Derivatives (Tables)

12 Months Ended

Dec. 31, 2011

Derivatives

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

		Balance Sheet	December 31,			December 31,
Derivative Instrument	Designation	Location	2011			2010
(In Thousands)
Swaps, at fair value ($125.0 million notional)	Hedging	Assets	$	26		$	—
Swaptions, at fair value	Hedging	Assets	$	—		$	—
Linked Transactions, at fair value	Non-Hedging	Assets	$	55,801		$	179,915
Swaps, at fair value ($3.253 billion notional)	Hedging	Liabilities	$	(114,220	)	$	(139,142	)

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

Linked Transactions at December 31, 2011

Linked Repurchase Agreements

			Weighted
			Average
			Interest
Maturity or Repricing	Balance		Rate
(Dollars in Thousands)
Within 30 days	$	141,719	1.89	%
>30 days to 90 days	29,178		1.81
Total	$	170,897	1.88	%

Linked MBS

							Weighted
							Average
			Amortized		Par/Current		Coupon
Non-Agency MBS	Fair Value		Cost		Face		Rate
(Dollars in Thousands)
Rated AAA	$	29,057	$	29,917	$	30,675	3.31	%
Rated AA	17,427		16,858		17,297		5.00
Rated BBB	41,825		42,419		49,781		2.81
Rated CCC	20,782		20,988		26,680		4.42
Rated CC	43,644		47,060		61,470		6.00
Rated C	32,870		36,934		45,857		5.20
Rated D	40,364		43,419		57,776		5.54
Total	$	225,969	$	237,595	$	289,536	4.74	%

Linked Transactions at December 31, 2010

Linked Repurchase Agreements

			Weighted
Maturity or Repricing	Balance		Average Interest Rate
(Dollars in Thousands)
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	Fair Value		Amortized Cost		Par/Current Face		Coupon Rate
(Dollars in Thousands)
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 Gains and Net Interest	For the Year Ended December 31,
Income from Linked Transactions	2011			2010			2009
(In Thousands)
Interest income attributable to MBS underlying Linked Transactions	$	25,592		$	35,313		$	6,249
Interest expense attributable to linked repurchase agreement borrowings underlying Linked Transactions	(4,794		)	(6,432		)	(1,254		)
Change in fair value of Linked Transactions included in earnings	(17,783		)	24,881			3,834
Unrealized net gains and net interest income from Linked Transactions	$	3,015		$	53,762		$	8,829

Schedule of assets pledged as collateral against swaps

	December 31,
(In Thousands)	2011		2010
Agency MBS, at fair value	$	117,687	$	153,534
Restricted cash	15,502		35,083
Total assets pledged against derivative contracts	$	133,189	$	188,617

Schedule of information about swaps

	December 31, 2011						December 31, 2010
			Weighted						Weighted
			Average		Weighted				Average		Weighted
	Notional		Fixed-Pay		Average Variable		Notional		Fixed-Pay		Average Variable
Maturity (1)	Amount		Interest Rate		Interest Rate (2)		Amount		Interest Rate		Interest Rate (2)
(Dollars in Thousands)
Within 30 days	$	34,056	4.05	%	0.37	%	$	55,267	3.90	%	0.28	%
Over 30 days to 3 months	120,001		4.43		0.38		160,589		4.35		0.27
Over 3 months to 6 months	275,351		2.54		0.33		169,258		4.02		0.28
Over 6 months to 12 months	528,894		4.42		0.39		257,482		4.09		0.28
Over 12 months to 24 months	974,352		2.78		0.30		833,302		4.40		0.27
Over 24 months to 36 months	685,042		2.28		0.31		849,351		3.10		0.26
Over 36 months to 48 months	710,170		1.96		0.29		360,042		3.32		0.27
Over 48 months to 60 months	50,000		2.13		0.29		120,170		2.87		0.27
Total Swaps	$	3,377,866	2.80	%	0.32	%	$	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

	For the Year Ended December 31,
(Dollars in Thousands)	2011			2010			2009
Interest expense attributable to Swaps	$	95,677		$	111,791		$	120,834
Weighted average Swap rate paid	3.13		%	3.97		%	4.22		%
Weighted average Swap rate received	0.25		%	0.30		%	0.67		%

Schedule of impact of hedging instruments on accumulated other comprehensive (loss)/income

	For the Year Ended December 31,
(In Thousands)	2011			2010			2009
Accumulated other comprehensive loss from derivative hedging instruments:
Balance at beginning of period	$	(139,142	)	$	(152,463	)	$	(237,291	)
Unrealized gain on Swaps, net	24,948			13,321			84,828
Balance at end of period	$	(114,194	)	$	(139,142	)	$	(152,463	)