
	Principal Balance		Investment Premiums		*Basis*		Carrying Amount ^(a)		Net WAC ^(b)			Average Yield ^(b)
*September 30, 2011*
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	4,260	$	12	$	4,272	$	4,280		6.74	%		6.66	%
ARMs		10,401,439		284,830		10,686,269		10,904,149		2.90			2.11
Ginnie Mae ARMs		1,264,684		35,256		1,299,940		1,318,991		3.12			2.57

		11,670,383		320,098		11,990,481		12,227,420		2.92			2.16

Residential mortgage loans:
Fixed-rate		3,291		5		3,296		3,296		6.96			6.62
ARMs		6,001		22		6,023		6,023		3.48			3.52

		9,292		27		9,319		9,319		4.71			4.61
Collateral for structured financings		3,307		54		3,361		3,361		8.04			7.54

	$	11,682,982	$	320,179	$	12,003,161	$	12,240,100		2.93			2.17

*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 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 quarter then ended, calculated including the amortization of investment premiums and excluding unrealized gains and losses.