2.2.0.7 false Real Estate Securities 10801 - Disclosure - Real Estate Securities true false false false 1 USD false false Unit12 Standard http://www.xbrl.org/2003/iso4217 USD iso4217 0 Unit13 Divide http://www.xbrl.org/2003/iso4217 USD iso4217 http://www.xbrl.org/2003/instance shares xbrli 0 Unit1 Standard http://www.xbrl.org/2003/instance shares xbrli 0 $ 5 Real Estate Securities 3 us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock us-gaap true na duration No definition available. false false false false false false false false false false false false 1 false false false false 0 0 <div> <div style="min-width: 708px; text-align: center;"> <h2 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold 10pt/12pt serif; padding-top: 5pt;">Note 8. Real Estate Securities </h2> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">We invest in third party residential, commercial, and CDO securities. The following table presents the fair values of our real estate securities by collateral type and entity as of June 30, 2010 and December 31, 2009. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">June 30, 2010<br />(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Redwood</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">The Fund</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Acacia</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total<br />Securities</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Residential</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">725,605</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">21,135</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">197,167</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">943,907</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Commercial</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">7,610</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">48,979</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">56,589</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">CDO</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">1,132</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">3,945</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">11,384</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">16,461</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total Real Estate Securities</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">734,347</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">25,080</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">257,530</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">1,016,957</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">December 31, 2009<br />(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Redwood</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">The Fund</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Acacia</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total<br />Securities</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Residential</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">770,916</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">32,884</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">201,367</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">1,005,167</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Commercial</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">9,200</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">54,206</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">63,406</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">CDO</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">1,247</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">4,067</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">13,858</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">19,172</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total Real Estate Securities</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">781,363</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">36,951</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">269,431</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">1,087,745</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The following table presents our securities by trading and AFS, collateral type, and entity as of June 30, 2010 and December 31, 2009. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" rowspan="2">June 30, 2010<br />(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">Trading</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">AFS</td></tr> <tr><td style="text-align: center; font-size: 10pt; vertical-align: text-bottom; font-weight: normal;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Redwood</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Acacia</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Redwood</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">The Fund</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Senior Securities<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Residential prime</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">4,653</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">4,653</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">309,702</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">309,702</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Residential non-prime</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">16,763</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">100,832</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">117,595</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">303,634</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">15,451</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">319,085</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Commercial</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">10,832</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">10,832</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total Senior Securities</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">16,763</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">116,317</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">133,080</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">613,336</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">15,451</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">628,787</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Re-REMIC Securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">69,070</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">69,070</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Subordinate Securities<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Residential prime</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">381</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">23,415</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">23,796</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">16,025</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">16,025</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Residential non-prime</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">188</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">68,267</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">68,455</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">9,842</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">5,684</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">15,526</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Commercial</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">38,147</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">38,147</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">7,610</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">7,610</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">CDO</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">1,132</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">11,384</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">12,516</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">3,945</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">3,945</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total Subordinate Securities</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">1,701</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">141,213</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">142,914</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">33,477</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">9,629</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">43,106</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total Real Estate Securities</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">18,464</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">257,530</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">275,994</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">715,883</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">25,080</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">740,963</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" rowspan="2">December 31, 2009<br />(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">Trading</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">AFS</td></tr> <tr><td style="text-align: center; font-size: 10pt; vertical-align: text-bottom; font-weight: normal;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Redwood</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Acacia</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Redwood</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">The Fund</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Senior Securities<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Residential prime</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">4,826</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">4,826</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">329,208</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">329,208</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Residential non-prime</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">6,084</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">100,397</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">106,481</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">308,868</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">26,735</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">335,603</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Commercial</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">9,508</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">9,508</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total Senior Securities</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">6,084</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">114,731</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">120,815</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">638,076</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">26,735</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">664,811</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Re-REMIC Securities</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">105,951</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">105,951</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Subordinate Securities<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Residential prime</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">319</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">27,380</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">27,699</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">19,191</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">19,191</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Residential non-prime</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">218</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">68,764</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">68,982</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">1,077</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">6,149</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">7,226</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Commercial</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">44,698</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">44,698</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">9,200</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">9,200</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">CDO</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">1,222</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">13,858</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">15,080</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">25</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">4,067</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">4,092</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total Subordinate Securities</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">1,759</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">154,700</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">156,459</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">29,493</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">10,216</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">39,709</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total Real Estate Securities</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">7,843</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">269,431</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">277,274</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">773,520</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">36,951</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">810,471</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">Senior securities are those interests in a securitization that have the first right to cash flows and are last in line to absorb losses. Re-REMIC securities, as presented herein, were created through the resecuritization of certain senior interests to provide additional credit support to those interests. These re-REMIC securities are therefore subordinate to the remaining senior interest, but senior to any subordinate tranches of the securitization from which they were created. Subordinate securities are all interests below senior and re-REMIC interests. Prime residential securities are securities backed by prime residential loans that generally have low loan-to-value ratios (typically 75% LTV or less), are made to borrowers who have high FICO scores (typically 700 or higher), and typically have low concentrations of investor properties. Non-prime residential securities are generally backed by loans that have higher loan-to-value ratios, are made to borrowers who have lower credit scores or impaired credit histories (but exhibit the ability to repay their loans), and may have higher concentrations of investor properties. At June 30, 2010, all of our real estate securities had contractual maturities over ten years, except for less than $1 million of residential securities that had contractual maturities greater than five years but less than ten years. </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">AFS Securities </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">We generally purchase AFS securities at a discount. To the extent we purchase an AFS security that has a likelihood of incurring credit loss, we generally will not amortize into income the portion of the purchase discount that, although we are entitled to earn, we do not expect to collect due to the inherent credit risk of the security. We may also expense a portion of our investment in the security to the extent we believe that principal losses will exceed the purchase discount. We designate the amount of principal face that we do not expect to receive and will not amortize into income as a credit reserve on the security, with any remaining net unamortized discounts or premiums amortized into income over time using the interest method. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The following table presents the components of carrying value (which equals fair value) of AFS securities as of June 30, 2010 and December 31, 2009. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">June 30, 2010<br />(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Residential</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Commercial</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">CDO</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Current face</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">1,284,102</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">140,547</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">89,422</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">1,514,071</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Credit reserve</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(327,636</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(127,627</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(88,340</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(543,603</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Net unamortized (discount) premium</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(310,131</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(5,534</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">10,929</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(304,736</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Amortized cost</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">646,335</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">7,386</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">12,011</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">665,732</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Gross unrealized gains</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">109,218</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">1,509</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">110,727</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Gross unrealized losses</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(26,145</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(1,285</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(8,066</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(35,496</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Carrying Value</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">729,408</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">7,610</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">3,945</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">740,963</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">December 31, 2009<br />(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Residential</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Commercial</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">CDO</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Current face</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">1,581,692</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">158,997</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">89,371</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">1,830,060</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Credit reserve</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(469,273</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(146,018</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(87,017</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(702,308</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Net unamortized (discount) premium</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(401,808</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(5,130</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">8,941</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(397,997</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Amortized cost</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">710,611</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">7,849</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">11,295</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">729,755</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Gross unrealized gains</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">130,914</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">1,422</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">25</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">132,361</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Gross unrealized losses</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(44,346</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(71</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(7,228</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(51,645</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Carrying Value</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">797,179</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">9,200</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">4,092</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">810,471</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The following table presents the changes for the three and six months ended June 30, 2010 of the unamortized discount and designated credit reserves on AFS securities. </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities </h3> <h2 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold 10pt/12pt serif; padding-top: 5pt;">Three Months Ended June 30, 2010 </h2> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Residential</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Commercial</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">CDO</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Credit<br />Reserve</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Unamortized<br />Discount Net</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Credit<br />Reserve</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Unamortized<br />Discount Net</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Credit<br />Reserve</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Unamortized<br />Discount Net</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Beginning balance&nbsp;&ndash;&nbsp; March 31, 2010</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">388,078</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">355,194</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">139,320</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">5,660</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">87,103</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(9,379</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Amortization of net discount</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(10,478</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(31</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(313</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Realized credit losses</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(56,685</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(11,860</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Acquisitions</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">2,142</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">9,190</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Sales, calls, other</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(12,273</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(41,545</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Impairments</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">4,144</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">72</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Transfers to (release of) credit reserves</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">2,230</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(2,230</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">95</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(95</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">1,237</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(1,237</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Ending Balance&nbsp;&ndash;&nbsp;<br />June 30, 2010</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">327,636</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">310,131</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">127,627</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">5,534</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">88,340</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">(10,929</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr></table></div> <h2 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold 10pt/12pt serif; padding-top: 5pt;">Six Months Ended June 30, 2010 </h2> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Residential</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Commercial</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">CDO</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Credit Reserve</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Unamortized Discount Net</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Credit Reserve</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Unamortized Discount Net</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Credit Reserve</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Unamortized Discount Net</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Beginning balance&nbsp;&ndash;&nbsp; December 31, 2009</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">469,273</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">401,808</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">146,018</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">5,130</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">87,017</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(8,941</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Amortization of net (discount) premium</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(21,074</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">288</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(665</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Realized credit losses</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(99,879</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(18,450</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Acquisitions</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">11,108</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">52,578</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Sales, calls, other</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(64,608</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(117,426</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Impairments</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">5,987</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">175</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Transfers to (release of) credit reserves</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">5,755</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(5,755</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(116</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">116</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">1,323</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(1,323</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Ending Balance&nbsp;&ndash;&nbsp;<br />June 30, 2010</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">327,636</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">310,131</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">127,627</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">5,534</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">88,340</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">(10,929</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The loans underlying our residential subordinate securities totaled $55 billion at June 30, 2010. These loans are located nationwide with a large concentration in California (46%). Serious delinquencies (90+ days, in foreclosure or REO) at June 30, 2010 were 8.02% of current principal balances. The loans underlying our commercial subordinate securities totaled $24 billion at June 30, 2010, and consist primarily of office (37%), retail (34%), and multifamily (13%) loans. These loans are located nationwide with the highest concentration in California (15%). Serious delinquencies (60+ days, in foreclosure or REO) at June 30, 2010 were 5.20% of current principal balances. </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">AFS Securities with Unrealized Losses </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The following table presents the components comprising the carrying value of AFS securities that were in an unrealized loss position as of June 30, 2010 and December, 31 2009. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">Less Than 12 Consecutive Months</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">12 Consecutive Months or Longer</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">June 30, 2010<br />(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total<br />Amortized<br />Cost</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Gross<br />Unrealized<br />Losses</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total<br />Fair<br />Value</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total<br />Amortized<br />Cost</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Gross<br />Unrealized<br />Losses</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total<br />Fair<br />Value</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Residential</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">116,299</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(3,379</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">112,920</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">47,991</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(22,766</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">25,225</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Commercial</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">4,777</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(1,285</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,492</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">CDO</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">4,395</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(2,591</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">1,804</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">7,616</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(5,475</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">2,141</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total Securities</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">125,471</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">(7,255</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">118,216</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">55,607</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">(28,241</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">27,366</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">Less Than 12 Consecutive Months</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">12 Consecutive Months or Longer</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">December 31, 2009<br />(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total<br />Amortized<br />Cost</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Gross<br />Unrealized<br />Losses</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total<br />Fair<br />Value</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total<br />Amortized<br />Cost</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Gross<br />Unrealized<br />Losses</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Total<br />Fair<br />Value</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Residential</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">73,075</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(30,520</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">42,555</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">42,368</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">(13,826</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">28,542</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Commercial</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">2,719</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(71</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">2,648</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">CDO</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">4,091</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(2,136</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">1,955</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">7,204</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(5,092</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">2,112</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total Securities</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">79,885</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">(32,727</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">47,158</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">49,572</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">(18,918</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">30,654</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">At June 30, 2010, after giving effect to purchases, sales, and extinguishments due to credit losses, our consolidated balance sheet included 521 AFS securities, of which 152 were in an unrealized loss position, of which 107 were in a continuous unrealized loss position for twelve consecutive months or longer. At December 31, 2009, our consolidated balance sheet included 554 AFS securities, of which 220 were in a continuous unrealized loss position and 72 were in a continuous unrealized loss position for twelve months or longer. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">Of the total unrealized losses at June 30, 2010 and December 31, 2009, $10 million and $14 million, respectively, relate to securities owned at the Fund. The remaining unrealized losses relate to securities owned at Redwood. </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Evaluating AFS Securities for Other-than-Temporary Impairments </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">When the fair value of an AFS security is below our cost basis, we evaluate the security for other-than-temporary impairment (OTTI). Part of this evaluation is based upon significant adverse changes in the assumptions used to value the security. The table below summarizes the significant valuation assumptions we used for our AFS securities as of June 30, 2010. </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Significant Valuation Assumptions </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="11">Range for Securities</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">June 30, 2010</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Prime</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Non-prime</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Commercial</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Prepayment rates</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">2&nbsp;&ndash;&nbsp;15%<br /></td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">1&nbsp;&ndash;&nbsp;12%<br /></td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">N/A</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Loss severity⁽¹⁾</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">15&nbsp;&ndash;&nbsp;68%<br /></td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">22&nbsp;&ndash;&nbsp;63%<br /></td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">33&nbsp;&ndash;&nbsp;50%<br /></td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Projected losses⁽¹⁾</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">0&nbsp;&ndash;&nbsp;21%<br /></td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">1&nbsp;&ndash;&nbsp;58%<br /></td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">2&nbsp;&ndash;&nbsp;14%</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; text-indent: 1px;"> </p> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">(1)</td> <td style="text-align: left;">Projected losses and severities are generally vintage specific, with the 2005 and later vintage securities having higher projected losses and severities and the 2004 and earlier vintages having the lower projected losses and severities. </td></tr></table> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The following table details the components of OTTI for the three and six months ended June 30, 2010. The credit component of OTTI is recognized through our consolidated statement of income (loss) while the non-credit component of OTTI is recorded in accumulated other comprehensive income (loss). </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Components of Other-than-Temporary Impairments </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Three Months<br />Ended<br />June 30,<br />2010</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Six Months<br />Ended<br />June 30,<br />2010</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">For securities with a non-credit component of OTTI:<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Initial credit impairment</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">213</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">303</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Subsequent credit impairment</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,143</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">4,439</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Securities with no non-credit component of OTTI</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">860</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">1,420</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Total credit OTTI</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">4,216</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">6,162</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Non-credit component of OTTI</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">2,870</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">4,539</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total OTTI</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">7,086</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">10,701</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">The following table details the activity related to the credit component of OTTI (i.e., OTTI in either current earnings or retained earnings) for AFS securities that also had a non-credit component and were still held at June 30, 2010. The credit loss component is reduced if we sell, intend to sell or believe we will be required to sell previously credit-impaired debt securities. Additionally, the credit loss component is reduced if we receive or expect to receive cash flows in excess of what we previously expected to receive over the remaining life of the credit-impaired debt security, the security matures, or is fully written down. </p> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Activity of Credit Component of Other-than-Temporary Impairments </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Three Months<br />Ended<br />June 30,<br />2010</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">Six Months<br />Ended<br />June 30,<br />2010</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Balance at beginning of period</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">143,116</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">146,454</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Additions⁽¹⁾:<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Initial credit impairments</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">213</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">303</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">Subsequent credit impairments</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">3,143</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">4,439</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Reductions:<br /></td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">&nbsp;&nbsp;</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">For securities sold</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(5,113</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: right; vertical-align: text-bottom;">(5,113</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 20pt; vertical-align: text-bottom;">For securities matured, called, or fully written down</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(9,329</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(14,053</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Balance at End of Period</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">132,030</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">132,030</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div> <p style="text-align: left; text-indent: 1px;"> </p> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0px; margin: 0pt; padding-left: 0pt; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;" cellspacing="0" cellpadding="0" width="100%"> <tr style="text-align: left; line-height: 12pt; font-style: normal; font-size: 10pt; vertical-align: top; font-weight: normal;"><td> </td> <td style="text-align: left;">(1)</td> <td style="text-align: left;">Excludes $1 million for both the three and six months ended June 30, 2010, of credit related OTTI where there was not a corresponding non-credit component. </td></tr></table> <h3 style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: bold italic 10pt/12pt serif; padding-top: 5pt;">Gross Realized Gains and Losses </h3> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 20px; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;">Gains and losses from the sale of AFS securities are recorded as realized gains, net, in our consolidated statements of income (loss). The following table presents the gross realized gains and losses on sales of AFS securities for the three and six months ended June 30, 2010 and 2009. </p> <p style="text-align: left; padding-bottom: 3pt; text-transform: none; text-indent: 0pt; margin: 0pt; padding-left: 4px; padding-right: 0pt; font: 10pt/12pt serif; padding-top: 3pt;"> </p> <div style="text-align: center;"> <table style="text-align: left; padding-bottom: 3pt; text-transform: none; font-variant: normal; font-style: normal; text-indent: 0px; margin: -24pt 0pt 0pt; padding-left: 0pt; padding-right: 0pt; font-family: serif; font-size: 10pt; vertical-align: text-bottom; font-weight: normal; padding-top: 3pt;" cellspacing="0" cellpadding="0"> <tr><td> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td> <td style="border-bottom: medium none; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td colspan="3"> </td></tr> <tr><td style="text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;"> </td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Three Months Ended<br />June 30,</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="7">Six Months Ended<br />June 30,</td></tr> <tr><td style="border-bottom: black 1pt solid; text-align: left; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;">(In Thousands)</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2010</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2009</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2010</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: center; line-height: normal; font-size: 8pt; vertical-align: text-bottom; font-weight: bold;" colspan="3">2009</td></tr> <tr style="background-color: white;"><td style="text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Gross realized gains&nbsp;&ndash;&nbsp;sales</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">17,670</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">6,861</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">56,524</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="text-align: left; vertical-align: text-bottom;">$</td> <td style="text-align: right; vertical-align: text-bottom;">7,198</td> <td style="text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: #ccffcc;"><td style="border-bottom: white 1pt solid; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom;">Gross realized losses&nbsp;&ndash;&nbsp;sales</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(1,859</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">(3,335</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">)&nbsp;</td> <td style="border-bottom: white 1pt solid; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: left; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 1pt solid; text-align: right; vertical-align: text-bottom;">&#8212;</td> <td style="border-bottom: white 1pt solid; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr> <tr style="background-color: white;"><td style="border-bottom: white 3px double; text-indent: 0pt; padding-left: 10pt; vertical-align: text-bottom; font-weight: bold;">Total Realized Gains on Sales of AFS Securities, net</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">15,811</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">6,861</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">53,189</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: white 3px double; text-align: center; vertical-align: text-bottom;">&nbsp;</td> <td style="border-bottom: black 3px double; text-align: left; vertical-align: text-bottom;">$</td> <td style="border-bottom: black 3px double; text-align: right; vertical-align: text-bottom;">7,198</td> <td style="border-bottom: white 3px double; text-align: left; white-space: nowrap; vertical-align: text-bottom;">&nbsp;</td></tr></table></div></div> </div> Note 8. Real Estate Securities We invest in third party residential, commercial, and CDO securities. The following table presents the fair values of our real false false false us-types:textBlockItemType textblock This item represents the entire disclosure related to Investments in Certain Debt and Equity Securities (and certain other trading assets) which include all debt and equity securities (other than those equity securities accounted for under the equity or cost methods of accounting) with readily determinable fair values. Other trading assets include assets that are carried on the balance sheet at fair value and held for trading purposes. A debt security represents a creditor relationship with an enterprise that is in the form of a security. Debt securities include, among other items, US Treasury securities, US government securities, municipal securities, corporate bonds, convertible debt, commercial paper, and all securitized debt instruments. An equity security represents an ownership interest in an enterprise or the right to acquire or dispose of an ownership interest in an enterprise at fixed or determinable prices. Equity securities include, among other things, common stock, certain preferred stock, warrant rights, call options, and put options, but do not include convertible debt. An entity may opt to provide the reader with additional narrative text to better understand the nature of investments in debt and equity securities (and other trading assets). Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 115 -Paragraph 3, 19, 20, 21, 22, 137 false 1 1 false UnKnown UnKnown UnKnown false true