The Constant Prepayment Rate on the Company’s portfolio was 14%, 16%, and 14% as of September 30, 2011, September 30, 2010, and June 30, 2011, respectively. The net accretion of discounts was $49.1 million, $65.3 million and $78.8 million for the quarters ended September 30, 2011, September 30, 2010, and June 30, 2011, respectively. The net accretion of discounts will differ for GAAP and tax purposes due to differences such as the methodology to amortize premiums and accrete discounts and GAAP OTTI as opposed to actual principal write-downs that impact taxable income. The total net discount remaining was $2.0 billion, $2.4 billion and $2.0 billion at September 30, 2011, September 30, 2010, and June 30, 2011, respectively.
General and administrative expenses, including the management fee and loan loss provision, as a percentage of average interest earning assets were 0.51%, 0.62%, and 0.50% for the quarters ended September 30, 2011, September 30, 2010, and June 30, 2011, respectively. At September 30, 2011, September 30, 2010, and June 30, 2011, the Company had a GAAP common stock book value per share of $3.27, $3.29, and $3.35, respectively. At September 30, 2011, September 30, 2010, and June 30, 2011, the Company had an estimated economic book value per share of $3.01, $3.41, and $3.08, respectively. Estimated economic book value considers the fair values of only the assets the Company owns or is able to dispose of, pledge, or otherwise monetize, and specifically excludes the non-retained Non-Agency RMBS and the corresponding non-retained securitized debt, as presented in the Company’s consolidated statements of financial condition. The Company’s estimate of economic book value has important limitations. Should the Company sell the assets in its portfolio, it may realize materially different proceeds from the sale than estimated as of the reporting date.
The Company invests in residential mortgage-backed securities, residential mortgage loans, commercial mortgage loans, real estate-related securities and various other asset classes. The Company’s principal business objective is to generate net income from the spread between the yields on its investments and the cost of borrowing to finance their acquisition and secondarily to provide capital appreciation. The Company, a Maryland corporation that has elected to be taxed as a real estate investment trust (REIT), is externally managed by Fixed Income Discount Advisory Company.
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