The Company also invests in pass-through CMBS, which evidence ownership interests in a single commercial mortgage loan or a pool of mortgage loans secured by commercial properties. Besides pass-through RMBS, whole loans and pass-through CMBS, the Company invests in RMBS and CMBS that are secured by a pool of real property mortgage loans, but which are not pass-through interests. Such interests may consist of either equity or debt tranches in a vehicle that holds a pool of mortgage loans. These securities may be senior, subordinated, investment grade or non-investment grade.

The Company invests in senior secured bank loans to middle market companies. Middle market loans generally have wider credit spreads than larger institutional loans, are part of more conservative capital structures and have more attractive security packages. These loans may also include revolving credit facilities. The loans generally have maturities of five to eight years and have limited amortization of principal. These loans generally include restrictive financial and operating covenants. The loans generally have a floating rate of interest tied to either the prime rate or LIBOR.

The Company intends to invest in the debt and/or equity tranches of CDOs to gain exposure to bank loans, corporate bonds, ABS, ABS derivatives and other instruments and/or to secure better financing terms.

The Company also intends to invest in consumer Asset Backed Securities, or ABS. These securities are generally securities for which the underlying collateral consists of assets such as home equity loans, credit card receivables and auto loans. The Company also invests in non-consumer ABS. These securities are generally secured by loans to businesses and consist of assets such as equipment loans, truck loans and agricultural equipment loans. Issuers of consumer and non-consumer ABS generally are special purpose entities owned or sponsored by banks and finance companies, captive finance subsidiaries of non-financial corporations or specialized originators such as credit card lenders.

Net investment income for the quarter was $2.2 million.

Non-investment expenses for the quarter was $2.9 million.

Cash and cash equivalents were $7.4 million at September 30, 2005.

Investing activities used cash flows were $1.8 billion during the period from July 11, 2005 to September 30, 2005.

Financing activities provided cash flows of $1.8 billion during the period from July 11, 2005 to September 30, 2005.