EXHIBIT 10.8 TAX SHARING AGREEMENT

Exhibit 10.8

TAX SHARING AGREEMENT

by and between

FBR TRS HOLDINGS, INC.

and

FBR CAPITAL MARKETS CORPORATION

dated as of

July 20, 2006

TAX SHARING AGREEMENT

THIS TAX SHARING AGREEMENT (“ Agreement ”) is made and effective as of the 20 ^th day of July 2006, by and between FBR TRS Holdings, Inc., a Virginia corporation (“ TRS Holdings ”), and FBR Capital Markets Corporation, a Virginia corporation (“ FBR Capital Markets ”).

RECITALS

A. As of December 31, 2003, each of TRS Holdings, Pegasus Capital Corporation, a Delaware corporation, FBR Asset Management Holdings, Inc., FBR Bancorp, Inc., FBR National Trust Company, Money Management Advisers, Inc., FBR Fund Advisers, Inc., FBR Investment Management, Inc., Friedman, Billings, Ramsey & Co., Inc., FBR Capital Markets Holdings, Inc., and FBR Investment Services, Inc., entered into a Tax Sharing Agreement (the TRS Tax Sharing Agreement ”). The parties to the TRS Tax Sharing Agreement are all taxable REIT subsidiaries (“ TRSs ”) of Friedman Billings Ramsey Group, Inc. and are members of an affiliated group (the “ TRS Holdings Affiliated Group ”) within the meaning of section 1504(a) of the Internal Revenue Code of 1986, as amended (the “ Code ”), of which TRS Holdings is the common parent corporation.

B. The TRS Holdings Affiliated Group filed a consolidated federal income tax return for the taxable year that began April 1, 2003 and ended December 31, 2003 and for each calendar year thereafter.

C. TRS Holdings has formed FBR Capital Markets as a wholly-owned subsidiary of TRS Holdings pursuant to Articles of Incorporation filed with the State Corporation Commission of the Commonwealth of Virginia on June 9, 2006 and Articles of Amendment filed with the State Corporation Commission of the Commonwealth of Virginia on June 21, 2006. Pursuant to a Contribution Agreement dated as of July 20, 2006 between TRS Holdings and FBR Capital Markets, TRS Holdings is contributing 100% of the outstanding capital stock of FBR Asset Management Holdings, Inc. and FBR Capital Markets Holdings, Inc. to FBR Capital Markets in exchange for the issuance of additional stock by FBR Capital Markets (the “ Contribution ”). FBR Asset Management Holdings, Inc. owns 100% of the capital stock of each of FBR Fund Advisers, Inc. and FBR Investment Management, Inc. FBR Capital Markets Holdings, Inc. owns 100% of the capital stock of each of Friedman, Billings, Ramsey & Co., Inc. (which, in turn, owns 100% of the capital stock of FBRC, Ltd.) and Friedman, Billings, Ramsey International, Ltd. FBR Asset Management Holdings, Inc., FBR Capital Markets Holdings, Inc., and their subsidiaries will be referred to collectively in this Agreement as the “ FBR Capital Markets Subsidiaries ”). After the Contribution, pursuant to an offering memorandum dated as of July 14, 2006, 12,066,667 shares of the common stock of FBR Capital Markets are being issued and sold by the Company (the “ Offering ”). After the Offering, it is expected that TRS Holdings will own approximately 72.7% of the outstanding capital stock of FBR Capital Markets (or approximately 70.7% of the outstanding capital stock if the initial purchaser/placement agent’s additional allotment option is exercised in full).

D. As a result of the Contribution and the Offering, FBR Capital Markets and the FBR Capital Markets Subsidiaries will not be members of the TRS Holdings Affiliated Group beginning with their taxable year beginning on the day following the Offering and ending December 31, 2006. The parties hereto desire to establish a method for allocating the tax liabilities and tax benefits of the TRS Holdings Affiliated Group for taxable years (or portions thereof) beginning prior to the Offering (“ Pre-Offering Taxable Years ”) among the members of the TRS Holdings Affiliated Group.

AGREEMENT

NOW, THEREFORE, in consideration of the premises and of the mutual covenants herein contained, it is hereby agreed as follows:

1. Federal Income Tax Returns for Pre-Offering Taxable Years . TRS Holdings shall prepare and timely file the consolidated federal income tax returns and any amended returns of the TRS Holdings Affiliated Group for all Pre-Offering Taxable Years.

2. Apportionment of Tax Liability for Pre-Offering Taxable Years . The consolidated federal income tax liability of the TRS Holdings Affiliated Group for all Pre-Offering Taxable Years shall be apportioned among its members in accordance with the method set forth in section 1552(a)(3) of the Code and sections 1.1502-33(d)(3), 1.1552-1(a)(3), and 1.1552-1(b) of the Treasury regulations. TRS Holdings shall allocate any such tax liability of the TRS