Repurchase Agreements (Tables)

9 Months Ended

Sep. 30, 2011

Repurchase Agreements

Schedule of Company's borrowings under repurchase agreements and associated assets pledged as collateral

(In Thousands)	September 30, 2011		December 31, 2010
Repurchase agreement borrowings secured by Agency MBS	$	6,415,512	$	5,057,328
Fair Value of Agency MBS pledged as collateral under repurchase agreements	$	6,746,336	$	5,366,345
Repurchase agreement borrowings secured by Non-Agency MBS (1)	$	1,602,151	$	934,941
Fair Value of Non-Agency MBS pledged as collateral under repurchase agreements (1) (2)	$	2,502,540	$	1,329,625
Cash pledged against Non-Agency MBS (i.e., restricted cash) under repurchase agreements	$	—	$	6,844

(1) Does not reflect Non-Agency MBS and repurchase borrowings that are components of Linked Transactions.

(2) Includes $2.458 billion and $462.0 million of Non-Agency MBS acquired from consolidated VIEs at September 30, 2011, and December 31, 2010, respectively, that are eliminated from the Company’s consolidated balance sheet.

Schedule of repricing information about borrowings under repurchase agreements

	September 30, 2011				December 31, 2010
Time Until Interest Rate Reset (Dollars in Thousands)	Balance (1)		Weighted Average Interest Rate		Balance (1)		Weighted Average Interest Rate
Within 30 days	$	5,835,230	0.48	%	$	3,986,428	0.61	%
Over 30 days to 3 months	2,052,674		0.75		1,879,741		0.39
Over 3 months to 6 months	111,559		1.00		96,100		0.48
Over 6 months to 12 months	5,200		3.15		7,700		3.15
Over 12 months to 24 months	13,000		3.15		12,300		3.15
Over 24 months to 36 months	—		—		10,000		3.15
Total	$	8,017,663	0.56	%	$	5,992,269	0.55	%

(1) At September 30, 2011 and December 31, 2010, the Company had repurchase agreements of $193.0 million and $567.3 million, respectively, that were linked to Non-Agency MBS purchases and accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table.  (See Note 4)

Schedule of contractual maturity information about repurchase agreements

	September 30, 2011
Contractual Maturity (Dollars in Thousands)	Balance (1)		Weighted Average Interest Rate
Overnight	$	—	—	%
Within 30 days	5,418,445		0.40
Over 30 days to 90 days	2,127,920		0.78
Over 90 days to 12 months	412,943		1.34
Over 12 months	58,355		2.44
Total	$	8,017,663	0.56	%

(1) At September 30, 2011, the Company had repurchase agreements of $193.0 million that were linked to Non-Agency MBS that were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table.  (See Note 4)

Schedule of information about counterparty for repurchase agreements and/or Linked Transactions for which the entity had greater than 10% of stockholders' equity at risk

	September 30, 2011
Counterparty (Dollars in Thousands)	Counterparty Rating (1)	Amount at Risk (2)		Weighted Average Months to Maturity for Repurchase Agreements	Percent of Stockholders’ Equity
Credit Suisse	A/Aa2/AA-	$	502,921	2	19.0	%

(1) As rated at September 30, 2011 by S&P, Moody’s and Fitch, Inc., respectively.

(2)The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements and repurchase agreements underlying Linked Transactions, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral and MBS underlying Linked Transactions, including accrued interest receivable on such securities.