Investments In Securities And Interest Rate Swap And Cap Contracts (Tables)

12 Months Ended

Dec. 31, 2011

Investments In Securities And Interest Rate Swap And Cap Contracts [Abstract]

Assets And Liabilities Measured At Fair Value On A Recurring Basis

December 31, 2011


	Fair Value Measurements Using
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets
Agency RMBS	$	—	$	9,372,454	$	—	$	9,372,454
U.S. Treasury Bills		74,999		—		—		74,999
CLOs		—		—		18,675		18,675
Interest rate cap contracts		—		5,966		—		5,966

Total	$	74,999	$	9,378,420	$	18,675	$	9,472,094

Liabilities
Interest rate swap contracts	$	—	$	79,476	$	—	$	79,476

December 31, 2010


	Fair Value Measurements Using
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets
Agency RMBS	$	—	$	6,310,570	$	—	$	6,310,570
CLOs		—		—		20,478		20,478
Interest rate cap contracts		—		30,984		—		30,984
Interest rate swap contracts ^(a)		—		9,113		—		9,113

Total	$	—	$	6,350,667	$	20,478	$	6,371,145

Liabilities
Interest rate swap contracts^(a)	$	—	$	9,757	$	—	$	9,757

^(a) Subject to master netting arrangements

Schedule Of Fair Value Reconciliation, Level 3


	Year Ended December 31,
	2011			2010
CLOs
Beginning balance Level 3 assets	$	20,478		$	—
Change in net unrealized appreciation (depreciation)		4,062			—
Sales, at cost		(995	)		—
Cash payments recorded as a reduction of cost basis		(4,870	)		—
Transfers into Level 3		—			20,478

Ending balance Level 3 assets	$	18,675		$	20,478

Agency RMBS Portfolio

December 31, 2011


	Par Value		Fair Value		Weighted Average
Asset Type	Par Value		Fair Value		Cost/Par		Fair Value/Par		MTR⁽¹⁾			Coupon			CPR⁽²⁾
	(in thousands)
10 Year Fixed Rate	$	272,115	$	284,948	$	103.96	$	104.72		N/A			3.50	%		13.6	%
15 Year Fixed Rate		4,763,965		5,010,121		102.53		105.17		N/A			3.79	%		17.8	%
20 Year Fixed Rate		551,766		585,103		102.32		106.04		N/A			4.14	%		28.1	%
30 Year Fixed Rate		239,747		259,123		103.09		108.08		N/A			5.00	%		26.3	%
Hybrid ARMs		3,098,024		3,233,159		102.31		104.36		64.0			3.29	%		20.3	%

Total/Weighted Average	$	8,925,617	$	9,372,454	$	102.50	$	105.01		64.0	⁽ ³ ⁾		3.66	%		19.5	%

December 31, 2010


	Par Value		Fair Value		Weighted Average
Asset Type	Par Value		Fair Value		Cost/Par		Fair Value/Par		MTR⁽¹⁾			Coupon			CPR⁽²⁾
	(in thousands)
15 Year Fixed Rate	$	3,549,194	$	3,622,862	$	102.16	$	102.08		N/A			3.87	%		23.1	%
20 Year Fixed Rate		647,360		660,237		102.38		101.99		N/A			4.14	%		6.9	%
30 Year Fixed Rate		223,047		238,549		105.60		106.95		N/A			5.55	%		28.2	%
Hybrid ARMs		1,737,307		1,788,922		102.70		102.97		63.2			3.43	%		18.4	%

Total/Weighted Average	$	6,156,908	$	6,310,570	$	102.46	$	102.50		63.2	⁽ ³ ⁾		3.83	%		18.9	%

⁽¹⁾

MTR, or "Months to Reset" is the number of months remaining before the fixed rate on a hybrid ARM becomes a variable rate. At the end of the fixed period, the variable rate will be determined by the margin and the pre-specified caps of the ARM. After the fixed period, 100% of the hybrid ARMS in the portfolio reset annually.

⁽²⁾

CPR, or "Constant Prepayment Rate," is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year. Specifically, the constant prepayment rate is an annualized version of the prior three month prepayment rate. Securities with no prepayment history are excluded from this calculation.

⁽ ³ ⁾

Weighted average months to reset of our Hybrid ARM portfolio.

Summary Of Interest Rate Swap And Cap Contracts


Year Ended December 31, 2011
Trade Date	Transaction	Notional
February 2011	Opened	$	500,000
March 2011	Opened		250,000
May 2011	Terminated		(300,000	)
May 2011	Opened		600,000
October 2011	Terminated		(250,000	)
December 2011	Opened		250,000

Net Increase		$	1,050,000


Year Ended December 31, 2010
Trade Date	Transaction	Notional
April 2010	Terminated	$	(640,000	)
April 2010	Opened		400,000
May 2010	Opened		740,000
May 2010	Terminated		(400,000	)
June 2010	Opened		400,000
June 2010	Terminated		(100,000	)

July 2010	Opened		750,000

August 2010	Opened		200,000
August 2010	Terminated		(200,000	)
September 2010	Opened		500,000
October 2010	Terminated		(240,000	)
October 2010	Opened		540,000
November 2010	Opened		200,000
November 2010	Terminated		(200,000	)
December 2010	Opened		1,700,000

Net Increase		$	3,650,000

Schedule Of Notional Amount And Fair Value Of Derivatives


Derivatives not designated as hedging instruments under ASC 815^(a)
Interest Rate Swaps	Notional Amount		Fair Value			Statement of Assets and Liabilities Location
December 31, 2011	$	4,740,000	$	(79,476	)	Liabilities
December 31, 2010		2,140,000		9,113		Assets
December 31, 2010		1,550,000		(9,757	)	Liabilities

Interest Rate Caps	Notional Amount		Fair Value			Statement of Assets and Liabilities Location
December 31, 2011	$	700,000	$	5,966		Assets
December 31, 2010		700,000		30,984		Assets


		Amount of Gain or (Loss) Recognized in Income on Derivative
		Year Ended December 31,
Derivatives not designated as hedging Instruments under ASC 815^(a)	Location of Gain or (Loss) Recognized in Income on Derivative	2011			2010			2009
Interest rate swap and cap contracts	Net gain (loss) from interest rate swap and cap contracts	$	(160,402	)	$	(38,915	)	$	(9,718	)

^(a)	See note 2 for additional information on the Company's purpose for entering into interest rate swaps and caps and the decision not to designate them as hedging instruments.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income, and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

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