------------------------|--------|---------|---------------|--------|
|            |   | CarryingValue       |    |   | Gross Unrealized Losses |   |    | CarryingValue |   |   | Gross Unrealized Losses |   |   | CarryingValue |   |   | Gross Unrealized Losses |   |
| Agency RMBS     |   | $                   | 9,723   |   |                    | $      | 12      |          |   | $ | — |   |   | $ | — |   |   | $ | 9,723 |   |   | $ | 12 |   |
| Non-Agency RMBS |   |                | — |   |                    |   | — |          |   |   | 2,872 |   |   |   | 733 |   |   |   | 2,872 |   |   |   | 733 |   |
| Total           |   | $                   | 9,723   |   |                    | $      | 12      |          |   | $ | 2,872 |   |   | $ | 733 |   |   | $ | 12,595 |   |   | $ | 745 |   |

| June 30, 2012 |   | Less than 12 Months |   |   | Greater than 12 months  |   |   | Total         |   |
|---------------|--------|---------------------|--------|--------|-------------------------|--------|--------|---------------|--------|
|          |   | CarryingValue       |   |   | Gross Unrealized Losses |   |   | CarryingValue |   |   | Gross Unrealized Losses |   |   | CarryingValue |   |   | Gross Unrealized Losses |   |
| CMBS          |   | $                   | 15,128 |   |                    | $      | 496    |          |   | $ | — |   |   | $ | — |   |   | $ | 15,128 |   |   | $ | 496 |   |
| Total         |   | $                   | 15,128 |   |                    | $      | 496    |          |   | $ | — |   |   | $ | — |   |   | $ | 15,128 |   |   | $ | 496 |   |

----

| December 31, 2011 |   | Less than 12 Months |    |   | Greater than 12 months  |   |    | Total         |   |
|-------------------|--------|---------------------|---------|--------|-------------------------|--------|---------|---------------|--------|
|              |   | CarryingValue       |    |   | Gross Unrealized Losses |   |    | CarryingValue |   |   | Gross Unrealized Losses |   |   | CarryingValue |   |   | Gross Unrealized Losses |   |
| Agency RMBS       |   | $                   | 13,718  |   |                    | $      | 43      |          |   | $ | — |   |   | $ | — |   |   | $ | 13,718 |   |   | $ | 43 |   |
| CMBS              |   |                | 13,396  |   |                    |   | 1,164   |          |   |   | — |   |   |   | — |   |   |   | 13,396 |   |   |   | 1,164 |   |
| Non-Agency RMBS   |   |                | — |   |                    |   | — |          |   |   | 3,944 |   |   |   | 1,211 |   |   |   | 3,944 |   |   |   | 1,211 |   |
| Total             |   | $                   | 27,114  |   |                    | $      | 1,207   |          |   | $ | 3,944 |   |   | $ | 1,211 |   |   | $ | 31,058 |   |   | $ | 2,418 |   |

|                                   |   | June 30,2012 |    |   | December 31,2011 |   |
|----------------------------------------|--------|--------------|---------|--------|------------------|--------|
| Mortgage loans principal amount        |   | $            | 197,724 |   |             | $      | 208,934 |   |
| Deferred origination costs – net |   |         | 1,258   |   |             |   | 1,317 |   |
| Reserve for loan losses                |   |         | (2,604  | )      |             |   | (3,331 | ) |
| Total                                  |   | $            | 196,378 |   |             | $      | 206,920 |   |

|                           |   | Six Months Ended June 30, |   |
|--------------------------------|--------|---------------------------|--------|
|                           |   | 2012                      |   |   | 2011 |   |
| Balance at beginning of period |   | $                         | 3,331  |   |   | $ | 2,589 |   |
| Provisions for loan losses     |   |                      | 298    |   |   |   | 769 |   |
| Transfer to real estate owned  |   |                      | (898)  |   |   |   | (16) |   |
| Charge-offs                    |   |                      | (127)  |   |   |   | (445) |   |
| Balance at the end of period   |   | $                         | 2,604  |   |   | $ | 2,897 |   |

----

|                                                       |   | June 30,2012 |   |   | December 31,2011 |   |
|------------------------------------------------------------|--------|--------------|--------|--------|------------------|--------|
| Balance at beginning of period                             |   | $            | 454    |   |             | $      | 740 |   |
| Write downs                                                |   |         | (20    | )      |             |   | (87 | ) |
| Transfer from mortgage loans held in securitization trusts |   |         | 1,570  |   |             |   | 698 |   |
| Disposal                                                   |   |         | (542   | )      |             |   | (897 | ) |
| Balance at the end of period                               |   | $            | 1,462  |   |             | $      | 454 |   |

| Days Late                             |   | Number of DelinquentLoans |   |   | TotalDollar Amount |   |   | % of LoanPortfolio |   |
|---------------------------------------|--------|---------------------------|--------|--------|--------------------|--------|--------|--------------------|--------|
| 30-60                                 |   |                      | 2      |   |               | $      | 706    |               |   |   | 0.35 | % |
| 61-90                                 |   |                      | 1      |   |               | $      | 843    |               |   |   | 0.42 | % |
| 90+                                   |   |                      | 28     |   |               | $      | 16,376 |               |   |   | 8.19 | % |
| Real estate owned through foreclosure |   |                      | 7      |   |               | $      | 2,266  |               |   |   | 1.13 | % |

| Days Late                             |   | Number of DelinquentLoans |   |   | TotalDollar Amount |   |   | % of LoanPortfolio |   |
|---------------------------------------|--------|---------------------------|--------|--------|--------------------|--------|--------|--------------------|--------|
| 30-60                                 |   |                      | 2      |   |               | $      | 517    |               |   |   | 0.25 | % |
| 61-90                                 |   |                      | 1      |   |               | $      | 378    |               |   |   | 0.18 | % |
| 90+                                   |   |                      | 35     |   |               | $      | 20,138 |               |   |   | 9.61 | % |
| Real estate owned through foreclosure |   |                      | 3      |   |               | $      | 656    |               |   |   | 0.31 | % |

----

| Assets                                           |   | June 30,2012 |      |
|--------------------------------------------------|--------|--------------|-----------|
| Multi-family loans held in securitization trusts |   | $            | 3,854,884 |   |
| Receivables                                      |   |         | 11,512    |   |
| Total Assets                                     |   | $            | 3,866,396 |   |
|                                             |   |         |      |   |
| Liabilities & Equity                         |   |         |      |   |
| Multi-family CDOs                                |   | $            | 3,768,116 |   |
| Accrued expenses                                 |   |         | 11,306    |   |
| Total Liabilities                                |   |         | 3,779,422 |   |
| Equity                                           |   |         | 86,974    |   |
| Total Liabilities & Equity                   |   | $            | 3,866,396 |   |

| Statement of Operations                                                      |   | Three Months EndedJune 30, 2012 |   |   | Six Months EndedJune 30, 2012 |   |
|------------------------------------------------------------------------------|--------|---------------------------------|--------|--------|-------------------------------|--------|
| Interest income                                                              |   | $                               | 18,804 |   |                          | $      | 31,004 |   |
| Interest expense                                                             |   |                            | 17,541 |   |                          |   | 29,115 |   |
| Net interest income                                                          |   |                            | 1,263  |   |                          |   | 1,889 |   |
| Unrealized gain on multi-family loans and debt held in securitization trusts |   |                            | 2,205  |   |                          |   | 4,228 |   |
| Net Income                                                                   |   | $                               | 3,468  |   |                          | $      | 6,117 |   |

----

----

----

| Assets                                         |   | June 30,2012 |   |   | December 31,2011 |   |
|------------------------------------------------|--------|--------------|--------|--------|------------------|--------|
| Cash                                           |   | $            | 336    |   |             | $      | 1,154 |   |
| Mortgage loans held for sale (net)             |   |         | 1,310  |   |             |   | 6,918 |   |
| Other assets                                   |   |         | 49     |   |             |   | 661 |   |
| Total Assets                                   |   | $            | 1,695  |   |             | $      | 8,733 |   |
|                                           |   |         |   |   |             |   |   |   |
| Liabilities & Partners’ Equity       |   |         |   |   |             |   |   |   |
| Other liabilities                              |   | $            | 256    |   |             | $      | 206 |   |
| Partners’ equity                         |   |         | 1,439  |   |             |   | 8,527 |   |
| Total Liabilities & Partners’ Equity |   | $            | 1,695  |   |             | $      | 8,733 |   |

|                    |   | Three Months Ended June 30, |   |   | Six Months Ended June 30, |   |
|-------------------------|--------|-----------------------------|--------|--------|---------------------------|--------|
| Statement of Operations |   | 2012                        |   |   | 2011                      |   |   | 2012 |   |   | 2011 |   |
| Interest income         |   | $                           | 76     |   |                      | $      | 353 |   |   | $ | 294 |   |   | $ | 761 |   |
| Realized gain           |   |                        | 432    |   |                      |   | 179 |   |   |   | 705 |   |   |   | 785 |   |
| Total Income            |   |                        | 508    |   |                      |   | 532 |   |   |   | 999 |   |   |   | 1,546 |   |
| Other expenses          |   |                        | (150   | )      |                      |   | (85 | ) |   |   | (271 | ) |   |   | (315 | ) |
| Net Income              |   | $                           | 358    |   |                      | $      | 447 |   |   | $ | 728 |   |   | $ | 1,231 |   |

| Derivatives Not Designatedas Hedging Instruments |   | Balance Sheet Location |   | June 30,2012 |    |   | December 31,2011 |   |
|--------------------------------------------------|--------|------------------------|--------|--------------|---------|--------|------------------|--------|
| TBA securities                                   |   | Derivative assets      |   | $            | 274,349 |   |             | $      | 207,891 |   |
| Options on U.S. Treasury futures                 |   | Derivative assets      |   |         | 367     |   |             |   | 327 |   |
| U.S. Treasury futures                            |   | Derivative liabilities |   |         | 558     |   |             |   | 566 |   |
| Eurodollar futures                               |   | Derivative liabilities |   |         | 2,523   |   |             |   | 1,749 |   |

----

|                                             |   | Notional Amount For the Six Months Ended June 30, 2012 |       |
|--------------------------------------------------|--------|--------------------------------------------------------|------------|
| Derivatives Not Designatedas Hedging Instruments |   | December 31, 2011                                      |       |   | Additions |   |   | Settlement, Expirationor Exercise |   |   | June 30, 2012 |   |
| TBA securities                                   |   | $                                                      | 202,000    |   |   | $ | 1,328,000 |   |   | $ | (1,269,000 | ) |   | $ | 261,000 |   |
| U.S. Treasury futures                            |   |                                                   | (92,800    | ) |   |   | 497,800 |   |   |   | (538,800 | ) |   |   | (133,800 | ) |
| Short sales of Eurodollar futures                |   |                                                   | (2,422,000 | ) |   |   | 1,128,000 |   |   |   | (1,361,000 | ) |   |   | (2,655,000 | ) |
| Options on U.S. Treasury futures                 |   |                                                   | 199,500    |   |   |   | 651,500 |   |   |   | (676,500 | ) |   |   | 174,500 |   |

|                                             |   | Notional Amount For the Six Months Ended June 30, 2011 |    |
|--------------------------------------------------|--------|--------------------------------------------------------|---------|
| Derivatives Not Designatedas Hedging Instruments |   | December 31, 2010                                      |    |   | Additions |   |   | Settlement, Expirationor Exercise |   |   | June 30, 2011 |   |
| TBA securities                                   |   | $                                                      | — |   |   | $ | 44,000 |   |   | $ | (30,000 | ) |   | $ | 14,000 |   |
| U.S. Treasury futures                            |   |                                                   | — |   |   |   | 187,700 |   |   |   | (172,100 | ) |   |   | 15,600 |   |
| Short sales of Eurodollar futures                |   |                                                   | — |   |   |   | 394,000 |   |   |   | (3,140,000 | ) |   |   | (2,746,000 | ) |
| Options on U.S. Treasury futures                 |   |                                                   | — |   |   |   | 186,500 |   |   |   | (98,500 | ) |   |   | 88,000 |   |

| Derivatives Designatedas Hedging Instruments |   | Balance Sheet Location |   | June 30,2012 |   |   | December 31,2011 |   |
|----------------------------------------------|--------|------------------------|--------|--------------|--------|--------|------------------|--------|
| Interest Rate Swaps                          |   | Derivative liabilities |   | $            | 132    |   |             | $      | 304 |   |

----

|                                                                      |   | Six Months Ended June 30, |   |
|---------------------------------------------------------------------------|--------|---------------------------|--------|
| Derivatives Designated as Hedging Instruments                             |   | 2012                      |   |   | 2011 |   |
| Accumulated other comprehensive income (loss) for derivative instruments: |   |                      |   |   |   |   |
| Balance at beginning of the period                                        |   | $                         | (304   | ) |   | $ | (1,087 | ) |
| Unrealized gain on interest rate swaps                                    |   |                      | 172    |   |   |   | 409 |   |
| Balance at end of the period                                              |   | $                         | (132   | ) |   | $ | (678 | ) |

|                                   | Three Months Ended June 30, |   |   | Six Months Ended June 30, |   |
|----------------------------------------|-----------------------------|--------|--------|---------------------------|--------|
|                                   | 2012                        |   | 2011   |                      |   | 2012 |   |   | 2011 |   |
| Interest Rate Swaps:                   |                        |   |   |                      |   |   |   |   |   |   |   |   |
| Interest expense-investment securities |                        | $      | 64     |                      |   | $ | 223 |   |   | $ | 192 |   |   | $ | 503 |   |

----

|                        |   | June 30, 2012  |    |   | December 31, 2011                      |   |
|-----------------------------|--------|----------------|---------|--------|----------------------------------------|--------|
| Maturity (1)                |   | NotionalAmount |    |   | Weighted AverageFixed PayInterest Rate |   |   | NotionalAmount |   |   | Weighted AverageFixed PayInterest Rate |   |
| Within 30 Days              |   | $              | 130     |   |                                   |   | 2.93 | % |   | $ | 14,930 |   |   |   | 3.02 | % |
| Over 30 days to 3 months    |   |           | 240     |   |                                   |   | 2.93 |   |   |   | 260 |   |   |   | 2.93 |   |
| Over 3 months to 6 months   |   |           | 440     |   |                                   |   | 2.93 |   |   |   | 380 |   |   |   | 2.93 |   |
| Over 6 months to 12 months  |   |           | 8,380   |   |                                   |   | 2.93 |   |   |   | 810 |   |   |   | 2.93 |   |
| Over 12 months to 24 months |   |           | — |   |                                   |   |   |   |   |   | 8,380 |   |   |   | 2.93 |   |
| Total                       |   | $              | 9,190   |   |                                   |   | 2.93 | % |   | $ | 24,760 |   |   |   | 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. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| Repurchase Agreements by Counterparty               |   |
|-----------------------------------------------------|--------|
|                                                |   |   |   |   |   |   |
| Counterparty Name                                   |   | June 30,2012 |   |   | December 31,2011 |   |
| Cantor Fitzgerald, L.P.                             |   | $ | 10,203 |   |   | $ | 9,225 |   |
| Credit Suisse First Boston LLC                      |   |   | 9,876 |   |   |   | 11,147 |   |
| Jefferies & Company, Inc.                       |   |   | 35,969 |   |   |   | 18,380 |   |
| JPMorgan Chase & Co.                            |   |   | 62,292 |   |   |   | 49,226 |   |
| South Street Securities LLC                         |   |   | 20,531 |   |   |   | 24,696 |   |
| Total Financing Arrangements, Portfolio Investments |   | $ | 138,871 |   |   | $ | 112,674 |   |

----

|                                                   |   | Three Months Ended June 30, |   | Six Months Ended June 30, |   |
|--------------------------------------------------------|--------|-----------------------------|--------|---------------------------|--------|
|                                                   |   | 2012                        |   |                      | 2011   |   | 2012 |   | 2011 |   |
|                                                   |   |                        |   |                      |   |   |   |   |   |   |
| Revenues                                               |   | $                           | 40     |                      |   | $ | 57 |   |   | $ | 77 |   |   | $ | 101 |   |
| Expenses                                               |   |                        | (2     | )                         |   |   | 48 |   |   |   | 44 |   |   |   | 97 |   |
| Income from discontinued operations – net of tax |   | $                           | 42     |                      |   | $ | 9 |   |   | $ | 33 |   |   | $ | 4 |   |

----

|                                                                                                                      |   | June 30, |   |   | December 31, |   |
|---------------------------------------------------------------------------------------------------------------------------|--------|----------|--------|--------|--------------|--------|
| Residential mortgage loans held in securitization trusts and real estate owned held in residential securitization trusts: |   | 2012     |   |   | 2011         |   |
| New York                                                                                                                  |   |     | 37.8   | %      |         |   | 37.5 | % |
| Massachusetts                                                                                                             |   |     | 25.4   | %      |         |   | 24.6 | % |
| New Jersey                                                                                                                |   |     | 9.3    | %      |         |   | 9.2 | % |
| Florida                                                                                                                   |   |     | 5.1    | %      |         |   | 5.7 | % |
| Connecticut                                                                                                               |   |     | 4.8    | %      |         |   | 5.1 | % |

|                                                                   |   | June 30, |   |   | December 31, |   |
|------------------------------------------------------------------------|--------|----------|--------|--------|--------------|--------|
| CMBS investments and multi-family loans held in securitization trusts: |   | 2012     |   |   | 2011         |   |
| Texas                                                                  |   |     | 12.9   | %      |         |   | 14.3 | % |
| California                                                             |   |     | 11.8   | %      |         |   | 9.3 | % |
| New York                                                               |   |     | 6.4    | %      |         |   | 7.2 | % |
| Georgia                                                                |   |     | 4.8    | %      |         |   | 6.7 | % |
| Washington                                                             |   |     | 5.2    | %      |         |   | 6.3 | % |
| Florida                                                                |   |     | 5.7    | %      |         |   | 5.5 | % |

|   | a. | Investment Securities Available for Sale (RMBS)– Fair value for the RMBS in our portfolio is based on quoted prices provided by dealers who make markets in similar financial instruments. The dealers will incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security including coupon, periodic and life caps, collateral type, rate reset period and seasoning or age of the security. If quoted prices for a security are not reasonably available from a dealer, the security will be re-classified as a Level 3 security and, as a result, management will determine the fair value based on characteristics of the security that the Company receives from the issuer and based on available market information. Management reviews all prices used in determining valuation to ensure they represent current market conditions. This review includes surveying similar market transactions, comparisons to interest pricing models as well as offerings of like securities by dealers. The Company's investment securities that are comprised of RMBS are valued based upon readily observable market parameters and are classified as Level 2 fair values. |
|--------|----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|   | b. | Investment Securities Available for Sale Held in Securitization Trust (CMBS)– As the Company’s CMBS investments are comprised of securities for which there are not substantially similar securities that trade frequently, the Company classifies these securities as Level 3 fair values. Fair value of the Company’s CMBS investments is based on an internal valuation model that considers expected cash flows from the underlying loans and yields required by market participants. The significant unobservable inputs used in the measurement of these investments are projected losses of certain identified loans within the pool of loans and a discount rate. The discount rate used in determining fair value incorporates default rate, loss severity and current market interest rates. The discount rate ranges from 6.0% to 16.7%. Significant increases or decreases in these inputs would result in a significantly lower or higher fair value measurement. We also obtain quoted prices provided by dealers who make markets in similar financial instruments. |
|--------|----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | c. | Multi-Family Loans Held in Securitization Trusts – Multi-family loans held in securitization trusts are recorded at fair value and classified as Level 3 fair values. Fair value is based on an internal valuation model that considers expected cash flows from the underlying loans and yields required by market participants. The significant unobservable inputs used in the measurement of these investments are discount rates. The discount rate used in determining fair value incorporates default rate, loss severity and current market interest rates. The discount rate ranges from 3.1% to 6.8%. Significant increases or decreases in these inputs would result in a significantly lower or higher fair value measurement. We also obtain quoted prices provided by dealers who make markets in similar financial instruments. |
|--------|----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | d. | Investment Securities Available for Sale (CLO)– The fair value of the CLO notes was based on quoted prices provided by dealers who make markets in similar financial instruments.  The Company classifies these securities as Level 2 fair values. |
|--------|----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | e. | Investment Securities Available for Sale– The fair value of other investment securities available for sale, such as U.S. Treasury securities, are based on quoted prices provided by dealers who make markets in similar financial instruments and are typically classified as Level 2 fair values. |
|--------|----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | f. | Derivative Instruments – The fair value of interest rate swaps, options and TBAs are based on dealer quotes. The fair value of futures are based on exchange-traded prices. The Company’s derivatives are classified as Level 1 and Level 2 fair values. |
|--------|----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   |  g. | Multi-Family CDOs – The fair value of Multi-Family CDOs is based on contractual cash payments and yields expected by market participants. We also obtain quoted market prices provided by dealers who make markets in similar securities. |
|--------|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|                                                                   |   | Measured at Fair Value on a Recurring Basisat June 30, 2012 |    |
|------------------------------------------------------------------------|--------|-------------------------------------------------------------|---------|
|                                                                   |   | Level 1                                                     |    |   | Level 2 |   |   | Level 3 |   |   | Total |   |
| Assets carried at fair value:                                          |   |                                                        |    |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investment securities available for sale:                              |   |                                                        |    |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Agency RMBS                                                            |   | $                                                           | — |   |   | $ | 128,213 |   |   | $ | — |   |   | $ | 128,213 |   |
| Non-Agency RMBS                                                        |   |                                                        | — |   |   |   | 2,872 |   |   |   | — |   |   |   | 2,872 |   |
| CLO                                                                    |   |                                                        | — |   |   |   | 26,801 |   |   |   | — |   |   |   | 26,801 |   |
| Investment securities available for sale held in securitization trust: |   |                                                        |    |   |   |   |   |   |   |   |   |   |   |   |   |   |
| CMBS                                                                   |   |                                                        | — |   |   |   | — |   |   |   | 21,466 |   |   |   | 21,466 |   |
| Multi-family loans held in securitization trusts                       |   |                                                        | — |   |   |   | — |   |   |   | 3,854,884 |   |   |   | 3,854,884 |   |
| Derivative assets:                                                     |   |                                                        |    |   |   |   |   |   |   |   |   |   |   |   |   |   |
| TBA securities                                                         |   |                                                        | — |   |   |   | 274,349 |   |   |   | — |   |   |   | 274,349 |   |
| Options on U.S. Treasury futures                                       |   |                                                        | — |   |   |   | 367 |   |   |   | — |   |   |   | 367 |   |
| Total                                                                  |   | $                                                           | — |   |   | $ | 432,602 |   |   | $ | 3,876,350 |   |   | $ | 4,308,952 |   |

| Liabilities carried at fair value:           |   |   |    |   |   |   |    |   |
|----------------------------------------------|--------|--------|---------|--------|--------|--------|---------|--------|
| Multi-family collateralized debt obligations |   | $      | — |   |   | $      | — |   |   | $ | 3,768,116 |   |   | $ | 3,768,116 |   |
| Derivative liabilities:                      |   |   |    |   |   |   |    |   |   |   |   |   |   |   |   |   |
| Interest rate swaps                          |   |   | — |   |   |   | 132     |   |   |   | — |   |   |   | 132 |   |
| U.S. Treasury futures                        |   |   | 558     |   |   |   | — |   |   |   | — |   |   |   | 558 |   |
| Eurodollar futures                           |   |   | 2,523   |   |   |   | — |   |   |   | — |   |   |   | 2,523 |   |
| Total                                        |   | $      | 3,081   |   |   | $      | 132     |   |   | $ | 3,768,116 |   |   | $ | 3,771,329 |   |

|                                      |   | Measured at Fair Value on a Recurring Basisat December 31, 2011 |    |
|-------------------------------------------|--------|-----------------------------------------------------------------|---------|
|                                      |   | Level 1                                                         |    |   | Level 2 |   |   | Level 3 |   |   | Total |   |
| Assets carried at fair value:             |   |                                                            |    |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investment securities available for sale: |   |                                                            |    |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Agency RMBS                               |   | $                                                               | — |   |   | $ | 132,457 |   |   | $ | — |   |   | $ | 132,457 |   |
| CMBS                                      |   |                                                            | — |   |   |   | — |   |   |   | 41,185 |   |   |   | 41,185 |   |
| Non-Agency RMBS                           |   |                                                            | — |   |   |   | 3,945 |   |   |   | — |   |   |   | 3,945 |   |
| CLO                                       |   |                                                            | — |   |   |   | 22,755 |   |   |   | — |   |   |   | 22,755 |   |
| Derivative assets:                        |   |                                                            |    |   |   |   |   |   |   |   |   |   |   |   |   |   |
| TBA securities                            |   |                                                            | — |   |   |   | 207,891 |   |   |   | — |   |   |   | 207,891 |   |
| Options on U.S. Treasury futures          |   |                                                            | — |   |   |   | 327 |   |   |   | — |   |   |   | 327 |   |
| Total                                     |   | $                                                               | — |   |   | $ | 367,375 |   |   | $ | 41,185 |   |   | $ | 408,560 |   |

| Liabilities carried at fair value: |   |   |    |   |   |   |    |   |
|------------------------------------|--------|--------|---------|--------|--------|--------|---------|--------|
| Derivative liabilities:            |   |   |    |   |   |   |    |   |   |   |   |   |   |   |   |   |
| Interest rate swaps                |   | $      | — |   |   | $      | 304     |   |   | $ | — |   |   | $ | 304 |   |
| U.S. Treasury futures              |   |   | 566     |   |   |   | — |   |   |   | — |   |   |   | 566 |   |
| Eurodollar futures                 |   |   | 1,749   |   |   |   | — |   |   |   | — |   |   |   | 1,749 |   |
| Total                              |   | $      | 2,315   |   |   | $      | 304     |   |   | $ | — |   |   | $ | 2,619 |   |

----

|                                   |   | Six Months Ended June 30, |      |
|----------------------------------------|--------|---------------------------|-----------|
|                                   |   | 2012                      |      |   | 2011 |   |
| Balance at beginning of period         |   | $                         | 41,185    |   |   | $ | — |   |
| Total gains (realized/unrealized)      |   |                      |      |   |   |   |   |   |
| Included in earnings (1)               |   |                      | 55,541    |   |   |   | — |   |
| Included in other comprehensive income |   |                      | 1,015     |   |   |   | — |   |
| Purchases                              |   |                      | 2,668,983 |   |   |   | — |   |
| Paydowns                               |   |                      | (8,417    | ) |   |   | — |   |
| Transfers (2)                          |   |                      | 1,118,043 |   |   |   | — |   |
| Balance at the end of period           |   | $                         | 3,876,350 |   |   | $ | — |   |

|                                   |   | Six Months Ended June 30, |      |
|----------------------------------------|--------|---------------------------|-----------|
|                                   |   | 2012                      |      |   | 2011 |   |
| Balance at beginning of period         |   | $                         | —   |   |   | $ | — |   |
| Total gains (realized/unrealized)      |   |                      |      |   |   |   |   |   |
| Included in earnings (1)               |   |                      | 48,791    |   |   |   | — |   |
| Included in other comprehensive income |   |                      | —   |   |   |   | — |   |
| Purchases                              |   |                      | 2,609,851 |   |   |   | — |   |
| Paydowns                               |   |                      | (8,417    | ) |   |   | — |   |
| Transfers (2)                          |   |                      | 1,117,891 |   |   |   | — |   |
| Balance at the end of period           |   | $                         | 3,768,116 |   |   | $ | — |   |

----

|                                                                                  | Assets Measured at Fair Value on a Non-Recurring Basisat June 30, 2012 |   |
|---------------------------------------------------------------------------------------|------------------------------------------------------------------------|--------|
|                                                                                  | Level 1                                                                |   | Level 2 |   | Level 3 |   | Total |   |
| Mortgage loans held for investment                                                    |                                                                   | $      | — |   |   | $ | — |   |   | $ | 1,791 |   |   | $ | 1,791 |   |
| Mortgage loans held for sale – included in discontinued operations (net)        |                                                                   |   | — |   |   |   | — |   |   |   | 2,843 |   |   |   | 2,843 |   |
| Residential mortgage loans held in securitization trusts – impaired loans (net) |                                                                   |   | — |   |   |   | — |   |   |   | 3,902 |   |   |   | 3,902 |   |
| Real estate owned held in residential securitization trusts                           |                                                                   |   | — |   |   |   | — |   |   |   | 1,462 |   |   |   | 1,462 |   |

|                                                                                  | Assets Measured at Fair Value on a Non-Recurring Basisat December 31, 2011 |   |
|---------------------------------------------------------------------------------------|----------------------------------------------------------------------------|--------|
|                                                                                  | Level 1                                                                    |   | Level 2 |   | Level 3 |   | Total |   |
| Mortgage loans held for investment                                                    |                                                                       | $      | — |   |   | $ | — |   |   | $ | 5,118 |   |   | $ | 5,118 |   |
| Mortgage loans held for sale – included in discontinued operations (net)        |                                                                       |   | — |   |   |   | — |   |   |   | 3,780 |   |   |   | 3,780 |   |
| Residential mortgage loans held in securitization trusts – impaired loans (net) |                                                                       |   | — |   |   |   | — |   |   |   | 6,518 |   |   |   | 6,518 |   |
| Real estate owned held in residential securitization trusts                           |                                                                       |   | — |   |   |   | — |   |   |   | 454 |   |   |   | 454 |   |

|                                                                                  | Three Months Ended June 30, |   | Six Months Ended June 30, |   |
|---------------------------------------------------------------------------------------|-----------------------------|--------|---------------------------|--------|
|                                                                                  | 2012                        |   | 2011                      |   | 2012 |   | 2011 |   |
|                                                                                  |                        |   |                      |   |   |   |   |   |   |   |
| Residential mortgage loans held in securitization trusts – impaired loans (net) |                        | $      | (89                       | )      |   | $ | (393 | ) |   | $ | (299 | ) |   | $ | (798 | ) |
| Real estate owned held in residential securitization trusts                           |                        |   | 30                        |   |   |   | — |   |   |   | 10 |   |   |   | — |   |

----

|                                                                                 |   |                      |   | June 30, 2012 |      |   | December 31, 2011   |   |
|--------------------------------------------------------------------------------------|--------|---------------------------|--------|---------------|-----------|--------|---------------------|--------|
|                                                                                 |   | Fair ValueHierarchy Level |   | CarryingValue |      |   | EstimatedFair Value |   |   | CarryingValue |   |   | EstimatedFair Value |   |
| Financial Assets:                                                                    |   |                      |   |          |      |   |                |   |   |   |   |   |   |   |
| Cash and cash equivalents                                                            |   | Level 1                   |   | $             | 8,621     |   |                | $      | 8,621 |   |   | $ | 16,586 |   |   | $ | 16,586 |   |
| Investment securities available for sale                                             |   | Level 2                   |   |          | 157,886   |   |                |   | 157,886 |   |   |   | 200,342 |   |   |   | 200,342 |   |
| Investment securities available for sale, at fair value held in securitization trust |   | Level 3                   |   |          | 21,466    |   |                |   | 21,466 |   |   |   | — |   |   |   | — |   |
| Residential mortgage loans held in securitization trusts (net)                       |   | Level 3                   |   |          | 196,378   |   |                |   | 171,941 |   |   |   | 206,920 |   |   |   | 182,976 |   |
| Multi-family loans held in securitization trusts                                     |   | Level 3                   |   |          | 3,854,884 |   |                |   | 3,854,884 |   |   |   | — |   |   |   | — |   |
| Derivative assets                                                                    |   | Level 2                   |   |          | 274,716   |   |                |   | 274,716 |   |   |   | 208,218 |   |   |   | 208,218 |   |
| Assets related to discontinued operation-mortgage loans held for sale (net)          |   | Level 3                   |   |          | 2,843     |   |                |   | 2,843 |   |   |   | 3,780 |   |   |   | 3,780 |   |
| Mortgage loans held for investment                                                   |   | Level 3                   |   |          | 1,791     |   |                |   | 1,791 |   |   |   | 5,118 |   |   |   | 5,118 |   |
| Receivable for securities sold                                                       |   | Level 1                   |   |          | —   |   |                |   | — |   |   |   | 1,133 |   |   |   | 1,133 |   |
|                                                                                 |   |                      |   |          |      |   |                |   |   |   |   |   |   |   |   |   |   |   |
| Financial Liabilities:                                                               |   |                      |   |          |      |   |                |   |   |   |   |   |   |   |   |   |   |   |
| Financing arrangements, portfolio investments                                        |   | Level 2                   |   | $             | 138,871   |   |                | $      | 138,871 |   |   | $ | 112,674 |   |   | $ | 112,674 |   |
| Residential collateralized debt obligations                                          |   | Level 3                   |   |          | 190,637   |   |                |   | 160,613 |   |   |   | 199,762 |   |   |   | 171,187 |   |
| Multi-family collateralized debt obligations                                         |   | Level 3                   |   |          | 3,768,116 |   |                |   | 3,768,116 |   |   |   | — |   |   |   | — |   |
| Securitized debt                                                                     |   | Level 3                   |   |          | 26,044    |   |                |   | 26,044 |   |   |   | — |   |   |   | — |   |
| Derivative liabilities                                                               |   | Level 1 and 2             |   |          | 3,213     |   |                |   | 3,213 |   |   |   | 2,619 |   |   |   | 2,619 |   |
| Payable for securities purchased                                                     |   | Level 1                   |   |          | 273,981   |   |                |   | 273,981 |   |   |   | 228,300 |   |   |   | 228,300 |   |
| Subordinated debentures                                                              |   | Level 3                   |   |          | 45,000    |   |                |   | 32,799 |   |   |   | 45,000 |   |   |   | 26,318 |   |

|   | a. | Cash and cash equivalents – Estimated fair value approximates the carrying value of such assets. |
|--------|----|--------------------------------------------------------------------------------------------------------|

|   | b. | Residential mortgage loans held in securitization trusts (net) – Residential mortgage loans held in the securitization trusts are recorded at amortized cost. Fair value is estimated using pricing models and taking into consideration the aggregated characteristics of groups of loans such as, but not limited to, collateral type, index, interest rate, margin, length of fixed-rate period, life cap, periodic cap, underwriting standards, age and credit estimated using the estimated market prices for similar types of loans. |
|--------|----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | c. | Receivable for securities sold – Estimated fair value approximates the carrying value of such assets. |
|--------|----|-------------------------------------------------------------------------------------------------------------|

|   | d. | Financing arrangements, portfolio investments – The fair value of these financing arrangements approximates cost as they are short term in nature and generally mature in 30 days. |
|--------|----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | e. | Residential collateralized debt obligations – The fair value of these CDOs is based on discounted cash flows as well as market pricing on comparable obligations. |
|--------|----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | f. | Securitized debt – The fair value of securitized debt is based on discounted cash flows using management’s estimate for market yields. |
|--------|----|----------------------------------------------------------------------------------------------------------------------------------------------------|

|   | g. | Payable for securities purchased – Estimated fair value approximates the carrying value of such liabilities. |
|--------|----|--------------------------------------------------------------------------------------------------------------------|

|   | h. | Subordinated debentures – The fair value of these subordinated debentures is based on discounted cash flows using management’s estimate for market yields. |
|--------|----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| Period              |   | Declaration Date   |   | Record Date        |   | Payment Date     |   | CashDividendPer Share |   |
|---------------------|--------|--------------------|--------|--------------------|--------|------------------|--------|-----------------------|--------|
| Second Quarter 2012 |   | June 15, 2012      |   | June 25, 2012      |   | July 25, 2012    |   | $                     | 0.27   |   |
| First Quarter 2012  |   | March 19, 2012     |   | March 29, 2012     |   | April 25, 2012   |   |                  | 0.25   |   |
| Fourth Quarter 2011 |   | December 15, 2011  |   | December 27, 2011  |   | January 25, 2012 |   |                  | 0.35   | (1) |
| Third Quarter 2011  |   | September 20, 2011 |   | September 30, 2011 |   | October 25, 2011 |   |                  | 0.25   |   |
| Second Quarter 2011 |   | May 31, 2011       |   | June 10, 2011      |   | June 27, 2011    |   |                  | 0.22   |   |
| First Quarter 2011  |   | March 18, 2011     |   | March 31, 2011     |   | April 26, 2011   |   |                  | 0.18   |   |

|   | (1) | Includes a $0.10 per share special dividend. |
|--------|-----|----------------------------------------------|

|                                                   |   | For the Three Months EndedJune 30, |    |   | For the Six Months EndedJune 30, |   |
|--------------------------------------------------------|--------|------------------------------------|---------|--------|----------------------------------|--------|
|                                                   |   | 2012                               |    |   | 2011                             |   |   | 2012 |   |   | 2011 |   |
| Numerator:                                             |   |                               |    |   |                             |   |   |   |   |   |   |   |
| Net income – Basic                               |   | $                                  | 5,137   |   |                             | $      | 4,169 |   |   | $ | 10,976 |   |   | $ | 6,683 |   |
| Net income from continuing operations                  |   |                               | 5,095   |   |                             |   | 4,160 |   |   |   | 10,943 |   |   |   | 6,679 |   |
| Net income from discontinued operations (net of tax)   |   |                               | 42      |   |                             |   | 9 |   |   |   | 33 |   |   |   | 4 |   |
| Net income – Dilutive                            |   |                               | 5,137   |   |                             |   | 4,169 |   |   |   | 10,976 |   |   |   | 6,683 |   |
| Net income from continuing operations                  |   |                               | 5,095   |   |                             |   | 4,160 |   |   |   | 10,943 |   |   |   | 6,679 |   |
| Net income from discontinued operations (net of tax)   |   | $                                  | 42      |   |                             | $      | 9 |   |   | $ | 33 |   |   | $ | 4 |   |
| Denominator:                                           |   |                               |    |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| Weighted average basic shares outstanding              |   |                               | 15,262  |   |                             |   | 9,447 |   |   |   | 14,630 |   |   |   | 9,440 |   |
| Weighted average dilutive shares outstanding           |   |                               | 15,262  |   |                             |   | 9,447 |   |   |   | 14,630 |   |   |   | 9,440 |   |
| EPS:                                                   |   |                               |    |   |                             |   |   |   |   |   |   |   |   |   |   |   |
| Basic EPS                                              |   | $                                  | 0.34    |   |                             | $      | 0.44 |   |   | $ | 0.75 |   |   | $ | 0.71 |   |
| Basic EPS from continuing operations                   |   |                               | 0.34    |   |                             |   | 0.44 |   |   |   | 0.75 |   |   |   | 0.71 |   |
| Basic EPS from discontinued operations (net of tax)    |   |                               | — |   |                             |   | — |   |   |   | — |   |   |   | — |   |
| Dilutive EPS                                           |   | $                                  | 0.34    |   |                             | $      | 0.44 |   |   | $ | 0.75 |   |   | $ | 0.71 |   |
| Dilutive EPS from continuing operations                |   |                               | 0.34    |   |                             |   | 0.44 |   |   |   | 0.75 |   |   |   | 0.71 |   |
| Dilutive EPS from discontinued operations (net of tax) |   |                               | — |   |                             |   | — |   |   |   | — |   |   |   | — |   |

----

----

|                                                                      |   | 2012                                |    |   | 2011                                              |   |
|---------------------------------------------------------------------------|--------|-------------------------------------|---------|--------|---------------------------------------------------|--------|
|                                                                      |   | Number ofNon-vestedRestrictedShares |    |   | WeightedAverage Per ShareGrant DateFair Value (1) |   |   | Number ofNon-vestedRestrictedShares |   |   | WeightedAverage Per ShareGrant DateFair Value (1) |   |
| Non-vested shares at January 1                                            |   |                                | 14,084  |   |                                              | $      | 7.10 |   |   |   | 28,999 |   |   | $ | 5.43 |   |
| Granted                                                                   |   |                                | 22,191  |   |                                              |   | 6.36 |   |   |   | 14,084 |   |   |   | 7.10 |   |
| Forfeited                                                                 |   |                                | — |   |                                              |   | — |   |   |   | — |   |   |   | — |   |
| Vested                                                                    |   |                                | (4,695  | )      |                                              |   | 7.10 |   |   |   | — |   |   |   | — |   |
| Non-vested shares as of June 30                                           |   |                                | 31,580  |   |                                              | $      | 6.58 |   |   |   | 43,083 |   |   | $ | 5.98 |   |
| Weighted-average fair value of restricted stock granted during the period |   |                                | 22,191  |   |                                              | $      | 6.36 |   |   |   | 14,084 |   |   | $ | 7.10 |   |

|   | (1) | The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. |
|--------|-----|--------------------------------------------------------------------------------------------------------------------------------------------------|

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|   | · | On September 21, 2011, the U.S. Federal Reserve announced the maturity extension program, or “operation twist,” pursuant to which the U.S. Federal Reserve would sell $400 billion of shorter-term U.S. Treasury securities by the end of June 2012 and use the proceeds to buy longer-term U.S. Treasury securities. In June 2012, and reiterated again on August 1, 2012, the Federal Reserve announced it was increasing the size of this program by $267 billion and extending it through the end of 2012.  This program is intended to extend the average maturity of the securities in the Federal Reserve’s portfolio. By reducing the supply of longer-term U.S. Treasury securities in the market, the action has created downward pressure on longer-term interest rates, including rates on financial assets that investors consider to be close substitutes for longer-term U.S. Treasury securities, like certain types of Agency RMBS. The reduction in longer-term interest rates, in turn, may contribute to a broad easing in financial market conditions that the Federal Reserve hopes will provide additional stimulus to support economic recovery.   While longer-term interest rates have fallen significantly since operations twist was implemented, its ability to stimulate economic recovery remains uncertain. |
|--------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|   | · | On October 24, 2011, the FHFA, along with Fannie Mae and Freddie Mac, announced several changes to be made to HARP. Among those changes to HARP, which as modified, we refer to as HARP II, are (1) the reduction or elimination in certain cases, of many risk based fees charged to borrowers when refinancing, (2) the expansion of the previous 125% loan-to-value ceiling to allow all underwater borrowers (those borrowers who owe more on their mortgages than the value of their homes) to participate in the program, regardless of the size of their loan versus the value of their home and (3) the removal of certain representations and warranties made on behalf of lenders for loans owned or guaranteed by Fannie Mae or Freddie Mac, among other changes. The provisions of HARP II are only available to borrowers with loans originated prior to June 1, 2009 that are owned or guaranteed by Fannie Mae or Freddie Mac. Aside from the expansion of HARP as described above, borrowers attempting to utilize the provisions of HARP II are subject to the restrictions originally put in place for HARP I. Although it is not yet possible to gauge the ultimate success of HARP II, the FHFA’s actions present the opportunity for many borrowers, who previously could not, to take advantage of the ability to refinance their mortgages into lower interest rates, possibly resulting in higher prepayment speeds in the future. This could negatively impact our Agency RMBS, particularly the performance of our Agency IOs. |
|--------|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | On August 31, 2011, the SEC published a concept release (No. IC-29778; File No. SW7-34-11, Companies Engaged in the Business of Acquiring Mortgages and Mortgage-Related Instruments) pursuant to which it is reviewing whether certain companies that invest in mortgage-backed securities and rely on the exemption from registration under Section 3(c)(5)(C) of the Investment Company Act should continue to be allowed to rely on such exemption from registration. This release suggests that the SEC may modify the exemption relied upon by companies similar to us that invest in mortgage loans and mortgage-backed securities. The comment period relating to the concept release concluded during the fourth quarter of 2011. We expect the SEC to provide additional information on its position relating to this exception during 2012. |
|--------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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----

|                 |   | AgencyARMs |    |   |   Agency IOs |   |    | Multi-Family CMBS (1) |   |   |   Residential SecuritizedLoans |   |   |   Other (2) |     |   |   Total |   |
|----------------------|--------|------------|---------|--------|-------------------|--------|---------|-----------------------|--------|--------|-------------------------------------|--------|--------|------------------|----------|--------|--------------|--------|
|                 |   |       |    |   |              |   |    |                  |   |   |                                |   |   |             |     |   |         |   |
| Carrying value       |   | $          | 57,844  |   |              | $      | 70,369  |                  |   | $      | 3,876,350                           |   |   | $                | 196,378  |   |         | $      | 35,837 |   |   | $ | 4,236,778 |   |
| Liabilities:         |   |       |    |   |              |   |    |                  |   |   |                                |   |   |             |     |   |         |   |   |   |   |   |   |   |
| Callable (3)         |   |       | (50,299 | )      |              |   | (62,292 | )                     |   |   | (19,800                             | )      |   |             | -        |   |         |   | (6,480 | ) |   |   | (138,871 | ) |
| Non callable         |   |       | -       |   |              |   | -       |                  |   |   | (3,794,160                          | )      |   |             | (190,637 | )      |         |   | (45,000 | ) |   |   | (4,029,797 | ) |
| Hedges (Net) (4)     |   |       | 88      |   |              |   | 10,143  |                  |   |   | -                                   |   |   |             | -        |   |         |   | - |   |   |   | 10,231 |   |
| Cash                 |   |       | -       |   |              |   | 27,028  |                  |   |   | -                                   |   |   |             | -        |   |         |   | 8,621 |   |   |   | 35,649 |   |
| Other                |   |       | -       |   |              |   | 1,056   |                  |   |   | 84                                  |   |   |             | 1,462    |   |         |   | (3,601 | ) |   |   | (999 | ) |
|                 |   |       |    |   |              |   |    |                  |   |   |                                |   |   |             |     |   |         |   |   |   |   |   |   |   |
| Net equity allocated |   | $          | 7,633   |   |              | $      | 46,304  |                  |   | $      | 62,474                              |   |   | $                | 7,203    |   |         | $      | (10,623 | ) |   | $ | 112,991 |   |

| (1) | The Company determined it is the primary beneficiary of the Consolidated K-Series and has consolidated the Consolidated K-Series into the Company’s financial statements.  A reconciliation to our financial statements as of June 30, 2012 follows: |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Multi-Family loans held in securitization trusts, at fair value |   | $      | 3,854,884  |   |
|-----------------------------------------------------------------|--------|--------|------------|--------|
| Multi-Family CDOs, at fair value                                |   |   | (3,768,116 | )      |
| Net equity                                                      |   |   | 86,768     |   |
| CMBS, at fair value (available for sale)                        |   |   | 21,466     |   |
| Total CMBS, at fair value                                       |   |   | 108,234    |   |
| Securitized debt                                                |   |   | (26,044    | )      |
| Repurchase agreements                                           |   |   | (19,800    | )      |
| Other                                                           |   |   | 84         |   |
| Net Equity in Multi-Family CMBS                                 |   | $      | 62,474     |   |

| (2) | Other includes $26.8 million in CLOs, $1.8 million in loans held for investment, $2.9 million in non-Agency RMBS and $1.5 million in investment in limited partnership. Other callable liabilities include a $6.5 million repurchase agreement on our CLO securities and other non-callable liabilities consist of $45.0 million in subordinated debentures. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Includes repurchase agreements.                                                                                                                                                                                                                                                                                                                              |
| (4) | Includes derivative assets, receivable for securities sold, derivative liabilities, payable for securities purchased and restricted cash posted as margin.                                                                                                                                                                                                   |

----

|                 |   | AgencyARMs |    |   | Agency IOs |   |    | Multi-Family CMBS |   |   | Residential SecuritizedLoans |   |   | Other (1) |     |   | Total  |   |
|----------------------|--------|------------|---------|--------|------------|--------|---------|-------------------|--------|--------|------------------------------|--------|--------|-----------|----------|--------|--------|--------|
|                 |   |       |    |   |       |   |    |              |   |   |                         |   |   |      |     |   |   |   |
| Carrying value       |   | $          | 68,776  |   |       | $      | 63,681  |              |   | $      | 41,185                       |   |   | $         | 206,920  |   |   | $      | 44,301 |   |   | $ | 424,863 |   |
| Liabilities:         |   |       |    |   |       |   |    |              |   |   |                         |   |   |      |     |   |   |   |   |   |   |   |   |   |
| Callable (2)         |   |       | (56,913 | )      |       |   | (49,226 | )                 |   |   | (21,531                      | )      |   |      | -        |   |   |   | (6,535 | ) |   |   | (134,205 | ) |
| Non callable         |   |       |    |   |       |   | -       |              |   |   | -                            |   |   |      | (199,762 | )      |   |   | (45,000 | ) |   |   | (244,762 | ) |
| Hedges (Net) (3)     |   |       | (304    | )      |       |   | 9,317   |              |   |   | -                            |   |   |      | -        |   |   |   | - |   |   |   | 9,013 |   |
| Cash                 |   |       | -       |   |       |   | 16,536  |              |   |   | -                            |   |   |      | -        |   |   |   | 16,586 |   |   |   | 33,122 |   |
| Other                |   |       | -       |   |       |   | 1,333   |              |   |   | -                            |   |   |      | -        |   |   |   | (3,057 | ) |   |   | (1,724 | ) |
|                 |   |       |    |   |       |   |    |              |   |   |                         |   |   |      |     |   |   |   |   |   |   |   |   |   |
| Net equity allocated |   | $          | 11,559  |   |       | $      | 41,641  |              |   | $      | 19,654                       |   |   | $         | 7,158    |   |   | $      | 6,295 |   |   | $ | 86,307 |   |

| (1) | Other includes CLOs, investment in limited partnership, loans held for investment and non-Agency RMBS. Other callable liabilities include a $6.5 million repurchase agreement on our CLO securities and other non-callable liabilities consist of $45.0 million in subordinated debentures. |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Includes repurchase agreements and $21.5 million in payables for securities purchased related to our multi-family CMBS strategy.                                                                                                                                                            |

| (3) | Includes derivative assets, receivable for securities sold, derivative liabilities, payable for securities purchased and restricted cash posted as margin. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------|

| June 30, 2012                   |   | ParValue |    |   | CarryingValue |   |    | % of Total |   |
|---------------------------------|--------|----------|---------|--------|---------------|--------|---------|------------|--------|
| Agency RMBS:                    |   |     |    |   |          |   |    |       |   |
| IOs                             |   | $        | 485,613 |   |          | $      | 70,369  |       |   |   | 44.6 | % |
| ARMs                            |   |     | 54,238  |   |          |   | 57,844  |       |   |   | 36.6 | % |
| Non-Agency RMBS                 |   |     | 4,333   |   |          |   | 2,872   |       |   |   | 1.8 | % |
| Collateralized Loan Obligations |   |     | 35,550  |   |          |   | 26,801  |       |   |   | 17.0 | % |
| Total                           |   | $        | 579,734 |   |          | $      | 157,886 |       |   |   | 100.0 | % |

| December 31, 2011               |   | ParValue |      |   | CarryingValue |   |    | % of Total |   |
|---------------------------------|--------|----------|-----------|--------|---------------|--------|---------|------------|--------|
| Agency RMBS:                    |   |     |      |   |          |   |    |       |   |
| IOs                             |   | $        | 537,032   |   |          | $      | 63,681  |       |   |   | 31.8 | % |
| ARMs                            |   |     | 65,112    |   |          |   | 68,776  |       |   |   | 34.3 | % |
| CMBS:                           |   |     |      |   |          |   |    |       |   |   |   |   |
| IOs                             |   |     | 850,821   |   |          |   | 6,258   |       |   |   | 3.1 | % |
| POs                             |   |     | 138,386   |   |          |   | 34,927  |       |   |   | 17.5 | % |
| Non-Agency RMBS                 |   |     | 6,079     |   |          |   | 3,945   |       |   |   | 1.9 | % |
| Collateralized Loan Obligations |   |     | 35,550    |   |          |   | 22,755  |       |   |   | 11.4 | % |
| Total                           |   | $        | 1,632,980 |   |          | $      | 200,342 |       |   |   | 100.0 | % |

----

| June 30, 2012 |   | ParValue |    |   | CarryingValue |   |   | % of Total |   |
|---------------|--------|----------|---------|--------|---------------|--------|--------|------------|--------|
| CMBS:         |   |     |    |   |          |   |   |       |   |   |   |   |
| POs           |   | $        | 63,873  |   |          | $      | 15,128 |       |   |   | 70.5 | % |
| IOs           |   |     | 847,692 |   |          |   | 6,338  |       |   |   | 29.5 | % |
| Total         |   | $        | 911,565 |   |          | $      | 21,466 |       |   |   | 100.0 | % |

|                        |   | As of June 30, 2012 |   |         | As of December 31, 2011 |            |
|-----------------------------|--------|---------------------|--------|--------------|-------------------------|-----------------|
| Range ofOutstanding Balance |   | Number of Loans     |   | MaturityDate |                    | Total Principal |   |   | Number of Loans |   | Maturity Date |   | Total Principal |   |
|                        |   |                |   |         |                    |            |   |   |   |   |   |   |   |   |
| $0 - $500                   |   |                | 28     |         | 8/2015 - 4/2019         |            | $ | 12,328 |   |   |   | 20 |   | 8/2015 – 11/2018 |   | $ | 8,583 |   |
| $500 - $2,000               |   |                | 136    |         | 12/2012 - 6/2019        |            |   | 182,113 |   |   |   | 103 |   | 12/2012 – 12/2018 |   |   | 147,598 |   |
| $2,000 - $5,000             |   |                | 77     |         | 3/2013 - 9/2019         |            |   | 223,061 |   |   |   | 84 |   | 4/2013 – 9/2019 |   |   | 250,010 |   |
| $5,000 - $10,000            |   |                | 4      |         | 2/2013 - 7/2017         |            |   | 22,272 |   |   |   | 6 |   | 2/2013 – 3/2016 |   |   | 35,623 |   |
| Total                       |   |                | 245    |         |                    |            | $ | 439,774 |   |   |   | 213 |   |   |   | $ | 441,814 |   |

----

| Industry                                                              |   | Number of Loans |   |   | Outstanding Balance |   |    | % of Outstanding Balance |   |
|-----------------------------------------------------------------------|--------|-----------------|--------|--------|---------------------|--------|---------|--------------------------|--------|
|                                                                  |   |            |   |   |                |   |    |                     |   |
| Healthcare, Education & Childcare                                 |   |            | 24     |   |                | $      | 54,376  |                     |   |   | 12.4 | % |
| Retail Store                                                          |   |            | 17     |   |                |   | 33,920  |                     |   |   | 7.6 | % |
| Chemicals, Plastics and Rubber                                        |   |            | 18     |   |                |   | 33,084  |                     |   |   | 7.4 | % |
| Diversified/Conglomerate Service                                      |   |            | 20     |   |                |   | 29,805  |                     |   |   | 6.7 | % |
| Electronics                                                           |   |            | 15     |   |                |   | 28,199  |                     |   |   | 6.4 | % |
| Telecommunications                                                    |   |            | 12     |   |                |   | 25,875  |                     |   |   | 5.9 | % |
| Leisure, Amusement, Motion Pictures & Entertainment               |   |            | 11     |   |                |   | 23,138  |                     |   |   | 5.3 | % |
| Beverage, Food & Tobacco                                          |   |            | 12     |   |                |   | 22,215  |                     |   |   | 5.1 | % |
| Hotels, Motels, Inns and Gaming                                       |   |            | 7      |   |                |   | 20,527  |                     |   |   | 4.7 | % |
| Personal & Non-Durable Consumer Products                          |   |            | 9      |   |                |   | 17,118  |                     |   |   | 3.9 | % |
| Aerospace & Defense                                               |   |            | 10     |   |                |   | 16,982  |                     |   |   | 3.8 | % |
| Utilities                                                             |   |            | 7      |   |                |   | 14,360  |                     |   |   | 3.3 | % |
| Personal, Food & Misc Services                                    |   |            | 11     |   |                |   | 11,581  |                     |   |   | 2.6 | % |
| Diversified/Conglomerate Mfg                                          |   |            | 8      |   |                |   | 10,367  |                     |   |   | 2.4 | % |
| Banking                                                               |   |            | 5      |   |                |   | 9,931   |                     |   |   | 2.3 | % |
| Containers, Packaging and Glass                                       |   |            | 6      |   |                |   | 9,143   |                     |   |   | 2.1 | % |
| Automobile                                                            |   |            | 7      |   |                |   | 9,102   |                     |   |   | 2.1 | % |
| Broadcasting & Entertainment                                      |   |            | 5      |   |                |   | 7,781   |                     |   |   | 1.7 | % |
| Finance                                                               |   |            | 5      |   |                |   | 7,188   |                     |   |   | 1.6 | % |
| Machinery (Non-Agriculture, Non-Construction & Non-Electronic)    |   |            | 4      |   |                |   | 6,528   |                     |   |   | 1.5 | % |
| Buildings and Real Estate                                             |   |            | 2      |   |                |   | 5,827   |                     |   |   | 1.3 | % |
| Personal Transportation                                               |   |            | 3      |   |                |   | 5,681   |                     |   |   | 1.3 | % |
| Printing & Publishing                                             |   |            | 2      |   |                |   | 5,667   |                     |   |   | 1.3 | % |
| Textiles & Leather                                                |   |            | 5      |   |                |   | 5,586   |                     |   |   | 1.3 | % |
| Grocery                                                               |   |            | 3      |   |                |   | 4,893   |                     |   |   | 1.1 | % |
| Insurance                                                             |   |            | 2      |   |                |   | 4,783   |                     |   |   | 1.1 | % |
| Ecological                                                            |   |            | 4      |   |                |   | 3,928   |                     |   |   | 0.9 | % |
| Farming & Agriculture                                             |   |            | 2      |   |                |   | 3,790   |                     |   |   | 0.9 | % |
| Cargo Transport                                                       |   |            | 2      |   |                |   | 2,481   |                     |   |   | 0.6 | % |
| Oil & Gas                                                         |   |            | 3      |   |                |   | 1,990   |                     |   |   | 0.5 | % |
| Diversified Natural Resources, Precious Metals and Minerals           |   |            | 1      |   |                |   | 1,568   |                     |   |   | 0.4 | % |
| Mining, Steel, Iron and Non-Precious Metals                           |   |            | 1      |   |                |   | 1,365   |                     |   |   | 0.3 | % |
| Home and Office Furnishings, Housewares and Durable Consumer Products |   |            | 1      |   |                |   | 498     |                     |   |   | 0.1 | % |
| Personal and Non-Durable Consumer Products (mfg only)                 |   |            | 1      |   |                |   | 497     |                     |   |   | 0.1 | % |
|                                                                  |   |            | 245    |   |                | $      | 439,774 |                     |   |   | 100.0 | % |

----

| Industry                                                           |   | Number of Loans |   |   | Outstanding Balance |   |    | % of Outstanding Balance |   |
|--------------------------------------------------------------------|--------|-----------------|--------|--------|---------------------|--------|---------|--------------------------|--------|
|                                                               |   |            |   |   |                |   |    |                     |   |
| Healthcare, Education & Childcare                              |   |            | 24     |   |                | $      | 61,543  |                     |   |   | 13.9 | % |
| Retail Store                                                       |   |            | 14     |   |                |   | 35,704  |                     |   |   | 8.1 | % |
| Electronics                                                        |   |            | 13     |   |                |   | 31,721  |                     |   |   | 7.2 | % |
| Telecommunications                                                 |   |            | 13     |   |                |   | 27,638  |                     |   |   | 6.3 | % |
| Chemicals, Plastics and Rubber                                     |   |            | 12     |   |                |   | 25,336  |                     |   |   | 5.7 | % |
| Diversified/Conglomerate Service                                   |   |            | 15     |   |                |   | 22,320  |                     |   |   | 5.1 | % |
| Beverage, Food & Tobacco                                       |   |            | 10     |   |                |   | 20,274  |                     |   |   | 4.6 | % |
| Leisure, Amusement, Motion Pictures & Entertainment            |   |            | 8      |   |                |   | 18,904  |                     |   |   | 4.3 | % |
| Personal & Non-Durable Consumer Products                       |   |            | 8      |   |                |   | 18,203  |                     |   |   | 4.1 | % |
| Aerospace & Defense                                            |   |            | 10     |   |                |   | 17,254  |                     |   |   | 3.9 | % |
| Utilities                                                          |   |            | 5      |   |                |   | 16,723  |                     |   |   | 3.8 | % |
| Hotels, Motels, Inns and Gaming                                    |   |            | 5      |   |                |   | 15,914  |                     |   |   | 3.6 | % |
| Personal, Food & Misc. Services                                |   |            | 12     |   |                |   | 14,598  |                     |   |   | 3.3 | % |
| Containers, Packaging and Glass                                    |   |            | 7      |   |                |   | 14,493  |                     |   |   | 3.3 | % |
| Finance                                                            |   |            | 8      |   |                |   | 11,471  |                     |   |   | 2.6 | % |
| Printing & Publishing                                          |   |            | 4      |   |                |   | 11,404  |                     |   |   | 2.6 | % |
| Automobile                                                         |   |            | 7      |   |                |   | 9,829   |                     |   |   | 2.2 | % |
| Diversified/Conglomerate Mfg.                                      |   |            | 6      |   |                |   | 9,643   |                     |   |   | 2.2 | % |
| Banking                                                            |   |            | 3      |   |                |   | 8,777   |                     |   |   | 2.0 | % |
| Broadcasting & Entertainment                                   |   |            | 3      |   |                |   | 6,293   |                     |   |   | 1.4 | % |
| Mining, Steel, Iron and Non-Precious Metals                        |   |            | 3      |   |                |   | 6,242   |                     |   |   | 1.4 | % |
| Machinery (Non-Agriculture, Non-Construction & Non-Electronic) |   |            | 4      |   |                |   | 6,029   |                     |   |   | 1.4 | % |
| Textiles & Leather                                             |   |            | 5      |   |                |   | 5,281   |                     |   |   | 1.2 | % |
| Personal Transportation                                            |   |            | 2      |   |                |   | 4,969   |                     |   |   | 1.1 | % |
| Grocery                                                            |   |            | 3      |   |                |   | 4,911   |                     |   |   | 1.1 | % |
| Buildings and Real Estate                                          |   |            | 2      |   |                |   | 4,887   |                     |   |   | 1.1 | % |
| Insurance                                                          |   |            | 2      |   |                |   | 4,352   |                     |   |   | 1.0 | % |
| Diversified Natural Resources, Precious Metals and Minerals        |   |            | 1      |   |                |   | 2,227   |                     |   |   | 0.5 | % |
| Ecological                                                         |   |            | 2      |   |                |   | 1,984   |                     |   |   | 0.4 | % |
| Farming & Agriculture                                          |   |            | 1      |   |                |   | 1,900   |                     |   |   | 0.4 | % |
| Cargo Transport                                                    |   |            | 1      |   |                |   | 990     |                     |   |   | 0.2 | % |
|                                                               |   |            | 213    |   |                | $      | 441,814 |                     |   |   | 100.0 | % |

----

|              |   | # of Loans |   |   | Par Value |   |    | Coupon |   |   | Carrying Value |   |
|-------------------|--------|------------|--------|--------|-----------|--------|---------|--------|--------|--------|----------------|--------|
| June 30, 2012     |   |       | 491    |   |      | $      | 197,724 |   |   |   | 3.05           | %      |   | $ | 196,378 |   |
| December 31, 2011 |   |       | 512    |   |      | $      | 208,934 |   |   |   | 2.82           | %      |   | $ | 206,920 |   |

|                                                |   | Average |   |   | High   |   |   | Low    |   |
|-----------------------------------------------------|--------|---------|--------|--------|--------|--------|--------|--------|--------|
| General Loan Characteristics:                       |   |    |   |   |   |   |   |   |   |
| Original Loan Balance (dollar amounts in thousands) |   | $       | 440    |   |   | $      | 2,950  |   |   | $ | 48 |   |
| Current Coupon Rate                                 |   |    | 3.05   | %      |   |   | 7.25   | %      |   |   | 1.38 | % |
| Gross Margin                                        |   |    | 2.37   | %      |   |   | 4.13   | %      |   |   | 1.13 | % |
| Lifetime Cap                                        |   |    | 11.29  | %      |   |   | 13.25  | %      |   |   | 9.13 | % |
| Original Term (Months)                              |   |    | 360    |   |   |   | 360    |   |   |   | 360 |   |
| Remaining Term (Months)                             |   |    | 274    |   |   |   | 282    |   |   |   | 241 |   |
| Average Months to Reset                             |   |    | 3      |   |   |   | 11     |   |   |   | 1 |   |
| Original Average FICO Score                         |   |    | 728    |   |   |   | 818    |   |   |   | 593 |   |
| Original Average LTV                                |   |    | 70.47  | %      |   |   | 95.00  | %      |   |   | 13.94 | % |

|                                |   | % of Outstanding Loan Balance |   |   | Weighted Average Gross Margin (%) |   |
|-------------------------------------|--------|-------------------------------|--------|--------|-----------------------------------|--------|
| Index Type/Gross Margin:            |   |                          |   |   |                              |   |
| One Month LIBOR                     |   |                          | 3.0    | %      |                              |   | 1.69 | % |
| Six Month LIBOR                     |   |                          | 72.6   | %      |                              |   | 2.40 | % |
| One Year LIBOR                      |   |                          | 16.3   | %      |                              |   | 2.26 | % |
| One Year Constant Maturity Treasury |   |                          | 8.1    | %      |                              |   | 2.65 | % |
| Total                               |   |                          | 100.0  | %      |                              |   | 2.38 | % |

----

|                                                |   | Average |   |   | High   |   |   | Low    |   |
|-----------------------------------------------------|--------|---------|--------|--------|--------|--------|--------|--------|--------|
| General Loan Characteristics:                       |   |    |   |   |   |   |   |   |   |
| Original Loan Balance (dollar amounts in thousands) |   | $       | 445    |   |   | $      | 2,950  |   |   | $ | 48 |   |
| Current Coupon Rate                                 |   |    | 2.82   | %      |   |   | 7.25   | %      |   |   | 1.38 | % |
| Gross Margin                                        |   |    | 2.37   | %      |   |   | 4.13   | %      |   |   | 1.13 | % |
| Lifetime Cap                                        |   |    | 11.29  | %      |   |   | 13.25  | %      |   |   | 9.13 | % |
| Original Term (Months)                              |   |    | 360    |   |   |   | 360    |   |   |   | 360 |   |
| Remaining Term (Months)                             |   |    | 280    |   |   |   | 288    |   |   |   | 247 |   |
| Average Months to Reset                             |   |    | 4      |   |   |   | 11     |   |   |   | 1 |   |
| Original Average FICO Score                         |   |    | 729    |   |   |   | 818    |   |   |   | 593 |   |
| Original Average LTV                                |   |    | 70.41  | %      |   |   | 95.00  | %      |   |   | 13.94 | % |

|                                |   | % of Outstanding Loan Balance |   |   | Weighted Average Gross Margin (%) |   |
|-------------------------------------|--------|-------------------------------|--------|--------|-----------------------------------|--------|
| Index Type/Gross Margin:            |   |                          |   |   |                              |   |
| One Month LIBOR                     |   |                          | 2.8    | %      |                              |   | 1.69 | % |
| Six Month LIBOR                     |   |                          | 72.9   | %      |                              |   | 2.40 | % |
| One Year LIBOR                      |   |                          | 16.4   | %      |                              |   | 2.26 | % |
| One Year Constant Maturity Treasury |   |                          | 7.9    | %      |                              |   | 2.64 | % |
| Total                               |   |                          | 100.0  | %      |                              |   | 2.38 | % |

|                          |   | Principal |    |   | Premium |   |    | Allowance for Loan Losses |   |   | Net Carrying Value |   |
|-------------------------------|--------|-----------|---------|--------|---------|--------|---------|---------------------------|--------|--------|--------------------|--------|
| Balance, January 1, 2012      |   | $         | 208,934 |   |    | $      | 1,317   |                      |   | $      | (3,331             | )      |   | $ | 206,920 |   |
| Principal repayments          |   |      | (8,743  | )      |    |   | — |                      |   |   | —            |   |   |   | (8,743 | ) |
| Provision for loan loss       |   |      | — |   |    |   | — |                      |   |   | (298               | )      |   |   | (298 | ) |
| Transfer to real estate owned |   |      | (2,467  | )      |    |   | — |                      |   |   | 898                |   |   |   | (1,569 | ) |
| Charge-Offs                   |   |      | — |   |    |   | — |                      |   |   | 127                |   |   |   | 127 |   |
| Amortization for premium      |   |      | — |   |    |   | (59     | )                         |   |   | —            |   |   |   | (59 | ) |
| Balance, June 30, 2012        |   | $         | 197,724 |   |    | $      | 1,258   |                      |   | $      | (2,604             | )      |   | $ | 196,378 |   |

|                          |   | Principal |    |   | Premium |   |    | Allowance for Loan Losses |   |   | Net Carrying Value |   |
|-------------------------------|--------|-----------|---------|--------|---------|--------|---------|---------------------------|--------|--------|--------------------|--------|
| Balance, January 1, 2011      |   | $         | 229,323 |   |    | $      | 1,451   |                      |   | $      | (2,589             | )      |   | $ | 228,185 |   |
| Principal repayments          |   |      | (10,659 | )      |    |   | — |                      |   |   | —            |   |   |   | (10,659 | ) |
| Provision for loan loss       |   |      | — |   |    |   | — |                      |   |   | (769               | )      |   |   | (769 | ) |
| Transfer to real estate owned |   |      | (234    | )      |    |   | — |                      |   |   | 16                 |   |   |   | (218 | ) |
| Charge-Offs                   |   |      | 175     |   |    |   | — |                      |   |   | 445                |   |   |   | 620 |   |
| Amortization for premium      |   |      | — |   |    |   | (74     | )                         |   |   | —            |   |   |   | (74 | ) |
| Balance, June 30, 2011        |   | $         | 218,605 |   |    | $      | 1,377   |                      |   | $      | (2,897             | )      |   | $ | 217,085 |   |

----

| Description  |        |   | Interest Rate |   | Final Maturity |   |   | PeriodicPayment |   |   |   | OriginalAmount |   |   |  CurrentAmount |   |   | Principal Amount of LoansSubject toDelinquentPrincipal |   |
|--------------|-------------|--------|---------------|--------|----------------|--------|--------|-----------------|--------|--------|--------|----------------|--------|--------|---------------------|--------|--------|--------------------------------------------------------|--------|
| PropertyType | Balance     |   | LoanCount     |   |           | Max    |   |            | Min    |   |   | Avg            |   | Min    |                |   | Max    |                                                   |   | Term(months) |   | PriorLiens |   | ofPrincipal |   |   | ofPrincipal |   |   | orInterest |   |
| Single       | <= $100  |   |          | 14     |           |   |   | 3.38            |   |   |   | 2.38           |   |   |                | 3.00   |   | 12/01/34                                               |   |   | 11/01/35 |   |   |   | 360 |   | NA |   | $ | 1,858 |   |   | $ | 1,016 |   |   | $ | - |   |
| FAMILY       | <= $250  |   |          | 71     |           |   |   | 4.88            |   |   |   | 2.38           |   |   |                | 3.11   |   | 09/01/32                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 15,736 |   |   |   | 13,176 |   |   |   | 865 |   |
|         | <= $500  |   |          | 82     |           |   |   | 4.13            |   |   |   | 2.38           |   |   |                | 3.08   |   | 07/01/33                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   |   | 31,573 |   |   |   | 28,735 |   |   |   | 4,689 |   |
|         | <=$1,000 |   |          | 32     |           |   |   | 3.88            |   |   |   | 1.50           |   |   |                | 3.01   |   | 08/01/33                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 25,728 |   |   |   | 23,882 |   |   |   | 756 |   |
|         | >$1,000  |   |          | 19     |           |   |   | 3.50            |   |   |   | 3.00           |   |   |                | 3.13   |   | 01/01/35                                               |   |   | 11/01/35 |   |   |   | 360 |   | NA |   |   | 33,857 |   |   |   | 33,913 |   |   |   | 9,048 |   |
|         | Summary     |   |          | 218    |           |   |   | 4.88            |   |   |   | 1.50           |   |   |                | 3.08   |   | 09/01/32                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   | $ | 108,752 |   |   | $ | 100,722 |   |   | $ | 15,358 |   |
| 2-4          | <= $100  |   |          | 2      |           |   |   | 4.00            |   |   |   | 3.00           |   |   |                | 3.50   |   | 02/01/35                                               |   |   | 07/01/35 |   |   |   | 360 |   | NA |   | $ | 212 |   |   | $ | 161 |   |   | $ | 75 |   |
| FAMILY       | <= $250  |   |          | 6      |           |   |   | 4.00            |   |   |   | 2.88           |   |   |                | 3.33   |   | 12/01/34                                               |   |   | 07/01/35 |   |   |   | 360 |   | NA |   |   | 1,283 |   |   |   | 1,083 |   |   |   | - |   |
|         | <= $500  |   |          | 15     |           |   |   | 7.25            |   |   |   | 2.13           |   |   |                | 3.23   |   | 09/01/34                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   |   | 5,554 |   |   |   | 5,075 |   |   |   | 254 |   |
|         | <=$1,000 |   |          | -      |           |   |   | -               |   |   |   | -              |   |   |                | -      |   | 01/01/00                                               |   |   | 01/01/00 |   |   |   | 360 |   | NA |   |   | - |   |   |   | - |   |   |   | - |   |
|         | >$1,000  |   |          | -      |           |   |   | -               |   |   |   | -              |   |   |                | -      |   | 01/01/00                                               |   |   | 01/01/00 |   |   |   | 360 |   | NA |   |   | - |   |   |   | - |   |   |   | - |   |
|         | Summary     |   |          | 23     |           |   |   | 7.25            |   |   |   | 2.13           |   |   |                | 3.28   |   | 09/01/34                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   | $ | 7,049 |   |   | $ | 6,319 |   |   | $ | 329 |   |
| Condo        | <= $100  |   |          | 15     |           |   |   | 3.88            |   |   |   | 2.88           |   |   |                | 3.18   |   | 12/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   | $ | 2,157 |   |   | $ | 1,008 |   |   | $ | - |   |
|         | <= $250  |   |          | 71     |           |   |   | 3.88            |   |   |   | 1.50           |   |   |                | 3.09   |   | 02/01/34                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   |   | 14,281 |   |   |   | 12,292 |   |   |   | 466 |   |
|         | <= $500  |   |          | 56     |           |   |   | 4.13            |   |   |   | 2.38           |   |   |                | 3.03   |   | 09/01/32                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 20,005 |   |   |   | 17,960 |   |   |   | - |   |
|         | <=$1,000 |   |          | 15     |           |   |   | 4.00            |   |   |   | 1.63           |   |   |                | 2.93   |   | 08/01/33                                               |   |   | 09/01/35 |   |   |   | 360 |   | NA |   |   | 11,749 |   |   |   | 10,940 |   |   |   | - |   |
|         | > $1,000 |   |          | 8      |           |   |   | 3.25            |   |   |   | 2.88           |   |   |                | 3.05   |   | 03/01/35                                               |   |   | 09/01/35 |   |   |   | 360 |   | NA |   |   | 12,544 |   |   |   | 12,534 |   |   |   | - |   |
|         | Summary     |   |          | 165    |           |   |   | 4.13            |   |   |   | 1.50           |   |   |                | 3.06   |   | 09/01/32                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   | $ | 60,736 |   |   | $ | 54,734 |   |   | $ | 466 |   |
| CO-OP        | <= $100  |   |          | 4      |           |   |   | 3.13            |   |   |   | 2.38           |   |   |                | 2.88   |   | 10/01/34                                               |   |   | 08/01/35 |   |   |   | 360 |   | NA |   | $ | 443 |   |   | $ | 290 |   |   | $ | - |   |
|         | <= $250  |   |          | 14     |           |   |   | 3.63            |   |   |   | 2.50           |   |   |                | 3.05   |   | 10/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 2,907 |   |   |   | 2,444 |   |   |   | 212 |   |
|         | <= $500  |   |          | 18     |           |   |   | 3.25            |   |   |   | 1.38           |   |   |                | 3.05   |   | 08/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 7,933 |   |   |   | 6,573 |   |   |   | 262 |   |
|         | <=$1,000 |   |          | 11     |           |   |   | 3.25            |   |   |   | 2.88           |   |   |                | 3.01   |   | 12/01/34                                               |   |   | 10/01/35 |   |   |   | 360 |   | NA |   |   | 8,563 |   |   |   | 8,298 |   |   |   | - |   |
|         | > $1,000 |   |          | 4      |           |   |   | 3.00            |   |   |   | 2.25           |   |   |                | 2.78   |   | 11/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 5,659 |   |   |   | 5,178 |   |   |   | - |   |
|         | Summary     |   |          | 51     |           |   |   | 3.63            |   |   |   | 1.38           |   |   |                | 2.97   |   | 08/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   | $ | 25,505 |   |   | $ | 22,783 |   |   | $ | 474 |   |
| PUD          | <= $100  |   |          | 1      |           |   |   | 3.00            |   |   |   | 3.00           |   |   |                | 3.00   |   | 07/01/35                                               |   |   | 07/01/35 |   |   |   | 360 |   | NA |   | $ | 100 |   |   | $ | 88 |   |   | $ | - |   |
|         | <= $250  |   |          | 17     |           |   |   | 3.50            |   |   |   | 2.38           |   |   |                | 3.00   |   | 08/01/32                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 3,785 |   |   |   | 3,461 |   |   |   | - |   |
|         | <= $500  |   |          | 9      |           |   |   | 3.00            |   |   |   | 2.88           |   |   |                | 2.99   |   | 08/01/32                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 3,305 |   |   |   | 3,054 |   |   |   | 455 |   |
|         | <=$1,000 |   |          | 4      |           |   |   | 3.25            |   |   |   | 3.00           |   |   |                | 3.17   |   | 05/01/34                                               |   |   | 07/01/35 |   |   |   | 360 |   | NA |   |   | 2,832 |   |   |   | 2,572 |   |   |   | 843 |   |
|         | > $1,000 |   |          | 3      |           |   |   | 3.13            |   |   |   | 2.91           |   |   |                | 3.01   |   | 04/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 4,148 |   |   |   | 3,991 |   |   |   | - |   |
|         | Summary     |   |          | 34     |           |   |   | 3.50            |   |   |   | 2.38           |   |   |                | 3.02   |   | 08/01/32                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   | $ | 14,170 |   |   | $ | 13,166 |   |   | $ | 1,298 |   |
| Summary      | <= $100  |   |          | 36     |           |   |   | 4.00            |   |   |   | 2.38           |   |   |                | 3.09   |   | 10/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   | $ | 4,770 |   |   | $ | 2,563 |   |   | $ | 75 |   |
|         | <= $250  |   |          | 179    |           |   |   | 4.88            |   |   |   | 1.50           |   |   |                | 3.10   |   | 08/01/32                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   |   | 37,992 |   |   |   | 32,456 |   |   |   | 1,543 |   |
|         | <= $500  |   |          | 180    |           |   |   | 7.25            |   |   |   | 1.38           |   |   |                | 3.08   |   | 08/01/32                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   |   | 68,370 |   |   |   | 61,442 |   |   |   | 5,661 |   |
|         | <=$1,000 |   |          | 62     |           |   |   | 4.00            |   |   |   | 1.50           |   |   |                | 3.00   |   | 08/01/33                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 48,872 |   |   |   | 45,692 |   |   |   | 1,599 |   |
|         | > $1,000 |   |          | 34     |           |   |   | 3.50            |   |   |   | 2.25           |   |   |                | 3.06   |   | 04/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 56,208 |   |   |   | 55,616 |   |   |   | 9,048 |   |
|         | Grand Total |   |          | 491    |           |   |   | 7.25            |   |   |   | 1.38           |   |   |                | 3.05   |   | 08/01/32                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   | $ | 216,212 |   |   | $ | 197,724 |   |   | $ | 17,925 |   |

----

| Description  |        |   | Interest Rate |   |   | Final Maturity |   |   | PeriodicPayment |   |   |   | OriginalAmount |   |   | CurrentAmount |   |   | Principal Amount of LoansSubject toDelinquentPrincipal |   |
|--------------|-------------|--------|---------------|--------|--------|----------------|--------|--------|-----------------|--------|--------|--------|----------------|--------|--------|---------------|--------|--------|--------------------------------------------------------|--------|
| PropertyType | Balance     |   | LoanCount     |   |   | Max            |   |   | Min             |   |   | Avg    |           |   | Min    |          |   | Max    |                                                   |   | Term(months) |   | PriorLiens |   | ofPrincipal |   |   | ofPrincipal |   |   | orInterest |   |
| Single       | <= $100  |   |          | 14     |   |           |   | 3.00   |            |   |   | 2.50   |           |   |   | 2.88          |   |   | 09/01/34                                               |   |   | 11/01/35 |   |   |   | 360 |   | NA |   | $ | 1,658 |   |   | $ | 1,055 |   |   | $ | - |   |
| FAMILY       | <= $250  |   |          | 71     |   |           |   | 4.50   |            |   |   | 2.50   |           |   |   | 2.96          |   |   | 09/01/32                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 16,299 |   |   |   | 13,107 |   |   |   | 956 |   |
|         | <= $500  |   |          | 89     |   |           |   | 3.75   |            |   |   | 2.50   |           |   |   | 2.87          |   |   | 07/01/33                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   |   | 33,896 |   |   |   | 31,056 |   |   |   | 6,135 |   |
|         | <=$1,000 |   |          | 34     |   |           |   | 3.50   |            |   |   | 1.50   |           |   |   | 2.77          |   |   | 08/01/33                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 27,122 |   |   |   | 25,368 |   |   |   | 3,411 |   |
|         | >$1,000  |   |          | 21     |   |           |   | 3.25   |            |   |   | 2.63   |           |   |   | 2.81          |   |   | 01/01/35                                               |   |   | 11/01/35 |   |   |   | 360 |   | NA |   |   | 37,357 |   |   |   | 36,811 |   |   |   | 9,047 |   |
|         | Summary     |   |          | 229    |   |           |   | 4.50   |            |   |   | 1.50   |           |   |   | 2.88          |   |   | 09/01/32                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   | $ | 116,332 |   |   | $ | 107,397 |   |   | $ | 19,549 |   |
| 2-4          | <= $100  |   |          | 2      |   |           |   | 3.63   |            |   |   | 3.00   |           |   |   | 3.31          |   |   | 02/01/35                                               |   |   | 07/01/35 |   |   |   | 360 |   | NA |   | $ | 212 |   |   | $ | 168 |   |   | $ | 75 |   |
| FAMILY       | <= $250  |   |          | 6      |   |           |   | 3.63   |            |   |   | 2.63   |           |   |   | 3.02          |   |   | 12/01/34                                               |   |   | 07/01/35 |   |   |   | 360 |   | NA |   |   | 1,283 |   |   |   | 1,094 |   |   |   | - |   |
|         | <= $500  |   |          | 15     |   |           |   | 7.25   |            |   |   | 2.13   |           |   |   | 3.10          |   |   | 09/01/34                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   |   | 5,554 |   |   |   | 5,134 |   |   |   | 254 |   |
|         | <=$1,000 |   |          | -      |   |           |   | -      |            |   |   | -      |           |   |   | -             |   |   |                                                   | -      |   |   |   | - |   |   |   | 360 |   | NA |   |   | - |   |   |   | - |   |   |   | - |   |
|         | >$1,000  |   |          | -      |   |           |   | -      |            |   |   | -      |           |   |   | -             |   |   |                                                   | -      |   |   |   | - |   |   |   | 360 |   | NA |   |   | - |   |   |   | - |   |   |   | - |   |
|         | Summary     |   |          | 23     |   |           |   | 7.25   |            |   |   | 2.13   |           |   |   | 3.10          |   |   | 09/01/34                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   | $ | 7,049 |   |   | $ | 6,396 |   |   | $ | 329 |   |
| Condo        | <= $100  |   |          | 13     |   |           |   | 3.25   |            |   |   | 2.63   |           |   |   | 2.81          |   |   | 01/01/35                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   | $ | 1,640 |   |   | $ | 844 |   |   | $ | - |   |
|         | <= $250  |   |          | 72     |   |           |   | 3.50   |            |   |   | 1.50   |           |   |   | 2.93          |   |   | 02/01/34                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   |   | 14,297 |   |   |   | 12,415 |   |   |   | 468 |   |
|         | <= $500  |   |          | 58     |   |           |   | 3.75   |            |   |   | 2.38   |           |   |   | 2.84          |   |   | 09/01/32                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 20,942 |   |   |   | 18,891 |   |   |   | - |   |
|         | <=$1,000 |   |          | 14     |   |           |   | 3.88   |            |   |   | 1.63   |           |   |   | 2.76          |   |   | 08/01/33                                               |   |   | 09/01/35 |   |   |   | 360 |   | NA |   |   | 10,339 |   |   |   | 9,996 |   |   |   | - |   |
|         | > $1,000 |   |          | 10     |   |           |   | 2.88   |            |   |   | 2.63   |           |   |   | 2.73          |   |   | 01/01/35                                               |   |   | 09/01/35 |   |   |   | 360 |   | NA |   |   | 14,914 |   |   |   | 14,559 |   |   |   | - |   |
|         | Summary     |   |          | 167    |   |           |   | 3.88   |            |   |   | 1.50   |           |   |   | 2.86          |   |   | 09/01/32                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   | $ | 62,132 |   |   | $ | 56,705 |   |   | $ | 468 |   |
| CO-OP        | <= $100  |   |          | 4      |   |           |   | 2.88   |            |   |   | 2.50   |           |   |   | 2.69          |   |   | 10/01/34                                               |   |   | 08/01/35 |   |   |   | 360 |   | NA |   | $ | 443 |   |   | $ | 306 |   |   | $ | - |   |
|         | <= $250  |   |          | 15     |   |           |   | 3.38   |            |   |   | 2.25   |           |   |   | 2.78          |   |   | 10/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 3,423 |   |   |   | 2,573 |   |   |   | 212 |   |
|         | <= $500  |   |          | 23     |   |           |   | 3.50   |            |   |   | 1.38   |           |   |   | 2.78          |   |   | 08/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 9,537 |   |   |   | 8,233 |   |   |   | - |   |
|         | <=$1,000 |   |          | 11     |   |           |   | 2.88   |            |   |   | 2.63   |           |   |   | 2.69          |   |   | 12/01/34                                               |   |   | 10/01/35 |   |   |   | 360 |   | NA |   |   | 8,563 |   |   |   | 8,321 |   |   |   | - |   |
|         | > $1,000 |   |          | 4      |   |           |   | 2.75   |            |   |   | 2.25   |           |   |   | 2.59          |   |   | 11/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 5,659 |   |   |   | 5,232 |   |   |   | - |   |
|         | Summary     |   |          | 57     |   |           |   | 3.50   |            |   |   | 1.38   |           |   |   | 2.72          |   |   | 08/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   | $ | 27,625 |   |   | $ | 24,665 |   |   | $ | 212 |   |
| PUD          | <= $100  |   |          | 1      |   |           |   | 2.63   |            |   |   | 2.63   |           |   |   | 2.63          |   |   | 07/01/35                                               |   |   | 07/01/35 |   |   |   | 360 |   | NA |   | $ | 100 |   |   | $ | 89 |   |   | $ | - |   |
|         | <= $250  |   |          | 18     |   |           |   | 3.13   |            |   |   | 2.50   |           |   |   | 2.87          |   |   | 08/01/35                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 3,958 |   |   |   | 3,656 |   |   |   | 160 |   |
|         | <= $500  |   |          | 10     |   |           |   | 3.00   |            |   |   | 2.63   |           |   |   | 2.88          |   |   | 08/01/32                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 3,665 |   |   |   | 3,422 |   |   |   | 315 |   |
|         | <=$1,000 |   |          | 4      |   |           |   | 3.25   |            |   |   | 2.75   |           |   |   | 2.99          |   |   | 05/01/34                                               |   |   | 07/01/35 |   |   |   | 360 |   | NA |   |   | 2,832 |   |   |   | 2,593 |   |   |   | - |   |
|         | > $1,000 |   |          | 3      |   |           |   | 2.88   |            |   |   | 2.75   |           |   |   | 2.83          |   |   | 04/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 4,148 |   |   |   | 4,011 |   |   |   | - |   |
|         | Summary     |   |          | 36     |   |           |   | 3.25   |            |   |   | 2.50   |           |   |   | 2.87          |   |   | 08/01/32                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   | $ | 14,703 |   |   | $ | 13,771 |   |   | $ | 475 |   |
| Summary      | <= $100  |   |          | 34     |   |           |   | 3.63   |            |   |   | 2.50   |           |   |   | 2.85          |   |   | 09/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   | $ | 4,053 |   |   | $ | 2,462 |   |   | $ | 75 |   |
|         | <= $250  |   |          | 182    |   |           |   | 4.50   |            |   |   | 1.50   |           |   |   | 2.93          |   |   | 08/01/32                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   |   | 39,260 |   |   |   | 32,845 |   |   |   | 1,796 |   |
|         | <= $500  |   |          | 195    |   |           |   | 7.25   |            |   |   | 1.38   |           |   |   | 2.87          |   |   | 08/01/32                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   |   | 73,594 |   |   |   | 66,736 |   |   |   | 6,704 |   |
|         | <=$1,000 |   |          | 63     |   |           |   | 3.88   |            |   |   | 1.50   |           |   |   | 2.77          |   |   | 08/01/33                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 48,856 |   |   |   | 46,278 |   |   |   | 3,411 |   |
|         | > $1,000 |   |          | 38     |   |           |   | 3.25   |            |   |   | 2.25   |           |   |   | 2.77          |   |   | 04/01/34                                               |   |   | 12/01/35 |   |   |   | 360 |   | NA |   |   | 62,078 |   |   |   | 60,613 |   |   |   | 9,047 |   |
|         | Grand Total |   |          | 512    |   |           |   | 7.25   |            |   |   | 1.38   |           |   |   | 2.82          |   |   | 08/01/32                                               |   |   | 01/01/36 |   |   |   | 360 |   | NA |   | $ | 227,841 |   |   | $ | 208,934 |   |   | $ | 21,033 |   |

----

|                                                      |   | June 30, 2012 |      |   | December 31, 2011 |   |
|-----------------------------------------------------------|--------|---------------|-----------|--------|-------------------|--------|
| Current balance of loans                                  |   | $             | 5,861,140 |   |              | $      | 3,457,297 |   |
| Number of loans                                           |   |          | 377       |   |              |   | 234 |   |
| Weighted average original LTV                             |   |          | 69.0      | %      |              |   | 68.0 | % |
| Weighted average underwritten debt service coverage ratio |   |          | 1.42      | x      |              |   | 1.52 | x |
| Current average loan size                                 |   | $             | 15,547    |   |              | $      | 14,775 |   |
| Weighted average original loan term (in months)           |   |          | 118       |   |              |   | 117 |   |
| Weighted average current remaining term (in months)       |   |          | 97        |   |              |   | 101 |   |
| Weighted average loan rate                                |   |          | 5.15      | %      |              |   | 5.25 | % |
| First mortgages                                           |   |          | 100       | %      |              |   | 100 | % |
| Geographic state concentration (greater than 5.0%):       |   |          |      |   |              |   |   |   |
| Texas                                                     |   |          | 12.9      | %      |              |   | 14.3 | % |
| California                                                |   |          | 11.8      | %      |              |   | 9.3 | % |
| New York                                                  |   |          | 6.4       | %      |              |   | 7.2 | % |
| Georgia                                                   |   |          | 4.8       | %      |              |   | 6.7 | % |
| Washington                                                |   |          | 5.2       | %      |              |   | 6.3 | % |
| Florida                                                   |   |          | 5.7       | %      |              |   | 5.5 | % |

----

| Loan Summary                                        |   | June 30, 2012 |
|-----------------------------------------------------|--------|---------------|
| Number of Loans                                     |   |          | 9 |   |
| Aggregate Current Loan Balance                      |   | $             | 1,299 |   |
| Average Current Loan Balance                        |   | $             | 144 |   |
| Weighted Average Original Term (Months)             |   |          | 348 |   |
| Weighted Average Remaining Term (Months)            |   |          | 271 |   |
| Weighted Average Gross Coupon (%)                   |   |          | 6.69 | % |
| Weighted Average Original Loan-to-Value of Loan (%) |   |          | 80.39 | % |
| Average Cost-to-Principal of Asset at Funding (%)   |   |          | 78.74 | % |
| Fixed Rate Mortgages (%)                            |   |          | 32.85 | % |
| Adjustable Rate Mortgages (%)                       |   |          | 67.15 | % |
| First Lien Mortgages (%)                            |   |          | 100.00 | % |

| Loan Summary                                        |   | December 31, 2011 |
|-----------------------------------------------------|--------|-------------------|
| Number of Loans                                     |   |              | 64 |   |
| Aggregate Current Loan Balance                      |   | $                 | 9,654 |   |
| Average Current Loan Balance                        |   | $                 | 151 |   |
| Weighted Average Original Term (Months)             |   |              | 375 |   |
| Weighted Average Remaining Term (Months)            |   |              | 311 |   |
| Weighted Average Gross Coupon (%)                   |   |              | 7.02 | % |
| Weighted Average Original Loan-to-Value of Loan (%) |   |              | 85.69 | % |
| Average Cost-to-Principal of Asset at Funding (%)   |   |              | 70.81 | % |
| Fixed Rate Mortgages (%)                            |   |              | 55.55 | % |
| Adjustable Rate Mortgages (%)                       |   |              | 44.45 | % |
| First Lien Mortgages (%)                            |   |              | 100.00 | % |

----

----

|                                                                                                                                            |   | Three Months Ended June 30, 2012 |    |   | Six Months Ended June 30, 2012 |   |
|-------------------------------------------------------------------------------------------------------------------------------------------------|--------|----------------------------------|---------|--------|--------------------------------|--------|
|                                                                                                                                            |   | Amount                           |    |   | Shares                         |   |   | Per Share(1) |   |   | Amount |   |   | Shares |   |   | Per Share(1) |   |
| Beginning Balance                                                                                                                               |   | $                                | 91,956  |   |                           |   | 14,175 |   |   | $ | 6.49 |   |   | $ | 85,278 |   |   |   | 13,938 |   |   | $ | 6.12 |   |
| Stock issuance, net                                                                                                                             |   |                             | 20,286  |   |                           |   | 3,194 |   |   |   | 0.00 |   |   |   | 20,344 |   |   |   | 3,431 |   |   |   | 0.00 |   |
| Balance after share issuance activity                                                                                                           |   |                             | 112,242 |   |                           |   | 17,369 |   |   |   | 6.46 |   |   |   | 105,622 |   |   |   | 17,369 |   |   |   | 6.08 |   |
| Dividends declared                                                                                                                              |   |                             | (4,690  | )      |                           |   |   |   |   |   | (0.27 | ) |   |   | (8,234 | ) |   |   |   |   |   |   | (0.47 | ) |
| Net change AOCI:(2)                                                                                                                             |   |                             |    |   |                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Hedges                                                                                                                                          |   |                             | 61      |   |                           |   |   |   |   |   | 0.00 |   |   |   | 172 |   |   |   |   |   |   |   | 0.01 |   |
| RMBS                                                                                                                                            |   |                             | 464     |   |                           |   |   |   |   |   | 0.03 |   |   |   | 828 |   |   |   |   |   |   |   | 0.05 |   |
| CMBS                                                                                                                                            |   |                             | 119     |   |                           |   |   |   |   |   | 0.01 |   |   |   | 1,015 |   |   |   |   |   |   |   | 0.06 |   |
| CLOs                                                                                                                                            |   |                             | (342    | )      |                           |   |   |   |   |   | (0.02 | ) |   |   | 2,612 |   |   |   |   |   |   |   | 0.15 |   |
| Net income excluding unrealized gains and losses on Agency IOs and related hedges and multi-family loans and debt held in securitization trusts |   |                             | 2,761   |   |                           |   |   |   |   |   | 0.16 |   |   |   | 7,449 |   |   |   |   |   |   |   | 0.43 |   |
| Unrealized net gains (losses) on Agency IOs and related hedges                                                                                  |   |                             | 171     |   |                           |   |   |   |   |   | 0.01 |   |   |   | (701 | ) |   |   |   |   |   |   | (0.04 | ) |
| Unrealized gains on multi-family loans and debt held in securitization trusts                                                                   |   |                             | 2,205   |   |                           |   |   |   |   |   | 0.13 |   |   |   | 4,228 |   |   |   |   |   |   |   | 0.24 |   |
| Ending Balance                                                                                                                                  |   | $                                | 112,991 |   |                           |   | 17,369 |   |   | $ | 6.51 |   |   | $ | 112,991 |   |   |   | 17,369 |   |   | $ | 6.51 |   |

| (1) | Outstanding shares used to calculate book value per share for the quarter ended period is based on outstanding shares as of June 30, 2012 of 17,369,374. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------|
| (2) | Accumulated other comprehensive income (“AOCI”).                                                                                             |

----

|                                                     |   | For the Three Months Ended June 30, |   |   | For the Six Months Ended June 30, |   |
|----------------------------------------------------------|--------|-------------------------------------|--------|--------|-----------------------------------|--------|
|                                                     |   | 2012                                |   |   | 2011                              |   |   | % Change |   |   | 2012 |   |   | 2011 |   |   | % Change |   |
| Net interest income                                      |   | $                                   | 5,841  |   |                              | $      | 5,301 |   |   |   | 10.2 | % |   | $ | 12,048 |   |   | $ | 7,811 |   |   |   | 54.2 | % |
| Total other income                                       |   | $                                   | 2,232  |   |                              | $      | 2,696 |   |   |   | (17.2 | )% |   | $ | 4,592 |   |   | $ | 4,998 |   |   |   | (8.1 | )% |
| Total general, administrative and other expenses         |   | $                                   | 2,659  |   |                              | $      | 3,454 |   |   |   | (23.0 | )% |   | $ | 5,327 |   |   | $ | 5,747 |   |   |   | (7.3 | )% |
| Income from continuing operations before income taxes    |   | $                                   | 5,414  |   |                              | $      | 4,543 |   |   |   | 19.2 | % |   | $ | 11,313 |   |   | $ | 7,062 |   |   |   | 60.2 | % |
| Income tax expense                                       |   | $                                   | 467    |   |                              | $      | 363 |   |   |   | 28.7 | % |   | $ | 467 |   |   | $ | 363 |   |   |   | 28.7 | % |
| Income from continuing operations                        |   | $                                   | 4,947  |   |                              | $      | 4,180 |   |   |   | 18.3 | % |   | $ | 10,846 |   |   | $ | 6,699 |   |   |   | 61.9 | % |
| Income from discontinued operation – net of tax    |   | $                                   | 42     |   |                              | $      | 9 |   |   |   | 366.7 | % |   | $ | 33 |   |   | $ | 4 |   |   |   | 725.0 | % |
| Net income                                               |   | $                                   | 4,989  |   |                              | $      | 4,189 |   |   |   | 19.1 | % |   | $ | 10,879 |   |   | $ | 6,703 |   |   |   | 62.3 | % |
| Net (loss) income attributable tononcontrolling interest |   | $                                   | (148   | )      |                              | $      | 20 |   |   |   | (840.0 | )% |   | $ | (97 | ) |   | $ | 20 |   |   |   | (585.0 | )% |
| Net income attributable to common stockholders           |   | $                                   | 5,137  |   |                              | $      | 4,169 |   |   |   | 23.2 | % |   | $ | 10,976 |   |   | $ | 6,683 |   |   |   | 64.2 | % |
| Basic income per common share                            |   | $                                   | 0.34   |   |                              | $      | 0.44 |   |   |   | (22.7 | )% |   | $ | 0.75 |   |   | $ | 0.71 |   |   |   | 5.6 | % |
| Diluted income per common share                          |   | $                                   | 0.34   |   |                              | $      | 0.44 |   |   |   | (22.7 | )% |   | $ | 0.75 |   |   | $ | 0.71 |   |   |   | 5.6 | % |

----

|                                                 |   | For the Three Months Ended June 30, |   |   | For the Six Months Ended June 30, |   |
|------------------------------------------------------|--------|-------------------------------------|--------|--------|-----------------------------------|--------|
| General, Administrative and OtherExpenses:           |   | 2012                                |   |   | 2011                              |   |   | % Change |   |   | 2012 |   |   | 2011 |   |   | % Change |   |
| Salaries, benefits and directors’ compensation |   | $                                   | 598    |   |                              | $      | 454 |   |   |   | 31.7 | % |   | $ | 1,106 |   |   | $ | 912 |   |   |   | 21.3 | % |
| Professional fees                                    |   |                                | 464    |   |                              |   | 429 |   |   |   | 8.2 | % |   |   | 907 |   |   |   | 765 |   |   |   | 18.6 | % |
| Management fees                                      |   |                                | 1,020  |   |                              |   | 2,095 |   |   |   | (51.3 | ) % |   |   | 2,215 |   |   |   | 3,135 |   |   |   | (29.3 | )% |
| Other                                                |   |                                | 577    |   |                              |   | 476 |   |   |   | (21.2 | ) % |   |   | 1,099 |   |   |   | 935 |   |   |   | 17.5 | % |
| Total                                                |   | $                                   | 2,659  |   |                              | $      | 3,454 |   |   |   | (23.0 | ) % |   | $ | 5,327 |   |   | $ | 5,747 |   |   |   | (7.3) | % |

----

| Quarter Ended      |   | Average InterestEarning Assets ($ millions) (1) |   |   | WeightedAverageCash Yieldon InterestEarning Assets (3) |   |   | Cost of Funds (4) |   |   | Net Interest Spread (5) |   |
|--------------------|--------|-------------------------------------------------|--------|--------|--------------------------------------------------------|--------|--------|-------------------|--------|--------|-------------------------|--------|
| June 30, 2012 (2)  |   | $                                               | 409.4  |   |                                                   |   | 7.28   | %                 |   |   | 1.33                    | %      |   |   | 5.95 | % |
| March 31, 2012 (2) |   | $                                               | 396.4  |   |                                                   |   | 7.59   | %                 |   |   | 1.01                    | %      |   |   | 6.58 | % |
| December 31, 2011  |   | $                                               | 372.9  |   |                                                   |   | 7.17   | %                 |   |   | 0.97                    | %      |   |   | 6.20 | % |
| September 30, 2011 |   | $                                               | 369.8  |   |                                                   |   | 8.04   | %                 |   |   | 0.89                    | %      |   |   | 7.15 | % |
| June 30, 2011      |   | $                                               | 341.7  |   |                                                   |   | 7.59   | %                 |   |   | 0.94                    | %      |   |   | 6.65 | % |
| March 31, 2011     |   | $                                               | 310.2  |   |                                                   |   | 4.76   | %                 |   |   | 1.08                    | %      |   |   | 3.68 | % |
| December 31, 2010  |   | $                                               | 318.0  |   |                                                   |   | 4.98   | %                 |   |   | 1.45                    | %      |   |   | 3.53 | % |
| September 30, 2010 |   | $                                               | 343.5  |   |                                                   |   | 5.29   | %                 |   |   | 1.66                    | %      |   |   | 3.63 | % |

| (1) | Our Average Interest Earning Assets is calculated each quarter as the daily average balance of our Interest Earning Assets for the quarter, excluding unrealized gains and losses. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (2) | Average Interest Earning Assets for the quarter excludes all Consolidated K-Series assets other than the securities represented by the Consolidated K-Series owned by us. |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (3) | Our Weighted Average Cash Yield on Interest Earning Assets was calculated by dividing our annualized interest income from Interest Earning Assets for the quarter by our average Interest Earning Assets for the quarter. |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (4) | Our Cost of Funds was calculated by dividing our annualized interest expense from our Interest Earning Assets for the quarter by our average financing arrangements, portfolio investments and Residential CDOs for the quarter. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (5) | Net Interest Spread is the difference between our Weighted Average Cash Yield on Interest Earning Assets and our Cost of Funds. |
|-----|---------------------------------------------------------------------------------------------------------------------------------|

----

| Quarter Ended      |   | AgencyARMs |   |   | AgencyIOs |   |   | Non-AgencyRMBS |   |   | Residential Securitizations |   |   | Weighted Averagefor Overall Portfolio |   |
|--------------------|--------|------------|--------|--------|-----------|--------|--------|----------------|--------|--------|-----------------------------|--------|--------|---------------------------------------|--------|
| June 30, 2012      |   |       | 24.8   | %      |      |   | 19.4   | %              |   |   | 15.2                        | %      |   |                                  | 7.4    | % |   |   | 16.6 | % |
| March 31, 2012     |   |       | 18.1   | %      |      |   | 19.6   | %              |   |   | 13.3                        | %      |   |                                  | 8.1    | % |   |   | 16.6 | % |
| December 31, 2011  |   |       | 16.9   | %      |      |   | 19.5   | %              |   |   | 12.6                        | %      |   |                                  | 5.2    | % |   |   | 15.8 | % |
| September 30, 2011 |   |       | 16.6   | %      |      |   | 10.1   | %              |   |   | 14.7                        | %      |   |                                  | 10.2   | % |   |   | 10.8 | % |
| June 30, 2011      |   |       | 19.3   | %      |      |   | 8.0    | %              |   |   | 11.2                        | %      |   |                                  | 8.4    | % |   |   | 8.8 | % |
| March 31, 2011     |   |       | 16.5   | %      |      |   | 10.4   | %              |   |   | 20.8                        | %      |   |                                  | 7.0    | % |   |   | 9.6 | % |
| December 31, 2010  |   |       | 22.6   | %      |      |   | N/A    |           |   |   | 18.4                        | %      |   |                                  | 11.5   | % |   |   | 13.8 | % |
| September 30, 2010 |   |       | 33.8   | %      |      |   | N/A    |           |   |   | 15.5                        | %      |   |                                  | 18.7   | % |   |   | 21.1 | % |

|        |   | Weighted Average Coupon (“WAC”) of Underlying Loans |    |
|-------------|--------|-----------------------------------------------------------------|---------|
|        |   | < 4.0                                                        | %  |   | < 4.5 | %  |   | < 5.0 | %  |   | < 5.5 | %  |   | > 5.5 | % |
| Agency ARMs |   | $                                                               | 19,558  |   |   |   | — |   |   |   | — |   |   |   | — |   |   | $ | 11,629 |   |
| Agency IOs  |   |                                                            | — |   |   |   | — |   |   |   | — |   |   | $ | 6,479 |   |   | $ | 5,721 |   |

----

|                                                                                                            |   | For theThree Months EndedJune 30, 2012 |   |   | For theThree Months EndedJune 30, 2011 |   |   | For theSix Months EndedJune 30, 2012 |   |   | For theSix Months EndedJune 30, 2011 |   |
|-----------------------------------------------------------------------------------------------------------------|--------|----------------------------------------|--------|--------|----------------------------------------|--------|--------|--------------------------------------|--------|--------|--------------------------------------|--------|
|                                                                                                            |   | Amounts                                |   |   | Per Share                              |   |   | Amounts                              |   |   | Per Share                            |   |   | Amounts |   |   | Per Share |   |   | Amounts |   |   | Per Share |   |
|                                                                                                            |   |                                   |   |   |                                   |   |   |                                 |   |   |                                 |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net Income Attributable to Common Stockholders - GAAP                                                           |   | $                                      | 5,137  |   |                                   | $      | 0.34   |                                 |   | $      | 4,169                                |   |   | $ | 0.44 |   |   | $ | 10,976 |   |   | $ | 0.75 |   |   | $ | 6,683 |   |   | $ | 0.71 |   |
| Adjustments:                                                                                                    |   |                                   |   |   |                                   |   |   |                                 |   |   |                                 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Unrealized net (gains) losses on investment securities and related hedges associated with Agency IO investments |   |                                   | (171   | )      |                                   |   | (0.01  | )                                    |   |   | 695                                  |   |   |   | 0.07 |   |   |   | 701 |   |   |   | 0.04 |   |   |   | 735 |   |   |   | 0.08 |   |
| Unrealized gains on multi-family loans and debt held in securitization trusts                                   |   |                                   | (2,205 | )      |                                   |   | (0.15  | )                                    |   |   | —                              |   |   |   | — |   |   |   | (4,228 | ) |   |   | (0.28 | ) |   |   | — |   |   |   | — |   |
| Net income attributable to common stockholders excluding unrealized gains and losses                            |   | $                                      | 2,761  |   |                                   | $      | 0.18   |                                 |   | $      | 4,864                                |   |   | $ | 0.51 |   |   | $ | 7,449 |   |   | $ | 0.51 |   |   | $ | 7,418 |   |   | $ | 0.79 |   |

|                          |   | Carrying Value |    |   | Coupons(1) |   |   | Yield(1) |   |   | CPR(1) |   |
|-------------------------------|--------|----------------|---------|--------|------------|--------|--------|----------|--------|--------|--------|--------|
| Agency RMBS                   |   | $              | 57,844  |   |       |   | 3.54   | %        |   |   | 1.54   | %      |   |   | 24.8 | % |
| Agency IOs                    |   | $              | 70,369  |   |       |   | 5.81   | %        |   |   | 14.17  | %      |   |   | 19.4 | % |
| CMBS (2)                      |   | $              | 108,234 |   |       |   | 0.08   | %        |   |   | 13.42  | %      |   |   | N/A |   |
| Residential Securitized Loans |   | $              | 196,378 |   |       |   | 2.95   | %        |   |   | 2.87   | %      |   |   | 7.4 | % |
| CLOs                          |   | $              | 26,801  |   |       |   | 4.41   | %        |   |   | 40.09  | %      |   |   | N/A |   |

| (1) | Coupons, yields and CPRs are based on second quarter 2012 weighted average balances. Yields are calculated on amortized cost basis. |
|-----|-------------------------------------------------------------------------------------------------------------------------------------|

| (2) | CMBS carrying value, coupons and yield calculations are based on the underlying CMBS that are owned by the Company and do not include the consolidated balances as discussed above. |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

----

----

----

|         | · | Interest rate risk |
|--------------|--------|--------------------|
|    | · | Liquidity risk     |
|    | · | Prepayment risk    |
|    | · | Credit risk        |
|    | · | Fair value risk    |

----

| Changes in Net Interest Income |   |
|--------------------------------|--------|
| Changes in Interest Rates      |   | Changes in Net InterestIncome |   |
| +200                           |   | $ | 7,825 |   |
| +100                           |   | $ | 6,310 |   |
| -100                           |   | $ | (12,550 | ) |

----

----

| Market Value Changes     |
|--------------------------|
| Changes inInterest Rates |   | Changes inMarket Value |   | NetDuration |
|                     |   | (Amounts in thousands) |   |   |
| +200                     |   | $ | (15,945) |   |   | 4.15 years |
| +100                     |   | $ | (6,137) |   |   | 2.76 years |
| Base                     |   |   | — |   |   | 2.14 years |
| -100                     |   | $ | (3,351) |   |   | 0.68 years |

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|                 | NEW YORK MORTGAGE TRUST, INC. |                                  |
|----------------------|-------------------------------|---------------------------------------|
|                 |                          |                                  |   |
|                 |                          |                                  |   |
| Date: August 8, 2012 | By:                           | /s/ Steven R. Mumma              |   |
|                 |                          | Steven R. Mumma                       |   |
|                 |                          | Chief Executive Officer and President |   |
|                 |                          | (Principal Executive Officer)    |   |

|                       |   |                                               |
|----------------------------|--------|----------------------------------------------------|
|                       |   |                                               |   |
|  Date: August 8, 2012 | By:    | /s/ Fredric S. Starker                        |   |
|                       |   | Fredric S. Starker                                 |   |
|                       |   | Chief Financial Officer                            |   |
|                       |   | (Principal Financial and Accounting Officer)  |   |

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| 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 (File No. 001-32216)).                                                                                                                                                                                                                                                                                 |
|    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| 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 (File No. 001-32216)).                                                                                                                                                                                                                                                                                 |
|    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| 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 (File No. 001-32216)).                                                                                                                                                                                                                                                                                      |
|    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| 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 (File No. 001-32216)).                                                                                                                                                                                                                                                                                      |
|    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| 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 (File No. 001-32216)).                                                                                                                                                                                                                                                                                     |
|    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| 3.1(g)  |   | Certificate of Notice, dated May 4, 2012 (Incorporated by reference to Exhibit 3.1(g) to the Company’s Quarterly Report on Form 10-Q filed on May 4, 2012 (File No. 001-32216)).                                                                                                                                                                                                                                                                                   |
|    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| 3.2     |   | Bylaws of New York Mortgage Trust, Inc., as amended (Incorporated by reference to Exhibit 3.2 to the Company’s Annual Report on Form 10-K filed on March 4, 2011 (File No. 001-32216)).                                                                                                                                                                                                                                                                            |
|    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| 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)  |   | Parent Guarantee Agreement between New York Mortgage Trust, Inc. and JPMorgan Chase Bank, National Association, as guarantee trustee, dated September  1, 2005. (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K as filed with the Securities and Exchange Commission on September  6, 2005 (File No. 001-32216))                                                                                                  |
|    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| 4.3(a)  |   | Junior Subordinated Indenture between The New York Mortgage Company, LLC and JPMorgan Chase Bank, National Association, as trustee, dated March 15, 2005.*                                                                                                                                                                                                                                                                                                               |
|    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| 4.3(b)  |   | Parent Guarantee Agreement between New York Mortgage Trust, Inc. and JPMorgan Chase Bank, National Association, as guarantee trustee, dated March 15, 2005.* Certain instruments defining the rights of holders of long-term debt securities of the Registrant and its subsidiaries are omitted pursuant to Item 601(b)(4)(iii) of Regulation S-K.  The Registrant hereby undertakes to furnish to the SEC, upon request, copies of any such instruments. |
|    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| 4.4(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 (File No. 001-32216)).                                                                                                                                                          |

----

|   |   |                                                                                                                                                                                                                                                                                                             |
|--------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 4.4(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 (File No. 001-32216)).                                                                                 |
|   |   |                                                                                                                                                                                                                                                                                                             |
| 4.4(c) |   | Articles Supplementary Reclassifying Series A Cumulative Redeemable Convertible Preferred Stock as Preferred Stock (Incorporated by reference to Exhibit 99.1 to the Company’s Current Report on Form 8-K filed on February 1, 2012 (File No. 001-32216)).                                                 |
|   |   |                                                                                                                                                                                                                                                                                                             |
| 10.1   |   | Underwriting Agreement among New York Mortgage Trust, Inc. and the several underwriters listed therein, dated as of May 25, 2012 (Incorporated by reference to Exhibit 1.1 to the Company’s Current Report on Form 8-K filed on May 31, 2012 (File No. 001-32216)).                                        |
|   |   |                                                                                                                                                                                                                                                                                                             |
| 10.2   |   | Equity Distribution Agreement, dated June 11, 2012, by and between New York Mortgage Trust, Inc. and JMP Securities LLC (Incorporated by reference to Exhibit 1.1 to the Company’s Current Report on Form 8-K as filed with the Securities and Exchange Commission on June 11, 2012 (File No. 001-32216)). |
|   |   |                                                                                                                                                                                                                                                                                                             |
| 31.1   |   | Section 302 Certification of Chief Executive Officer.*                                                                                                                                                                                                                                                           |
| 31.2   |   | Section 302 Certification of Chief Financial Officer.*                                                                                                                                                                                                                                                           |
| 32.1   |   | Section 906 Certification of Chief Executive Officer and Chief Financial Officer.*                                                                                                                                                                                                                               |

| * | Filed herewith. |
|---|-----------------|

| ** | Furnished herewith. Such certification shall not be deemed “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934, as amended. |
|----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------|