
	*Principal* *Balance*		Investment Premiums		*Basis*		*Carrying* *Amount ^(a)*		*Net* *WAC ^(b)*	*Average* *Yield ^(b)*


*June 30, 2011*
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	4,386		$ 13	$	4,399	$	4,410	6.77%	6.49%
ARMs		9,705,239		251,605		9,956,844		10,154,164	3.03	2.36
Ginnie Mae ARMs		1,206,258		32,949		1,239,207		1,252,697	3.20	2.54

		10,915,883		284,567		11,200,450		11,411,271	3.05	2.38

Residential mortgage loans:
Fixed-rate		3,351		6		3,357		3,357	6.97	6.50
ARMs		6,118		23		6,141		6,141	3.49	3.98

		9,469		29		9,498		9,498	4.72	4.84
Collateral for structured financings		3,337		55		3,392		3,392	8.04	7.88

	$	10,928,689		$284,651	$	11,213,340	$	11,424,161	3.05	2.38

*December 31, 2010*
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	4,927		$ 14	$	4,941	$	4,955	6.78%	6.60%
ARMs		7,660,269		158,260		7,818,529		7,991,122	3.09	2.49
Ginnie Mae ARMs		489,579		8,030		497,609		505,376	3.12	2.57

		8,154,775		166,304		8,321,079		8,501,453	3.09	2.50

Residential mortgage loans:
Fixed-rate		3,455		6		3,461		3,461	6.98	7.03
ARMs		7,235		24		7,259		7,259	3.45	3.79

		10,690		30		10,720		10,720	4.59	4.83
Collateral for structured financings		3,461		57		3,518		3,518	7.97	8.07
Senior notes		–		–		–		–	–	8.75

	$	8,168,926		$166,391	$	8,335,317	$	8,515,691	3.10	2.51

(a)

Includes unrealized gains and losses for securities classified as available-for-sale, if applicable, (see NOTE 9).

(b)

Net WAC is presented net of servicing and other fees and represents the cash yield inherent in the portfolio as of the indicated balance sheet date, before amortization of investment premiums. Average yield is presented for the quarter then ended, calculated including the amortization of investment premiums and excluding unrealized gains and losses.