
	*Principal* *Balance*		*Investment* *Premiums*		*Basis*		*Carrying* *Amount ^(a)*		*Net* *WAC ^(b)*			*Average* *Yield ^(b⁾*
*December 31, 2011*
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	4,015	$	12	$	4,027	$	4,035		6.73	%		6.60	%
ARMs		10,378,503		285,963		10,664,466		10,880,200		2.85			2.21
Ginnie Mae ARMs		1,312,049		37,191		1,349,240		1,368,197		3.02			2.48

		11,694,567		323,166		12,017,733		12,252,432		2.87			2.24

Residential mortgage loans:
Fixed-rate		3,234		5		3,239		3,239		6.96			6.39
ARMs		5,887		22		5,909		5,909		3.48			3.62

		9,121		27		9,148		9,148		4.71			4.58
Collateral for structured financings		3,272		54		3,326		3,326		8.04			7.67

	$	11,706,960	$	323,247	$	12,030,207	$	12,264,906		2.87			2.24

*December 31, 2010*
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	4,927	$	14	$	4,941	$	4,955		6.78	%		6.49	%
ARMs		7,660,269		158,260		7,818,529		7,991,122		3.09			2.56
Ginnie Mae ARMs		489,579		8,030		497,609		505,376		3.12			3.00

		8,154,775		166,304		8,321,079		8,501,453		3.09			2.59

Residential mortgage loans:
Fixed-rate		3,455		6		3,461		3,461		6.98			7.01
ARMs		7,235		24		7,259		7,259		3.45			3.87

		10,690		30		10,720		10,720		4.59			4.87
Collateral for structured financings		3,461		57		3,518		3,518		7.97			8.11
Senior notes		–		–		–		–		–			9.45

	$	8,168,926	$	166,391	$	8,335,317	$	8,515,691		3.10			2.60

(a)

Includes unrealized gains and losses for securities classified as available-for-sale, if applicable, (see NOTE 8).

(b)

Net WAC is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees and before amortization of investment premiums as of the indicated balance sheet date. Average yield is presented for the year then ended, calculated including the amortization of investment premiums and excluding unrealized gains and losses.