Question-and-Answer Session
Operator
(Operator Instructions) Our first question comes from Steven Delaney – JMP Securities.
Steven Delaney – JMP Securities
It appears in the P&L there wasn’t any description of the transaction but it look likes you terminated some swaps and took a modest charge to do that. Could you tell us a little bit about the notional amount that you terminated and maybe what you have left? I think it was like $4.2 billion at June. Where were you at September 30 and could you let us know what the average pay rate was at the end of the third quarter?
William S. Gorin
It wasn’t a change in portfolio. One swap which I believe the notional amount was $27 million was with Lehman Brothers.
Steven Delaney – JMP Securities
Well that explains that.
William S. Gorin
So it wasn’t that we terminated a swap it was just they’re in technical default because they’re bankrupt so it’s as simple as that. There really wasn’t that much change to the swap portfolio.
Steven Delaney – JMP Securities
I see what you’re saying, you took a charge related to that swap position vis-à-vis collateral or something but are you saying the protection that –
William S. Gorin
A part of it was the swap had a negative value when we terminated was part of it and another part of it was about a couple of hundred thousand was they had a little more collateral than they were entitled to which we were credited for. It was less than $1 million, we had a very small exposure in Lehman, and it was one small swap. So it was no real change to the swap portfolio Steve. By the way, just so everyone knows, the 10Q will probably be out later today to give you all that kind of detail.
Steven Delaney – JMP Securities
Just one final thing, it looks like you sold some shares, $8 million to $9 million and I may have missed this Bill, did you guys adopt like a continuous offering program? I guess I just missed if there was an 8K filing or a prospectus on that.
William S. Gorin
We actually have had the CDO program for a long time but since we’ve done a serious of equity raises we’ve been locked out of the market forever which is why you might have forgotten. But, we’ve always had a CDO program.
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