These and other risks are described in the company's annual report on Form 10-K for the year ended December 31, 2011 that are available from the company and from the SEC. And you should read and understand these risks when evaluating any forward-looking statement.

I would now like to turn the call over to Eric Billings for his remarks.

Eric F. Billings

Thank you, Kurt. Good morning, and welcome to the second quarter earnings call for Arlington Asset. I am Eric Billings, Chief Executive Officer of Arlington Asset. And joining me on the call today are Rock Tonkel, President and Chief Operating Officer; and Brian Bowers, our Chief Investment Officer. Thank you for joining us today.

You can see from last night's press release that Arlington reported core operating earnings of $11.3 million, or $1.16 per share-diluted, for the second quarter. Overall, this was a positive quarter for the company. Return on equity from core operating earnings -- operating income of 20.5% was driven by several factors. The deployment of the proceeds from our first quarter capital raise took full effect from the end of April onward and added spread income without increasing our G&A expense.

Continued low prepayment speeds in the company's agency mortgage-backed securities portfolio and high unleveraged cash yields from the private-label mortgage-backed securities portfolio were an important contributor again this quarter.

Finally, the company recorded realized net cash gains from the sales of agency mortgage-backed securities during the quarter of [ph] $0.14 per share.

We are seeing very encouraging performance from both our agency and our private-label portfolios. In the agency portfolio, all of our assets were specifically selected for prepayment protection of some type. Approximately 53% of our portfolio was originated under HARP programs. And our remaining assets consist of either low-balanced loans, low-FICO loans, high-LTV loans or loans with other prepayment protective features.

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