The following table summarizes characteristics for each asset class:
|September 30, 2011|
|Principal or||Cost||Fair||Coupon||Adjusted)||Yield||Month CPR|
|Notional||Basis at||Value at||at||at||Over||at|
|Non-Agency Mortgage-Backed Securities|
|Senior, interest only||$||6,323,254||$||6.10||$||5.07||1.84||%||10.61||%||-3.69||%||16||%|
|Subordinated, interest only||$||299,578||$||9.98||$||8.86||2.87||%||17.34||%||34.80||%||16||%|
|Agency Mortgage-Backed Securities||$||4,728,152||$||102.89||$||106.67||4.74||%||4.15||%||4.13||%||11||%|
|Senior, interest only||$||249,964||$||0.01||$||0.01||0.37||%||100.00||%||4789.84||%||20||%|
The Company’s portfolio is comprised of Non-Agency and Agency RMBS and securitized whole residential mortgage loans. During the quarter ended September 30, 2011, the Company recorded no loan loss provision as compared to a provision of $482 thousand for the quarter ended September 30, 2010. No loan loss provision was recorded for the quarter ended June 30, 2011.
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