Residential Mortgage Investments (Tables)

3 Months Ended

Mar. 31, 2012

Residential Mortgage Investments [Abstract]

Schedule Of Residential Mortgage Investments

	Unpaid Principal Balance		Investment Premiums		Amortized Cost Basis		Carrying Amount (a)		Net WAC (b)			Average Yield (b)
March 31, 2012
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	3,754	$	10	$	3,764	$	3,771		6.71	%		6.49	%
ARMs		11,082,398		318,294		11,400,692		11,655,508		2.83			2.11
Ginnie Mae ARMs		1,284,457		36,163		1,320,620		1,341,108		2.94			2.32
		12,370,609		354,467		12,725,076		13,000,387		2.84			2.14
Residential mortgage loans:
Fixed-rate		3,179		5		3,184		3,184		6.96			6.79
ARMs		5,747		21		5,768		5,768		3.47			3.59
		8,926		26		8,952		8,952		4.72			4.72
Collateral for structured financings		3,068		52		3,120		3,120		8.07			7.39
	$	12,382,603	$	354,545	$	12,737,148	$	13,012,459		2.84			2.14
December 31, 2011
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	4,015	$	12	$	4,027	$	4,035		6.73	%		6.55	%
ARMs		10,378,503		285,963		10,664,466		10,880,200		2.85			2.08
Ginnie Mae ARMs		1,312,049		37,191		1,349,240		1,368,197		3.02			2.31
		11,694,567		323,166		12,017,733		12,252,432		2.87			2.11
Residential mortgage loans:
Fixed-rate		3,234		5		3,239		3,239		6.96			6.58
ARMs		5,887		22		5,909		5,909		3.48			3.66
		9,121		27		9,148		9,148		4.71			4.69
Collateral for structured financings		3,272		54		3,326		3,326		8.04			7.60
	$	11,706,960	$	323,247	$	12,030,207	$	12,264,906		2.87			2.11

(a) Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale (see NOTE 8).

(b) Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date. Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments. Average yield is presented for the quarter then ended, and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the "cash yield") less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments.