as of december 31 , 2012 , we had an estimated net operating loss ( `` nol `` ) carryfoward of $ 135.9 million . as a result of our common stock offering in february 2012 , we underwent an `` ownership change `` under section 382 of the code ( `` section 382 `` ) . in general , if a company undergoes an ownership change under section 382 , the company 's ability to utilize an nol carryforward to offset its taxable income ( and , in our case , after taking the reit distribution requirements into account ) , becomes limited to a certain amount per year . for purposes of section 382 , an ownership change occurs if over a rolling three-year period , the percentage of the company stock owned by 5 % or greater shareholders has increased by more than 50 percentage points over the lowest percentage of common stock owned by such shareholders during the three-year period . based on management 's analysis and expert third-party advice , which necessarily includes certain assumptions regarding the characterization under section 382 of our use of capital raised by us , we determined that the ownership change under section 382 will limit our ability to use our nol carryforward to offset our taxable income to an estimated maximum amount of $ 13.4 million per year . the nol carryforward expires substantially beginning in 2020. trends and recent market impacts the following marketplace conditions and prospective trends have impacted and may continue to impact our future results of operations and our financial condition . for additional information about risks that may be posed by these trends , please refer 32 to part i , item 1a , `` risk factors `` and part ii , item 7a , `` quantitative and qualitative disclosures about market risk `` contained within this annual report on form 10-k. federal reserve monetary policy and the effects on agency rmbs and prepayments in september 2012 , the federal open market committee ( `` fomc `` ) announced qe3 by indicating that it will purchase $ 40 billion per month in fixed-rate agency rmbs , continue to reinvest principal repayments on its existing agency rmbs portfolio , and extend the average maturity of its holdings of securities . these actions are expected to increase the fomc 's holdings of longer-term securities by about $ 85 billion each month .. the federal reserve expects these measures to put downward pressure on long-term interest rates . while the federal reserve hopes that qe3 will expedite an economic recovery , stabilize prices , reduce unemployment and restart business and household spending , there is no way of knowing what impact qe3 or any future actions by the federal reserve will have on the prices and liquidity of agency rmbs or other securities in which we invest . the federal reserve indicated in january 2013 that qe3 would continue in 2013 and until improvements in economic conditions and labor markets are achieved . during the fourth quarter of 2012 , we received principal payments on our agency rmbs of $ 214.9 million . our average constant prepayment rate , or cpr , for our agency rmbs during the fourth quarter of 2012 was 24.3 % versus 23.4 % for the third quarter of 2012 , 20.8 % for the second quarter of 2012 and 21.4 % for the first quarter of 2012. as of december 31 , 2012 , the weighted average coupon on the mortgage loans underlying our agency rmbs was approximately 4.16 % , while the monthly average 30-year fixed mortgage rate and the 5-year hybrid arm mortgage rate as of that date , as published by freddie mac , were 3.66 % and 2.78 % , respectively . generally , the lower coupons available on new mortgage loans , the actions by the federal reserve and the low interest rate environment should entice borrowers to refinance their mortgage loans at lower rates . today , however , many obstacles exist to refinancing , including but not limited to , tighter lender underwriting standards , the lack of borrower 's equity in the underlying real estate and the lack of an acceptable level of income . these obstacles are currently contributing to limited refinancing of loans in our agency rmbs portfolio and are keeping prepayment speeds low relative to expectations and to historic prepayment rates in such a low interest rate environment . in an effort to increase refinancing of agency rmbs , the u.s. treasury created the home affordable refinance program , or harp , which seeks to ease refinancing restrictions for high loan-to-value borrowers . the harp program eases underwriting requirements for lenders and qualification conditions for borrows to extend loans which qualify for inclusion in agency rmbs . harp is currently set to expire on december 31 , 2013. given the continued low interest rate environment , the changes to harp , and the commitment by the federal reserve to keep long-term interest rates low , including the federal reserve 's actions through qe3 , we continue to expect somewhat elevated prepayment speeds on our agency rmbs into 2013. as explained more fully in this annual report on form 10-k , increased prepayments impact our net interest income by increasing the amortization expense on any investments we own at premiums to their par balance and lowers security yields . asset spreads and competition for assets over the past few years , credit markets in the united states have generally experienced tightening credit spreads ( where credit spreads are defined as the difference between yields on securities with credit risk and yields on benchmark u.s. treasury securities ) . story_separator_special_tag 36 financial condition the following discussion addresses items from our consolidated balance sheet that had significant activity during the past year and should be read in conjunction with the notes to the consolidated financial statements contained within item 8 of part ii of this annual report on form 10-k. agency mbs activity related to our agency mbs for the year ended december 31 , 2012 is as follows : replace_table_token_7_th we utilized the majority of the proceeds from our equity capital raises during 2012 to purchase agency rmbs and expand our investments in agency cmbs io . we focused our purchases on shorter-duration agency rmbs to minimize our exposure to extension risk if interest rates were to increase in future periods , and we purchased cmbs io in order to diversify prepayment risk exposure in our portfolio . agency cmbs io are less prepayment sensitive than agency rmbs given the prepayment protection features of the loans underlying those securities . this helps to minimize the prepayment volatility of the investment portfolio . as of december 31 , 2012 , 65 % of our agency portfolio was comprised of fannie mae investments with the balance being comprised of 29 % freddie mac investments and 6 % ginnie mae investments compared to 67 % fannie mae investments and 33 % freddie mac investments as of december 31 , 2011. as of december 31 , 2012 , 73 % of our agency mbs investments are variable-rate mbs with the remainder fixed-rate mbs . the following table presents the weighted average coupon ( “ wac ” ) by weighted average months-to-reset ( “ mtr ” ) for the variable-rate portion of our agency rmbs portfolio based on par value as of december 31 , 2012 and december 31 , 2011 : replace_table_token_8_th ( 1 ) as of december 31 , 2012 , approximately 1 % of our agency arms and hybrid arms reset based upon the level of six month libor , 95 % reset based on the level of one-year libor and 4 % reset based on the level of one-year cmt . ( 2 ) as of december 31 , 2011 , approximately 2 % of our agency arms and hybrid arms reset based upon the level of six month libor , 89 % reset based on the level of one-year libor and 9 % reset based on the level of one-year cmt . as of december 31 , 2012 , approximately 95 % of our variable-rate agency rmbs portfolio resets based on one-year libor plus a weighted average rate of 1.81 % . because we typically finance these investments using 30-day repurchase agreement financing for which we pay interest expense based on one-month libor plus a spread , our net interest income is sensitive to changes in the interest rate environment . this sensitivity is discussed further in item 7a `` quantitative and qualitative disclosures about market risk `` of this annual report on form 10-k. non-agency mbs 37 activity related to our non-agency mbs for the year ended december 31 , 2012 is as follows : replace_table_token_9_th the combined notional balance of our investment in non-agency cmbs io securities as of december 31 , 2012 was $ 2.4 billion . the weighted average months to maturity for all of our non-agency cmbs ( including io securities ) as of december 31 , 2012 was 68 months with 72 % having origination dates of 2009 or later , 11 % between 2000 and 2005 , and the remainder prior to 2000. during 2012 , the company expanded its investments in non-agency cmbs and cmbs io based on the favorable risk-return profile of these investments . our non-agency cmbs investments consist principally of securities rated ' a ' or higher and are primarily freddie mac multifamily k certificates on pools of recently originated multifamily mortgage loans . these certificates are not guaranteed by freddie mac and therefore , repayment is based solely on the performance of the underlying pool of loans . these loans have prepayment lock-out provisions which reduce the risk of early repayment of our investment . the following table presents ratings information on our non-agency cmbs and cmbs io investments as of december 31 , 2012 as an indication of the overall credit risk of these investments : replace_table_token_10_th the following table presents the geographic diversification of the collateral underlying our non-agency cmbs by the top 5 states as of december 31 , 2012 : replace_table_token_11_th securitized mortgage loans and allowance for loan losses our securitized mortgage loans , net of allowance for loan losses decreased almost 38 % from december 31 , 2011 to december 31 , 2012. this is primarily due to our receipt of $ 40.8 million in principal payments , which includes unscheduled prepayments arising from increased refinancing activity during 2012 . 38 during the year ended december 31 , 2012 , one of our securitized commercial mortgage loans with an amortized cost of $ 3.6 million was liquidated , resulting in a recognized gain of $ 2.1 million . in addition , the terms for one of our securitized commercial mortgage loans were modified during the year ended december 31 , 2012. this loan is secured by a mixed-use property located in the midwest which has an appraised value in excess of the contractual payments due on the modified loan . the modification resulted in an effective yield as favorable to the company as the effective yield of the original loan . in accordance with asc 310-20 , the company accounted for this modified loan as a new loan which has an amortized cost basis of $ 8.2 million as of december 31 , 2012. our allowance for loan losses decreased approximately 82 % during the year ended december 31 , 2012 as we have experienced a significant decrease in our seriously delinquent mortgage loans . during the year ended december 31 , 2012 , we incurred charge offs of $ 2.3 million for

liquidity and capital resources our primary sources of liquidity include borrowings under repurchase arrangements , monthly principal and interest payments we receive on our investments , and cash . additional sources may also include proceeds from the sale of investments , equity offerings , issuances of collateralized financings , and payments received from counterparties from interest rate swap agreements . we use our liquidity to fund our investment purchases and other operating costs , to pay down borrowings , to make payments to counterparties as required under interest rate swap agreements , and to pay dividends on our common stock . the capital we raised during the past twelve months through offerings of common stock and series a preferred stock increased our available liquid assets as of december 31 , 2012 to $ 186.0 million compared to $ 134.1 million as of december 31 , 2011 . as of december 31 , 2012 , our liquid assets consist of unrestricted cash and cash equivalents of $ 55.8 million and $ 130.2 million in unencumbered agency mbs . unencumbered agency mbs are considered part of our liquid assets as we may pledge them to lenders and interest rate swap counterparties if we experience a margin call ( which is discussed below ) . we monitor our current and forecasted available liquidity on a daily basis . we perform sensitivity analysis on our liquidity based on changes in the value of our investments due to changes in interest rates , market credit spreads , lender haircuts and prepayment speeds . we also closely manage our debt-to-invested equity ratio ( which is equal to the ratio of debt versus equity financing of any investment ) as part of our liquidity management process . our current operating policies provide that recourse borrowings including repurchase agreements used to finance investments will be in the range of three to ten times our invested equity capital .


 Write a concise suspicious activity report of the following text delimited by triple backquotes. Return your response as a formal report which covers the key points highlighting the location,dates,entity names and account holder information in chronological order of the text.
     ```liquidity and capital resources our primary sources of liquidity include borrowings under repurchase arrangements , monthly principal and interest payments we receive on our investments , and cash . additional sources may also include proceeds from the sale of investments , equity offerings , issuances of collateralized financings , and payments received from counterparties from interest rate swap agreements . we use our liquidity to fund our investment purchases and other operating costs , to pay down borrowings , to make payments to counterparties as required under interest rate swap agreements , and to pay dividends on our common stock . the capital we raised during the past twelve months through offerings of common stock and series a preferred stock increased our available liquid assets as of december 31 , 2012 to $ 186.0 million compared to $ 134.1 million as of december 31 , 2011 . as of december 31 , 2012 , our liquid assets consist of unrestricted cash and cash equivalents of $ 55.8 million and $ 130.2 million in unencumbered agency mbs . unencumbered agency mbs are considered part of our liquid assets as we may pledge them to lenders and interest rate swap counterparties if we experience a margin call ( which is discussed below ) . we monitor our current and forecasted available liquidity on a daily basis . we perform sensitivity analysis on our liquidity based on changes in the value of our investments due to changes in interest rates , market credit spreads , lender haircuts and prepayment speeds . we also closely manage our debt-to-invested equity ratio ( which is equal to the ratio of debt versus equity financing of any investment ) as part of our liquidity management process . our current operating policies provide that recourse borrowings including repurchase agreements used to finance investments will be in the range of three to ten times our invested equity capital .
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 Suspicious Activity Report : as of december 31 , 2012 , we had an estimated net operating loss ( `` nol `` ) carryfoward of $ 135.9 million . as a result of our common stock offering in february 2012 , we underwent an `` ownership change `` under section 382 of the code ( `` section 382 `` ) . in general , if a company undergoes an ownership change under section 382 , the company 's ability to utilize an nol carryforward to offset its taxable income ( and , in our case , after taking the reit distribution requirements into account ) , becomes limited to a certain amount per year . for purposes of section 382 , an ownership change occurs if over a rolling three-year period , the percentage of the company stock owned by 5 % or greater shareholders has increased by more than 50 percentage points over the lowest percentage of common stock owned by such shareholders during the three-year period . based on management 's analysis and expert third-party advice , which necessarily includes certain assumptions regarding the characterization under section 382 of our use of capital raised by us , we determined that the ownership change under section 382 will limit our ability to use our nol carryforward to offset our taxable income to an estimated maximum amount of $ 13.4 million per year . the nol carryforward expires substantially beginning in 2020. trends and recent market impacts the following marketplace conditions and prospective trends have impacted and may continue to impact our future results of operations and our financial condition . for additional information about risks that may be posed by these trends , please refer 32 to part i , item 1a , `` risk factors `` and part ii , item 7a , `` quantitative and qualitative disclosures about market risk `` contained within this annual report on form 10-k. federal reserve monetary policy and the effects on agency rmbs and prepayments in september 2012 , the federal open market committee ( `` fomc `` ) announced qe3 by indicating that it will purchase $ 40 billion per month in fixed-rate agency rmbs , continue to reinvest principal repayments on its existing agency rmbs portfolio , and extend the average maturity of its holdings of securities . these actions are expected to increase the fomc 's holdings of longer-term securities by about $ 85 billion each month .. the federal reserve expects these measures to put downward pressure on long-term interest rates . while the federal reserve hopes that qe3 will expedite an economic recovery , stabilize prices , reduce unemployment and restart business and household spending , there is no way of knowing what impact qe3 or any future actions by the federal reserve will have on the prices and liquidity of agency rmbs or other securities in which we invest . the federal reserve indicated in january 2013 that qe3 would continue in 2013 and until improvements in economic conditions and labor markets are achieved . during the fourth quarter of 2012 , we received principal payments on our agency rmbs of $ 214.9 million . our average constant prepayment rate , or cpr , for our agency rmbs during the fourth quarter of 2012 was 24.3 % versus 23.4 % for the third quarter of 2012 , 20.8 % for the second quarter of 2012 and 21.4 % for the first quarter of 2012. as of december 31 , 2012 , the weighted average coupon on the mortgage loans underlying our agency rmbs was approximately 4.16 % , while the monthly average 30-year fixed mortgage rate and the 5-year hybrid arm mortgage rate as of that date , as published by freddie mac , were 3.66 % and 2.78 % , respectively . generally , the lower coupons available on new mortgage loans , the actions by the federal reserve and the low interest rate environment should entice borrowers to refinance their mortgage loans at lower rates . today , however , many obstacles exist to refinancing , including but not limited to , tighter lender underwriting standards , the lack of borrower 's equity in the underlying real estate and the lack of an acceptable level of income . these obstacles are currently contributing to limited refinancing of loans in our agency rmbs portfolio and are keeping prepayment speeds low relative to expectations and to historic prepayment rates in such a low interest rate environment . in an effort to increase refinancing of agency rmbs , the u.s. treasury created the home affordable refinance program , or harp , which seeks to ease refinancing restrictions for high loan-to-value borrowers . the harp program eases underwriting requirements for lenders and qualification conditions for borrows to extend loans which qualify for inclusion in agency rmbs . harp is currently set to expire on december 31 , 2013. given the continued low interest rate environment , the changes to harp , and the commitment by the federal reserve to keep long-term interest rates low , including the federal reserve 's actions through qe3 , we continue to expect somewhat elevated prepayment speeds on our agency rmbs into 2013. as explained more fully in this annual report on form 10-k , increased prepayments impact our net interest income by increasing the amortization expense on any investments we own at premiums to their par balance and lowers security yields . asset spreads and competition for assets over the past few years , credit markets in the united states have generally experienced tightening credit spreads ( where credit spreads are defined as the difference between yields on securities with credit risk and yields on benchmark u.s. treasury securities ) . story_separator_special_tag 36 financial condition the following discussion addresses items from our consolidated balance sheet that had significant activity during the past year and should be read in conjunction with the notes to the consolidated financial statements contained within item 8 of part ii of this annual report on form 10-k. agency mbs activity related to our agency mbs for the year ended december 31 , 2012 is as follows : replace_table_token_7_th we utilized the majority of the proceeds from our equity capital raises during 2012 to purchase agency rmbs and expand our investments in agency cmbs io . we focused our purchases on shorter-duration agency rmbs to minimize our exposure to extension risk if interest rates were to increase in future periods , and we purchased cmbs io in order to diversify prepayment risk exposure in our portfolio . agency cmbs io are less prepayment sensitive than agency rmbs given the prepayment protection features of the loans underlying those securities . this helps to minimize the prepayment volatility of the investment portfolio . as of december 31 , 2012 , 65 % of our agency portfolio was comprised of fannie mae investments with the balance being comprised of 29 % freddie mac investments and 6 % ginnie mae investments compared to 67 % fannie mae investments and 33 % freddie mac investments as of december 31 , 2011. as of december 31 , 2012 , 73 % of our agency mbs investments are variable-rate mbs with the remainder fixed-rate mbs . the following table presents the weighted average coupon ( “ wac ” ) by weighted average months-to-reset ( “ mtr ” ) for the variable-rate portion of our agency rmbs portfolio based on par value as of december 31 , 2012 and december 31 , 2011 : replace_table_token_8_th ( 1 ) as of december 31 , 2012 , approximately 1 % of our agency arms and hybrid arms reset based upon the level of six month libor , 95 % reset based on the level of one-year libor and 4 % reset based on the level of one-year cmt . ( 2 ) as of december 31 , 2011 , approximately 2 % of our agency arms and hybrid arms reset based upon the level of six month libor , 89 % reset based on the level of one-year libor and 9 % reset based on the level of one-year cmt . as of december 31 , 2012 , approximately 95 % of our variable-rate agency rmbs portfolio resets based on one-year libor plus a weighted average rate of 1.81 % . because we typically finance these investments using 30-day repurchase agreement financing for which we pay interest expense based on one-month libor plus a spread , our net interest income is sensitive to changes in the interest rate environment . this sensitivity is discussed further in item 7a `` quantitative and qualitative disclosures about market risk `` of this annual report on form 10-k. non-agency mbs 37 activity related to our non-agency mbs for the year ended december 31 , 2012 is as follows : replace_table_token_9_th the combined notional balance of our investment in non-agency cmbs io securities as of december 31 , 2012 was $ 2.4 billion . the weighted average months to maturity for all of our non-agency cmbs ( including io securities ) as of december 31 , 2012 was 68 months with 72 % having origination dates of 2009 or later , 11 % between 2000 and 2005 , and the remainder prior to 2000. during 2012 , the company expanded its investments in non-agency cmbs and cmbs io based on the favorable risk-return profile of these investments . our non-agency cmbs investments consist principally of securities rated ' a ' or higher and are primarily freddie mac multifamily k certificates on pools of recently originated multifamily mortgage loans . these certificates are not guaranteed by freddie mac and therefore , repayment is based solely on the performance of the underlying pool of loans . these loans have prepayment lock-out provisions which reduce the risk of early repayment of our investment . the following table presents ratings information on our non-agency cmbs and cmbs io investments as of december 31 , 2012 as an indication of the overall credit risk of these investments : replace_table_token_10_th the following table presents the geographic diversification of the collateral underlying our non-agency cmbs by the top 5 states as of december 31 , 2012 : replace_table_token_11_th securitized mortgage loans and allowance for loan losses our securitized mortgage loans , net of allowance for loan losses decreased almost 38 % from december 31 , 2011 to december 31 , 2012. this is primarily due to our receipt of $ 40.8 million in principal payments , which includes unscheduled prepayments arising from increased refinancing activity during 2012 . 38 during the year ended december 31 , 2012 , one of our securitized commercial mortgage loans with an amortized cost of $ 3.6 million was liquidated , resulting in a recognized gain of $ 2.1 million . in addition , the terms for one of our securitized commercial mortgage loans were modified during the year ended december 31 , 2012. this loan is secured by a mixed-use property located in the midwest which has an appraised value in excess of the contractual payments due on the modified loan . the modification resulted in an effective yield as favorable to the company as the effective yield of the original loan . in accordance with asc 310-20 , the company accounted for this modified loan as a new loan which has an amortized cost basis of $ 8.2 million as of december 31 , 2012. our allowance for loan losses decreased approximately 82 % during the year ended december 31 , 2012 as we have experienced a significant decrease in our seriously delinquent mortgage loans . during the year ended december 31 , 2012 , we incurred charge offs of $ 2.3 million for

