Derivatives (Tables)

6 Months Ended

Jun. 30, 2011

Derivatives

Schedule of fair value of derivative instruments and their balance sheet location

Derivative Instrument		Balance Sheet	June 30,			December 31,
(In Thousands)	Designation	Location	2011			2010
Swaps, at fair value ($405.0 million notional)	Hedging	Assets	$	689		$	—
Swaptions, at fair value	Hedging	Assets	$	1,154		$	—
Linked Transactions, at fair value	Non-Hedging	Assets	$	60,022		$	179,915
Swaps, at fair value ($3.210 billion notional)	Hedging	Liabilities	$	(125,320	)	$	(139,142	)

Schedule of information about the Non-Agency MBS and repurchase agreements underlying the Linked Transactions

Linked Transactions at June 30, 2011

Linked Repurchase Agreements

Maturity or Repricing (Dollars in Thousands)	Balance		Weighted Average Interest Rate
Within 30 days	$	225,385	1.55	%
Total	$	225,385	1.55	%

Linked MBS

							Weighted
							Average
Non-Agency MBS			Amortized		Par/Current		Coupon
(Dollars in Thousands)	Fair Value		Cost		Face		Rate
Rated AAA	$	31,450	$	31,325	$	32,231	3.34	%
Rated AA	20,056		19,193		19,663		5.00
Rated BBB	29,109		27,848		32,279		3.10
Rated CCC	34,905		34,879		43,736		4.76
Rated CC	68,006		70,177		90,674		5.92
Rated C	68,792		71,359		91,068		6.00
Rated D	31,973		32,985		42,630		5.44
Total	$	284,291	$	287,766	$	352,281	5.19	%

Linked Transactions at December 31, 2010

Linked Repurchase Agreements

			Weighted
Maturity or Repricing			Average
(Dollars in Thousands)	Balance		Interest Rate
Within 30 days	$	289,522	1.62	%
>30 days to 90 days	277,765		1.62
Total	$	567,287	1.62	%

Linked MBS

							Weighted
							Average
Non-Agency MBS			Amortized		Par/Current		Coupon
(Dollars in Thousands)	Fair Value		Cost		Face		Rate
Rated AAA	$	46,710	$	46,367	$	47,151	4.13	%
Rated AA	57,634		54,176		61,389		3.51
Rated A	36,440		34,620		41,984		2.53
Rated BBB	69,397		66,848		78,741		3.38
Rated BB	14,536		14,456		17,513		2.51
Rated B	129,962		121,198		139,763		4.28
Rated CCC	216,398		211,302		255,667		4.98
Rated CC	89,833		86,509		110,518		5.45
Rated C	78,181		78,038		100,204		5.77
Unrated	5,278		5,220		10,350		6.00
Total	$	744,369	$	718,734	$	863,280	4.56	%

Schedule of information about the components of the unrealized net (losses)/gains and net interest income from Linked Transactions

Components of Unrealized Net (Losses)/Gains and Net Interest	Three Months Ended						Six Months Ended
Income from Linked Transactions	June 30,						June 30,
(In Thousands)	2011			2010			2011			2010
Interest income attributable to MBS underlying Linked Transactions	$	7,407		$	8,225		$	16,844		$	15,228
Interest expense attributable to linked repurchase agreement borrowings underlying Linked Transactions	(1,308		)	(1,402		)	(3,074		)	(2,670		)
Change in fair value of Linked Transactions included in earnings	(11,712		)	374			(4,533		)	7,439
Unrealized net (losses)/gains and net interest income from Linked Transactions	$	(5,613	)	$	7,197		$	9,237		$	19,997

Schedule of assets pledged as collateral against swaps

(In Thousands)	June 30, 2011		December 31, 2010
Agency MBS, at fair value	$	130,671	$	153,534
Restricted cash	22,493		35,083
Total assets pledged against derivative contracts	$	153,164	$	188,617

Schedule of information about swaps

	June 30, 2011						December 31, 2010
			Weighted						Weighted
			Average		Weighted				Average		Weighted
Maturity (1)	Notional		Fixed-Pay		Average Variable		Notional		Fixed-Pay		Average Variable
(Dollars in Thousands)	Amount		Interest Rate		Interest Rate (2)		Amount		Interest Rate		Interest Rate (2)
Within 30 days	$	46,764	3.96	%	0.23	%	$	55,267	3.90	%	0.28	%
Over 30 days to 3 months	84,619		4.10		0.23		160,589		4.35		0.27
Over 3 months to 6 months	126,098		4.13		0.23		169,258		4.02		0.28
Over 6 months to 12 months	429,408		3.19		0.21		257,482		4.09		0.28
Over 12 months to 24 months	1,112,182		3.07		0.21		833,302		4.40		0.27
Over 24 months to 36 months	909,062		2.92		0.19		849,351		3.10		0.26
Over 36 months to 48 months	857,214		2.24		0.19		360,042		3.32		0.27
Over 48 months to 60 months	50,000		2.13		0.19		120,170		2.87		0.27
Total Swaps	$	3,615,347	2.91	%	0.20	%	$	2,805,461	3.74	%	0.27	%

(1)  Each maturity category reflects contractual amortization and/or maturity of notional amounts.

(2)  Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts monthly or quarterly based on one-month or three-month LIBOR, respectively.

Schedule of interest expense and the weighted average interest rate paid and received on swaps

	Three Months Ended  June 30,						Six Months Ended  June 30,
(Dollars in Thousands)	2011			2010			2011			2010
Interest expense attributable to Swaps	$	24,725		$	28,581		$	48,759		$	57,716
Weighted average Swap rate paid	3.26		%	3.98		%	3.45		%	4.11		%
Weighted average Swap rate received	0.23		%	0.31		%	0.25		%	0.28		%

Schedule of impact of hedging instruments on accumulated other comprehensive income

	Three Months Ended  June 30,						Six Months Ended  June 30,
(In Thousands)	2011			2010			2011			2010
Accumulated other comprehensive loss from derivative hedging instruments:
Balance at beginning of period	$	(113,471	)	$	(153,750	)	$	(139,142	)	$	(152,463	)
Unrealized (loss)/gain on Swaps, net	(11,160		)	(13,929		)	14,511			(15,216		)
Unrealized gain on Swaptions	227			—			227			—
Balance at end of period	$	(124,404	)	$	(167,679	)	$	(124,404	)	$	(167,679	)