View Filing Data

$ 133,543

133,543

Unrealized gain (loss) on available-for-sale securities, net

(39,802)

Unrealized gain (loss) on designated derivative instruments

61,126

1,752,812

$ 639

1,752,173

Issuance of restricted stock, shares

63,964,000

9,000

Stock-based compensation

Common dividends declared

(135,280)

Balance, value at Mar. 31, 2011

3,344,501

$ 0

$ 1,288

3,314,119

76,379

(47,285)

Balance, Preferred Stock, shares at Mar. 31, 2011

Balance, Common Stock, shares at Mar. 31, 2011

128,829,000

Balance, value at Dec. 31, 2010

$ 1,572,064

$ 0

$ 649

1,561,908

78,116

(68,609)

Balance, Preferred Stock, shares at Dec. 31, 2010

Balance, Common Stock, shares at Dec. 31, 2010

64,856

64,856,000

$ 561,766

Unrealized gain (loss) on designated derivative instruments

(703,747)

^[1]

$ 2,980,331

Balance, value at Sep. 30, 2011

108,790,000

$ 4,940,256

$ 0

$ 1,836

4,829,065

67,174

42,181

Balance, Preferred Stock, shares at Sep. 30, 2011

Balance, Common Stock, shares at Sep. 30, 2011

183,620

183,620,000

Balance, value at Mar. 31, 2011

$ 3,344,501

$ 0

$ 1,288

3,314,119

76,379

(47,285)

Balance, Preferred Stock, shares at Mar. 31, 2011

Balance, Common Stock, shares at Mar. 31, 2011

128,829,000

177,822

Unrealized gain (loss) on available-for-sale securities, net

318,899

Unrealized gain (loss) on designated derivative instruments

(252,664)

1,368,404

$ 497

1,367,907

Common dividends declared

49,680,000

Stock-based compensation

(180,360)

Balance, value at Jun. 30, 2011

4,776,646

$ 0

$ 1,785

4,682,070

73,841

18,950

Balance, Preferred Stock, shares at Jun. 30, 2011

Balance, Common Stock, shares at Jun. 30, 2011

178,509,000

250,401

Unrealized gain (loss) on available-for-sale securities, net

535,439

Unrealized gain (loss) on designated derivative instruments

(512,208)

147,000

$ 51

146,949

Issuance of restricted stock, shares

5,108,000

3,000

Stock-based compensation

Common dividends declared

(257,068)

Balance, value at Sep. 30, 2011

$ 4,940,256

$ 0

$ 1,836

$ 4,829,065

$ 67,174

$ 42,181

Balance, Preferred Stock, shares at Sep. 30, 2011

Balance, Common Stock, shares at Sep. 30, 2011

183,620

183,620,000

[1]	Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs.

Consolidated Statements Of Cash Flows - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2011	Sep. 30, 2010
Operating activities:
Net income	$ 561,766	$ 150,036
Adjustments to reconcile net income to net cash provided by operating activities:
Amortization of agency securities premiums and discounts, net	239,508	65,953
Amortization of interest rate swap termination fee	0	6,278
Stock-based compensation	128	68
Gain on sale of agency securities, net	(360,880)	(81,558)
Loss on derivative instruments and other securities, net	309,990	19,680
Increase in other assets	(90,595)	(19,457)
Increase (decrease) in accounts payable and other accrued liabilities	8,933	(812)
Net cash provided by operating activities	668,850	140,188
Investing activities:
Purchases of agency securities	(56,422,788)	(12,301,251)
Proceeds from sale of agency securities	24,351,207	6,693,342
Purchases of U.S. Treasury securities	(4,058,828)	(465,149)
Proceeds from sale of U.S. Treasury securities	3,791,498	466,775
Proceeds from U.S. Treasury securities sold, not yet purchased	12,053,954	0
Purchase of U.S. Treasury securities sold, not yet purchased	(11,918,676)	0
Proceeds from reverse repurchase agreements	28,615,437	0
Payments made on reverse repurchase agreements	(28,841,942)	0
Net payments on other derivative instruments not designated as qualifying hedges	(194,081)	(14,092)
Principal collections on agency securities	3,058,375	972,551
Net cash used in investing activities	(29,565,844)	(4,647,824)
Financing activities:
Cash dividends paid	(406,438)	(118,638)
Increase in restricted cash	(299,113)	(42,834)
Proceeds from repurchase arrangements, net	27,161,527	4,127,565
Proceeds from other debt	0	80,822
Repayments on other debt	(16,063)	0
Net proceeds from common stock issuances	3,268,216	373,184
Net cash provided by financing activities	29,708,129	4,420,099
Net change in cash and cash equivalents	811,135	(87,537)
Cash and cash equivalents at beginning of period	173,258	202,803
Cash and cash equivalents at end of period	$ 984,393	$ 115,266

Unaudited Interim Consolidated Financial Statements	9 Months Ended
Unaudited Interim Consolidated Financial Statements	Sep. 30, 2011
Unaudited Interim Consolidated Financial Statements [Abstract]
Unaudited Interim Consolidated Financial Statements	Unaudited Interim Consolidated Financial Statements The interim consolidated financial statements of American Capital Agency Corp. (referred throughout this report as the “Company”, “we”, “us” and “our”) are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. Our unaudited consolidated financial statements include the accounts of our wholly-owned subsidiary, American Capital Agency TRS, LLC, and variable interest entities for which the Company is the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. In the opinion of management, all adjustments, consisting solely of normal recurring accruals, necessary for the fair presentation of financial statements for the interim period have been included. The current period’s results of operations are not necessarily indicative of results that ultimately may be achieved for the year.

Disclosure of accounting policy regarding (1) the principles it follows in consolidating or combining the separate financial statements, including the principles followed in determining the inclusion or exclusion of subsidiaries or other entities in the consolidated or combined financial statements and (2) its treatment of interests (for example, common stock, a partnership interest or other means of exerting influence) in other entities, for example consolidation or use of the equity or cost methods of accounting. The accounting policy may also address the accounting treatment for intercompany accounts and transactions, noncontrolling interest, and the income statement treatment in consolidation for issuances of stock by a subsidiary.

Reference 1: http://www.xbrl.org/2003/role/presentationRef
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-Publisher AICPA
-Name Accounting Research Bulletin (ARB)
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-Publisher SEC
-Name Regulation S-X (SX)
-Number 210
-Article 3A
-Section 02, 03

Reference 9: http://www.xbrl.org/2003/role/presentationRef
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Reference 10: http://www.xbrl.org/2003/role/presentationRef
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Organization	9 Months Ended
Organization	Sep. 30, 2011
Organization [Abstract]
Organization	Organization We were organized in Delaware on January 7, 2008, and commenced operations on May 20, 2008 following the completion of our initial public offering (“IPO”). Our common stock is traded on The NASDAQ Global Select Market under the symbol “AGNC”. We have elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”). As such, we are required to distribute annually 90% of our taxable net income. As long as we qualify as a REIT, we will generally not be subject to U.S. federal or state corporate taxes on our taxable net income to the extent that we distribute all of our annual taxable net income to our stockholders. It is our intention to distribute 100% of our taxable income, after application of available tax attributes, within the limits prescribed by the Code, which may extend into the subsequent taxable year. We are externally managed by American Capital AGNC Management, LLC (our “Manager”), an affiliate of American Capital, Ltd. (“American Capital”). We earn income primarily from investing in residential mortgage pass-through securities and collateralized mortgage obligations (“CMOs”) on a leveraged basis. These investments consist of securities for which the principal and interest payments are guaranteed by government-sponsored entities (“GSEs”), such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or by a U.S. Government agency, such as the Government National Mortgage Association (“Ginnie Mae”). We refer to these types of securities as agency securities and the specific agency securities in which we invest as our investment portfolio. Our principal objective is to preserve our net asset value (also referred to as stockholders' equity) while generating attractive risk-adjusted returns for distribution to our stockholders through regular quarterly dividends from the combination of our net interest income and net realized gains and losses on our investments and other hedging activities. Our net interest income consists of the spread between the interest income earned on our agency securities and the interest costs of our borrowings and derivatives accounted for as hedges for accounting purposes (refer to Note 3 regarding discontinuation of hedge accounting as of September 30, 2011). We fund our investments primarily through short-term borrowings structured as repurchase agreements.

The entire disclosure for organization, consolidation and basis of presentation of financial statements disclosure.

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Available-for-sale Securities [Abstract]

Summary of Significant Accounting Policies	9 Months Ended
Summary of Significant Accounting Policies	Sep. 30, 2011
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies Investments in Agency Securities Accounting Standards Codification (“ASC”) Topic 320, Investments—Debt and Equity Securities (“ASC 320”), requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Securities classified as trading and available-for-sale are reported at fair value, while securities classified as held-to-maturity are reported at amortized cost. We may, from time to time, sell any of our agency securities as part of our overall management of our investment portfolio. Accordingly, we typically designate our agency securities as available-for-sale. All securities classified as available-for-sale are reported at fair value, with unrealized gains and losses reported in other comprehensive income (loss) (“OCI”), a component of stockholders’ equity. Upon the sale of a security, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. Interest-only securities and inverse interest-only securities (collectively referred to as “interest-only securities”) represent our right to receive a specified proportion of the contractual interest flows of specific agency and CMO securities. Principal-only securities represent our right to receive the contractual principal flows of specific agency and CMO securities. Interest-only and principal-only securities are measured at fair value through earnings in unrealized gain (loss) on derivative instruments and other securities, net in our consolidated statements of operations and comprehensive income. Our investments in interest-only and principal-only securities are included in agency securities, at fair value on the accompanying consolidated balance sheets. We estimate the fair value of our agency securities based on a market approach using Level 2 inputs from third-party pricing services and dealer quotes. The third-party pricing services use pricing models that incorporate such factors as coupons, primary and secondary mortgage rates, prepayment speeds, spread to the Treasury and interest rate swap curves, convexity, duration, periodic and life caps and credit enhancements. The dealer quotes incorporate common market pricing methods, including a spread measurement to the Treasury or interest rate swap curve as well as underlying characteristics of the particular security including coupon, periodic and life caps, rate reset period, issuer, additional credit support and expected life of the security. We evaluate securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis, and more frequently when economic or market conditions warrant such evaluation. Based on the criteria in ASC 320, the determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When an agency security is impaired, an OTTI is considered to have occurred if (i) we intend to sell the agency security (i.e. a decision has been made as the reporting date) or (ii) it is more likely than not that we will be required to sell the agency security before recovery of its amortized cost basis. If we intend to sell the security or if it is more likely than not that we will be required to sell the agency security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. We did not recognize any OTTI charges on any of our agency securities for the nine months ended September 30, 2011 and 2010. Interest Income Interest income is accrued based on the outstanding principal amount of the agency securities and their contractual terms. Premiums and discounts associated with the purchase of agency securities are amortized or accreted into interest income over the projected lives of the securities, including contractual payments and estimated prepayments using the interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs (“ASC 310-20”). We estimate long-term prepayment speeds using a third-party service and market data. The third-party service estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, current mortgage rates of the outstanding loans, loan age, volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the prepayment speeds estimated by the third-party service and based on our Manager’s judgment we may make adjustments to their estimates. Actual and anticipated prepayment experience is reviewed quarterly and effective yields are recalculated when differences arise between the previously estimated future prepayments and the amounts actually received plus current anticipated future prepayments. If the actual and anticipated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. In addition, pursuant to ASC 310-20, the yield on our adjustable rate securities assumes that the securities reset at a rate equal to the underlying index rate in effect as of the date we acquired the security plus the stated margin. Consequently, future reset rate assumptions incorporated in our asset yields may differ materially from future reset rates implied by the forward yield curve and the actual reset rates ultimately achieved. Further, notwithstanding changes to our actual and projected constant prepayment rate (“CPR”) assumptions, the lower our reset rate assumption is pursuant to ASC 310-20 than the current fixed rate in effect, the greater the rate of premium amortization we will recognize over the initial fixed rate period. Our adjustable rate portfolio was acquired for a premium above par value and most securities were acquired during a period of historically low index rates. Accordingly, the premium balance on our adjustable rate securities will generally be fully amortized prior to their first reset date, regardless of actual or forecasted prepayment speeds and changes in the underlying index rates prior to actual reset. Adjustable rate securities acquired during a different interest rate environment may experience a different premium amortization pattern even as current index rates remain near their historical lows. Derivative and other Hedging Instruments We maintain a risk management strategy, under which we use a variety of strategies to hedge some of our exposure to interest rate risk. The objective of our risk management strategy is to reduce fluctuations in book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The principal instruments that we use are interest rate swaps and options to enter into interest rate swaps (“interest rate swaptions”). We also purchase or sell to-be-announced forward contracts (“TBAs”), specified agency securities on a forward basis, U.S. Treasury securities and U.S. Treasury futures contracts, purchase or write put or call options on TBA securities and invest in other types of mortgage derivatives, such as interest-only securities, and synthetic total return swaps, such as the Markit IOS Synthetic Total Return Swap Index (“Markit IOS Index”). We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging (“ASC 815”). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. Hedging instruments that are not derivatives under ASC 815 are accounted for as securities in accordance with ASC 320. The accounting for changes in the fair value of derivative instruments depends on whether we have designated them as hedging instruments and whether they qualify as part of a hedging relationship pursuant to ASC 815 and, if so, on our reason for holding them. Derivatives that are intended to hedge exposure to variability in expected future cash flows are referred to as cash flow hedges. For derivatives designated in qualifying cash flow hedge relationships, the effective portion of the fair value adjustments is initially recorded in OCI (a component of stockholders’ equity) and reclassified to income at the time that the hedged transactions affect earnings. The ineffective portion of the fair value adjustments is immediately recognized in unrealized gain (loss) on derivative instruments and other securities, net. When the underlying hedged transaction ceases to exist, any amounts that have been previously recorded in accumulated OCI would be reclassified to net income and all subsequent changes in the fair value of the instrument would be included in unrealized gain (loss) on derivative instruments and other securities, net for each period until the derivative instrument matures or is settled. For example, in the case of interest rate swap agreements in designated qualifying cash flow hedge relationships ("designated interest rate swaps"), the effective portion of changes in the fair value of the designated interest rate swaps are recorded in OCI. Accumulated OCI is subsequently reclassified into earnings through interest expense as the underlying repurchase agreements (hedged transactions) incur interest. The ineffective portion of fair value adjustments of designated interest rate swaps primarily relates to timing mismatches between the monthly variable rate reset dates of the interest rate swaps and the term of the underlying repurchase agreements. The underlying hedged transactions are determined to cease to exist for designated interest rate swap agreements (or previously designated interest rates swaps discussed below), if the current (or anticipated) repurchase agreement balance is less than the current notional value of the interest rate swap agreements. For derivatives not designated in hedging relationships under ASC 815, the fair value adjustments are recorded in unrealized gain (loss) on derivative instruments and other securities, net. Our net book value is the same irrespective of whether we designate a derivative as a qualifying cash flow hedge. Derivatives in a gain position are reported as derivative assets at fair value and derivatives in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. In our consolidated statements of cash flows, cash receipts and payments related to derivative instruments are classified according to the underlying nature or purpose of the derivative transaction, generally in the operating section for derivatives designated in hedging relationships and the investing section for derivatives not designated in hedging relationships. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We attempt to minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we mark our net counterparty exposure to market on a daily basis and adjust posted collateral (in either direction) as a result. Interest rate swap agreements We use interest rate swaps to hedge the variable cash flows associated with short-term borrowings made under our repurchase agreement facilities. Prior to the quarter ended September 30, 2011, we generally entered into such derivatives with the intention of qualifying for hedge accounting under ASC 815. During the quarter ended September 30, 2011, we discontinued our election to account for interest rate swaps as designated cash flow hedges. In order for our interest rate swaps to qualify as cash flow hedges under ASC 815, the monthly reset dates of our interest rate swaps are required to align with the term of an underlying repurchase agreement. This alignment had the effect of limiting our ability to alter or extend the maturity of our repurchase agreements. To provide greater funding flexibility, we determined that it was not beneficial to always match the pricing dates of our swaps and repurchase agreements and, thus, elected to discontinue hedge accounting by a combination of not designating new interest rate swaps entered into as qualifying cash flow hedges and de-designating all of our remaining swap contracts on September 30, 2011. Provided we continue to hold repurchase agreements in excess of the notional value of our de-designated swap contracts, the net deferred loss related to the discontinued hedges incurred prior to de-designation will continue to be reported in accumulated OCI and will be reclassified into earnings through interest expense on a straight-line basis over their remaining contractual term, similar to as if the interest rate swaps had not been de-designated. As of September 30, 2011, the net deferred loss related to these interest rate swaps was $744.4 million and their weighted average remaining contractual term was 3.4 years. The net deferred loss expected to be reclassified from OCI into interest expense over the next twelve months is $208.8 million. In addition, all subsequent changes in the fair value of interest rates swaps will be recognized in our consolidated statement of operations and comprehensive income in unrealized gain (loss) on derivative instruments and other securities, net. Further, starting October 1, 2011, the net interest paid or received on our de-designated interest rate swaps, less amounts reclassified from accumulated OCI into earnings through interest expense, will be recognized in realized gain (loss) on periodic interest settlements of interest rate swaps, net. The net interest paid or received on our un-designated interest rate swaps is currently recognized in our consolidated statement of operations and comprehensive income in realized gain (loss) on periodic interest settlements of interest rate swaps, net. We estimate the fair value of interest rate swaps based on inputs from a third-party pricing model. The third-party pricing model incorporates such factors as the Treasury curve, LIBOR rates, and the pay rate on the interest rate swaps. We also incorporate both our own and our counterparties’ nonperformance risk in estimating the fair value of our interest rate swap and swaption agreements. In considering the effect of nonperformance risk, we consider the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements. Interest rate swaptions We may purchase interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of our investment portfolio (referred to as “convexity risk”). The interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in unrealized gain (loss) on derivative instruments and other securities, net in our consolidated statement of operations and comprehensive income. If a swaption expires unexercised, the loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. We estimate the fair value of interest rate swaptions based on the fair value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option. TBA securities A TBA security is a futures contract for the purchase or sale of agency securities at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific agency securities delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. TBA securities are exempt from ASC 815 and are accounted for under ASC 320 if there is no other way to purchase or sell that security, if delivery of that security and settlement will occur within the shortest period possible for that type of security and if it is probable at inception and throughout the term of the individual contract that physical delivery of the security will occur (referred to as the “regular-way” exception). Alternatively, we may designate the TBA security as a qualifying cash flow hedge under ASC 815 if the regular-way exception is not met and at the time of the purchase or sale of the security, and throughout the term of the individual contract, it is probable that the forecasted transaction will occur and the hedging relationship is expected to be highly effective. For TBA security contracts that we have entered into, we have generally not asserted that physical settlement is probable or that the forecasted transaction is probable of occurring and, therefore, we typically have not designated these forward commitments as hedging instruments. Realized and unrealized gains and losses associated with TBA contracts not subject to the regular-way exception or not designated as hedging instruments are recognized in our consolidated statement of operations and comprehensive income in other realized gain (loss) on derivative instruments and other securities, net and unrealized gain (loss) on derivative instruments and other securities, net, respectively. We estimate the fair value of TBA securities based on similar methods used to value agency securities. Put and call options on TBA securities We may purchase put and call options on TBA securities to hedge against short-term changes in interest rates. Under a purchased put option, we have the right to sell to the counterparty a specified TBA security at a predetermined price on the option exercise date in exchange for a premium at execution. Under a purchased call option, we have the right to purchase from the counterparty a specified TBA security at a predetermined price on the option exercise date in exchange for a premium at execution. The premium paid for a put or call option is reported as an asset in our consolidated balance sheets. The premium is valued at an amount equal to the fair value of the option that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the option is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statement of operations and comprehensive income. When a purchased put or call option expires unexercised, a realized loss is reported in our consolidated statement of operations and comprehensive income equal to the premium paid. When a purchased put or call option is exercised, a realized gain or loss is reported in our consolidated statement of operations and comprehensive income equal to the difference between the premium paid and the fair value of the exercised put or call option. In addition, a derivative asset is recorded in our consolidated balance sheet for the TBA security resulting from the put or call option exercise. We may also write put and call options on TBA securities. Under a written put option, the counterparty has the right to sell us a specified TBA security at a predetermined price on the option exercise date in exchange for a premium at execution. Under a written call option, the counterparty has the right to purchase from us a specified TBA security at a predetermined price on the option exercise date in exchange for a premium at execution. The premium received from writing a put or call option is reported as a liability in our consolidated balance sheets. The premium is valued at an amount equal to the fair value of the option that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the option is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statement of operations and comprehensive income. When a written put or call option expires unexercised, a realized gain is reported in our consolidated statement of operations equal to the premium received. When we terminate a written put or call option, a realized gain or loss is reported in our consolidated statement of operations equal to the difference between the termination payment and the premium received. When a written put or call option is exercised, a realized gain or loss is reported in our consolidated statement of operations equal to the difference between the premium received and the fair value of the exercised put or call option. In addition, a derivative asset or liability is recorded in our consolidated balance sheet for the TBA security resulting from the put or call option exercise. We estimate the fair value of put and call options on TBA securities based on the fair value of the underlying TBA security as well as the remaining length of time to exercise the option. Forward commitments to purchase or sell specified agency securities We may enter into a forward commitment to purchase or sell specified agency securities as a means of acquiring assets or as a hedge against short-term changes in interest rates. Contracts for the purchase or sale of specified agency securities are accounted for as derivatives if the delivery of the specified agency security and settlement extends beyond the shortest period possible for that type of security. We may designate the forward commitment as a qualifying cash flow hedge if at the time of the purchase or sale of the security, and throughout the term of the individual contract, it is probable that physical delivery of the security will occur. Realized and unrealized gains and losses associated with forward commitments not designated as hedging instruments are recognized in our consolidated statement of operations and comprehensive income in gain (loss) on derivative instruments and other securities, net. We estimate the fair value of forward commitments to purchase or sell specified agency securities based on similar methods used to value agency securities as well as the remaining length of time of the forward commitment. U.S. Treasury securities We may purchase or sell short U.S. Treasury securities and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our portfolio. We may borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Realized and unrealized gains and losses associated with purchases and short sales of U.S. Treasury securities are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of operations and comprehensive income. Total return swaps We may enter into total return swaps to obtain exposure to a security or market sector without owning such security or investing directly in that market sector. Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupon plus the mark-to-market movement) of an underlying instrument or index in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, we will receive a payment from or make a payment to the counterparty. The primary total return swap index in which we invest is the Markit IOS Index. Total return swaps based on the Markit IOS index are intended to synthetically replicate the performance of interest-only securities. We determine the fair value of our total return swaps based on published index prices. Realized and unrealized gains and losses associated with changes in market value of the underlying index and coupon interest are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of operations and comprehensive income. Variable Interest Entities ASC Topic 810, Consolidation (“ASC 810”), requires a qualitative assessment in determining the primary beneficiary of a variable interest entities (“VIEs”) and ongoing assessments of control over such entities as well as additional disclosures for entities that have variable interests in VIEs. We may enter into transactions involving a CMO trust (e.g. a VIE) whereby we transfer agency securities to an investment bank in exchange for cash proceeds and at the same time enter into a commitment with the same investment bank to purchase to-be-issued securities collateralized by the agency securities transferred. We will consolidate a CMO trust (as it relates to the assets transferred or contributed by us and the related liabilities issued by the trust) if we are the CMO trust’s primary beneficiary; that is, if we have a variable interest (or combination of variable interests) that provides us with a controlling financial interest in the CMO trust. An entity is deemed to have a controlling financial interest if the entity has the power to direct the activities of a VIE that most significantly impacts the VIE’s economic performance and the obligation to absorb losses of or right to receive benefits from the VIE that could potentially be significant to the VIE. In determining if we have a controlling financial interest, we evaluate whether we share the power to control the selection of financial assets transferred to the CMO trust with an unrelated party. We may share power in the selection of assets for certain CMO trusts (i.e., both we and the unrelated party must consent to the transfer of such assets to the CMO trust); however, if our economic interest in the CMO trust is disproportionate to the shared power, we may be deemed to be the primary beneficiary. Recent Accounting Pronouncements In April 2011, the Financial Accounting Standards Board (“FASB”) issued ASU No. 2011-03, Transfers and Servicing (Topic 860): Reconsideration of Effective Control for Repurchase Agreements (“ASU 2011-03”), which is intended to improve the accounting for repurchase agreements by removing from the assessment of effective control the criterion requiring the transferor to have the ability to repurchase or redeem the financial assets on substantially the agreed terms, even in the event of default by the transferee, as well as implementation guidance related to that criterion. ASU 2011-03 is effective for the first interim or annual period beginning on or after December 15, 2011 and the guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or after the effective date. Early adoption is not permitted. We do not believe the adoption of ASU 2011-03 will have a material impact on our consolidated financial statements. In May 2011, the FASB issued ASU No. 2011-04, Fair Value Measurement (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (“ASU 2011-04”), which largely aligns fair value measurement and disclosure requirements between International Financial Reporting Standards and US GAAP. For US GAAP, the update mainly represents clarifications to Topic 820 as well as some instances where a particular principle or requirement for measuring fair value or disclosing information about fair value measurements has changed. ASU 2011-04 clarifies that (i) the highest and best use concept only applies to non-financial assets, (ii) an instrument classified in shareholders’ equity should be measured from the perspective of a market participant holding that instrument as an asset and (iii) quantitative disclosure is required for unobservable inputs used in Level 3 measurements. ASU 2011-04 also changes the guidance in Topic 820 so that (i) the fair value of a group of financial assets and financial liabilities with similar risk exposures may be measured on the basis of the entity’s net risk exposure, (ii) premiums or discounts may be applied in a fair value measurement under certain circumstances, but blockage factors are not permitted, and (iii) additional Level 3 disclosures are required, including a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs. ASU 2011-04 is effective for interim and annual periods beginning after December 15, 2011. Early application by public entities is not permitted. We do not believe the adoption of ASU 2011-04 will have a material impact on our consolidated financial statements. In June 2011, the FASB issued ASU No. 2011-05, Comprehensive Income (Topic 220): Presentation of Comprehensive Income(“ASU 2011-05”), which is intended to make the presentation of items within OCI more prominent. ASU 2011-05 requires companies to present comprehensive income in either one continuous statement or two separate but consecutive financial statements. Upon the effectiveness of ASU 2011-05, companies will no longer be allowed to present OCI in the statement of stockholders’ equity. In addition, reclassification adjustments between OCI and net income must be presented separately on the face of the financial statements. The new guidance does not change the components of OCI or the calculation of earnings per share. ASU 2011-05 is effective for fiscal years, and interim periods within those years, beginning after December 15, 2011. Early adoption is permitted and the amendments should be applied retrospectively. We do not believe the adoption of ASU 2011-05 will have a material impact on our consolidated financial statements. Reclassifications Certain prior period amounts in the consolidated financial statements have been reclassified to conform to the current period presentation.

Agency Securities

9 Months Ended

Sep. 30, 2011

Agency Securities

The following tables summarize our investments in agency securities as of September 30, 2011 (dollars in thousands):



	As of September 30, 2011
	Fannie Mae			Freddie Mac			Ginnie Mae			Total
Available-for-sale securities:
Agency securities, par	$	22,477,679		$	16,695,524		$	102,938		$	39,276,141
Unamortized discount	(914		)	(996		)	—			(1,910		)
Unamortized premium	988,626			709,012			3,743			1,701,381
Amortized cost	23,465,391			17,403,540			106,681			40,975,612
Gross unrealized gains	466,275			337,846			2,130			806,251
Gross unrealized losses	(11,342		)	(8,305		)	(23		)	(19,670		)
Available-for-sale securities, at fair value	23,920,324			17,733,081			108,788			41,762,193
Agency securities remeasured at fair value through earnings:
Interest-only and principal-only securities, amortized cost⁽¹⁾	157,011			71,285			—			228,296
Gross unrealized gains	4,542			2,323			—			6,865
Gross unrealized losses	(14,086		)	(12,849		)	—			(26,935		)
Agency securities remeasured at fair value through earnings, at fair value	147,467			60,759			—			208,226
Total agency securities, at fair value	$	24,067,791		$	17,793,840		$	108,788		$	41,970,419
Weighted average coupon as of September 30, 2011⁽²⁾	4.38		%	4.31		%	4.15		%	4.35		%
Weighted average yield as of September 30, 2011⁽³⁾	3.17		%	3.20		%	2.17		%	3.18		%
Weighted average yield for the three months ended September 30, 2011⁽³⁾	3.14		%	3.12		%	2.22		%	3.14		%
Weighted average yield for the nine months ended September 30, 2011⁽³⁾	3.29		%	3.21		%	2.12		%	3.25		%

________________________

(1)

Interest-only securities represent the right to receive a specified portion of the contractual interest flows of the underlying unamortized principal balance (“UPB” or “par value”) of specific CMO securities. Principal-only securities represent the right to receive contractual principal flows of the UPB of specific CMO securities. The UPB of our interest-only securities was $1.3 billion and the weighted average contractual interest we are entitled to receive was 5.57% of this amount as of September 30, 2011. The UPB of our principal-only securities was $43 million as of September 30, 2011.


(2)	The weighted average coupon includes the interest cash flows from our interest-only securities taken together with the interest cash flows from our fixed-rate, adjustable-rate and CMO securities as a percentage of the par value of our agency securities (excluding the UPB of our interest-only securities) as of September 30, 2011.


(3)	Incorporates an average future constant prepayment rate assumption of 13% based on forward rates as of September 30, 2011 and an average reset rate for adjustable rate securities of 2.76%, which is equal to the average underlying index rate of 0.96% based on the current spot rate in effect as of the date we acquired the securities and an average margin of 1.80%.



	As of September 30, 2011
	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Fair Value
Fixed-Rate	$	37,554,811	$	741,800	$	(18,354	)	$	38,278,257
Adjustable-Rate	3,179,456		59,639		(1,316		)	3,237,779
CMO	241,345		4,812		—			246,157
Interest-only and principal-only securities	228,296		6,865		(26,935		)	208,226
Total agency securities	$	41,203,908	$	813,116	$	(46,605	)	$	41,970,419

The following tables summarize our investments in agency securities as of December 31, 2010 (dollars in thousands):



	As of December 31, 2010
	Fannie Mae			Freddie Mac			Ginnie Mae			Total
Agency securities classified as available-for-sale:
Agency securities, par	$	8,207,464		$	4,599,712		$	100,408		$	12,907,584
Unamortized discount	(930		)	(1,044		)	—			(1,974		)
Unamortized premium	350,747			220,465			4,670			575,882
Amortized cost	8,557,281			4,819,133			105,078			13,481,492
Gross unrealized gains	56,181			11,929			384			68,494
Gross unrealized losses	(53,893		)	(42,356		)	(196		)	(96,445		)
Available-for-sale securities, at fair value	8,559,569			4,788,706			105,266			13,453,541
Agency securities remeasured at fair value through earnings:
Interest-only securities, amortized cost⁽¹⁾	18,957			33,447			—			52,404
Gross unrealized gains	1,559			3,356			—			4,915
Gross unrealized losses	(91		)	(489		)	—			(580		)
Agency securities remeasured at fair value through earnings, at fair value	20,425			36,314			—			56,739
Total agency securities, at fair value	$	8,579,994		$	4,825,020		$	105,266		$	13,510,280
Weighted average coupon as of December 31, 2010⁽²⁾	4.63		%	4.83		%	4.37		%	4.70		%
Weighted average yield as of December 31, 2010⁽³⁾	3.34		%	3.28		%	2.14		%	3.31		%
Weighted average yield for the year ended December 31, 2010⁽³⁾	3.49		%	3.42		%	2.22		%	3.44		%

________________________


(1)	Interest-only securities represent the right to receive a specified portion of the contractual interest flows of the UPB of specific CMO securities. The UPB of our interest-only securities was $0.5 billion and the weighted average contractual interest we are entitled to receive was 4.95% of this amount as of December 31, 2010.


(2)	The weighted average coupon includes the interest cash flows from our interest-only securities taken together with the interest cash flows from our fixed-rate, adjustable-rate and CMO securities as a percentage of the par value of our agency securities (excluding the UPB of our interest-only securities) as of December 31, 2010.


(3)	Incorporates an average future constant prepayment rate assumption of 12% based on forward rates as of December 31, 2010 and an average reset rate for adjustable rate securities of 2.76%, which is equal to the average underlying index rate of 0.94% based on the current spot rate in effect as of the date we acquired the securities and an average margin of 1.82%.



	As of December 31, 2010
	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Fair Value
Fixed-Rate	$	9,144,352	$	39,844	$	(82,717	)	$	9,101,479
Adjustable-Rate	3,942,937		20,955		(13,728		)	3,950,164
CMO	394,203		7,695		—			401,898
Interest-only securities	52,404		4,915		(580		)	56,739
Total agency securities	$	13,533,896	$	73,409	$	(97,025	)	$	13,510,280

Actual maturities of agency securities are generally shorter than the stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic principal payments and principal prepayments. The following table summarizes our agency securities classified as available-for-sale as of September 30, 2011 and December 31, 2010, according to their estimated weighted average life classification (dollars in thousands):



	As of September 30, 2011						As of December 31, 2010
Estimated Weighted Average Life of Agency Securities Classified as Available-for-Sale	Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon
Less than or equal to one year	$	3,097	$	3,112	5.50	%	$	—	$	—	—	%
Greater than one year and less than or equal to three years	7,769,007		7,613,464		4.32	%	133,123		132,520		5.05	%
Greater than three years and less than or equal to five years	30,555,145		29,971,368		4.09	%	3,841,282		3,821,992		4.92	%
Greater than five years	3,434,944		3,387,668		4.43	%	9,479,136		9,526,980		4.31	%
Total	$	41,762,193	$	40,975,612	4.16	%	$	13,453,541	$	13,481,492	4.49	%

The weighted average life of our interest-only securities was 2.8 and 6.2 years as of September 30, 2011 and December 31, 2010, respectively. The weighted average life of our principal-only securities was 2.4 years as of September 30, 2011. We did not have principal-only securities as of December 31, 2010.

The weighted average lives of the agency securities as of September 30, 2011 and December 31, 2010 incorporates anticipated future prepayment assumptions. As of September 30, 2011, our weighted average expected constant prepayment rate (“CPR”) over the remaining life of our aggregate investment portfolio is 13%. Our estimates differ materially for different types of securities and thus individual holdings have a wide range of projected CPRs. We estimate long-term prepayment assumptions for different securities using third-party services and market data. These third-party services estimate prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, mortgage rates of the outstanding loans, loan age, volatility and other factors. We review the prepayment speeds estimated by the third-party services and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate reasonableness. As market conditions may change rapidly, we use our judgment in making adjustments for different securities. Various market participants could use materially different assumptions.

Our agency securities classified as available-for-sale are reported at fair value, with unrealized gains and losses excluded from earnings and reported in OCI, a component of stockholders’ equity. The following table summarizes changes in accumulated OCI for available-for-sale securities for the three and nine months ended September 30, 2011 and 2010 (in thousands):



Agency Securities Classified as Available-for-Sale	Beginning OCI Balance			Unrealized Gains and (Losses), Net	Reversal of Prior Period Unrealized (Gains) and Losses, Net on Realization		Ending OCI Balance
Three months ended September 30, 2011	$	251,151		801,694	(266,264	)	$	786,581
Three months ended September 30, 2010	$	97,435		37,461	(25,800	)	$	109,096
Nine months ended September 30, 2011	$	(27,950	)	1,178,365	(363,834	)	$	786,581
Nine months ended September 30, 2010	$	36,018		155,349	(82,271	)	$	109,096

The following table presents the gross unrealized loss and fair values of our available-for-sale agency securities by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2011 and December 31, 2010 (in thousands):



	Unrealized Loss Position For
	Less than 12 Months					12 Months or More				Total
Agency Securities Classified as Available-for-Sale	Estimated Fair Value		Unrealized Loss			Estimated Fair Value		Unrealized Loss		Estimated Fair Value		Unrealized Loss
September 30, 2011	$	4,145,531	$	(19,670	)	$	—	$	—	$	4,145,531	$	(19,670	)
December 31, 2010	$	7,498,384	$	(96,445	)	$	—	$	—	$	7,498,384	$	(96,445	)

As of September 30, 2011, we did not intend to sell any of these agency securities and we believe it is not more likely than not we will be required to sell the agency securities before recovery of their amortized cost basis. The unrealized losses on these agency securities are not due to credit losses given the government-sponsored entity or government guarantees but are rather due to changes in interest rates and prepayment expectations.

Gains and Losses

The following table is a summary of our net gain from the sale of agency securities for the three and nine months ended September 30, 2011 and 2010 (in thousands):



	Three Months Ended						Nine Months Ended
	September 30, 2011			September 30, 2010			September 30, 2011			September 30, 2010
Agency securities sold, at cost	$	(14,045,636	)	$	(2,172,978	)	$	(26,429,464	)	$	(6,914,764	)
Proceeds from agency securities sold⁽¹⁾	14,308,404			2,197,543			26,790,344			6,996,322
Net gains on sale of agency securities	$	262,768		$	24,565		$	360,880		$	81,558
Gross gains on sale of agency securities	$	267,573		$	26,333		$	376,806		$	87,714
Gross losses on sale of agency securities	(4,805		)	(1,768		)	(15,926		)	(6,156		)
Net gains on sale of agency securities	$	262,768		$	24,565		$	360,880		$	81,558

________________________


(1)	Proceeds include cash received during the period, plus receivable for agency securities sold during the period as of period end.

For the three and nine months ended September 30, 2011, we recognized an unrealized loss of $27.5 and $24.4 million, respectively, and for the three and nine months ended September 30, 2010, we recognized an unrealized gain of $0.9 and an unrealized loss of $7.8 million, respectively, in unrealized loss on derivative instruments and other securities, net in our consolidated statements of operations and comprehensive income for the change in value of investments in interest-only and principal-only securities, net of prior period reversals. For the three and nine months ended September 30, 2011, we recognized a realized loss of $3.5 and $3.0 million, respectively, and for the three and nine months ended September 30, 2010, we recognized a realized loss of $1.2 million and $0.7 million, respectively, in gain on sale of agency securities, net, in our consolidated statements of operations and comprehensive income for the sales of interest-only and principal-only securities.

Pledged Assets

The following tables summarize our agency securities pledged as collateral under repurchase agreements, other debt, derivative agreements and prime broker agreements by type as of September 30, 2011 and December 31, 2010 (in thousands):



	As of September 30, 2011
Agency Securities Pledged⁽¹⁾	Fannie Mae		Freddie Mac		Ginnie Mae		Total
Under Repurchase Agreements
Fair value	$	23,676,914	$	16,989,065	$	103,948	$	40,769,927
Amortized cost	23,181,446		16,666,601		101,949		39,949,996
Accrued interest on pledged agency securities	74,214		54,597		340		129,151
Under Other Debt Agreements
Fair value	60,796		—		—		60,796
Amortized cost	59,807		—		—		59,807
Accrued interest on pledged agency securities	243		—		—		243
Under Derivative Agreements
Fair value	324,818		356,372		—		681,190
Amortized cost	317,846		349,302		—		667,148
Accrued interest on pledged agency securities	1,085		1,124		—		2,209
Under Prime Broker Agreements
Fair value	32,636		8,872		1,397		42,905
Amortized cost	31,896		8,657		1,375		41,928
Accrued interest on pledged agency securities	113		29		5		147
Total Fair Value of Agency Securities Pledged and Accrued Interest	$	24,170,819	$	17,410,059	$	105,690	$	41,686,568

________________________


(1)	Agency securities pledged include pledged amounts of $2.69 billion related to agency securities sold but not yet settled as of September 30, 2011.



	As of December 31, 2010
Agency Securities Pledged⁽²⁾	Fannie Mae		Freddie Mac		Ginnie Mae		Total
Under Repurchase Agreements
Fair value	$	7,707,046	$	4,554,541	$	95,066	$	12,356,653
Amortized cost	7,709,785		4,591,245		94,860		12,395,890
Accrued interest on pledged agency securities	27,589		15,642		332		43,563
Under Other Debt Agreements
Fair value	77,906		—		—		77,906
Amortized cost	77,460		—		—		77,460
Accrued interest on pledged agency securities	325		—		—		325
Under Derivative Agreements
Fair value	36,651		30,306		—		66,957
Amortized cost	36,343		30,382		—		66,725
Accrued interest on pledged agency securities	156		118		—		274
Under Prime Broker Agreements
Fair value	6,061		5,997		2,032		14,090
Amortized cost	6,061		6,061		2,024		14,146
Accrued interest on pledged agency securities	28		21		8		57
Total Fair Value of Agency Securities Pledged and Accrued Interest	$	7,855,762	$	4,606,625	$	97,438	$	12,559,825

________________________


(2)	Agency securities pledged include pledged amounts of $244.7 million related to agency securities sold but not yet settled as of December 31, 2010.

The following table summarizes our agency securities pledged as collateral under repurchase agreements and other debt by remaining maturity as of September 30, 2011 and December 31, 2010 (dollars in thousands):



	As of September 30, 2011⁽¹⁾						As of December 31, 2010⁽¹⁾
Remaining Maturity of Repurchase Agreements and Other Debt	Fair Value of Pledged Agency Securities		Amortized Cost of Pledged Agency Securities		Accrued Interest on Pledged Agency Securities		Fair Value of Pledged Agency Securities		Amortized Cost of Pledged Agency Securities		Accrued Interest on Pledged Agency Securities
30 days or less	$	34,011,545	$	33,320,906	$	107,886	$	9,909,121	$	9,943,239	$	35,151
31 - 59 days	4,836,073		4,744,354		15,313		2,525,438		2,530,111		8,737
60 - 90 days	543,799		531,016		1,690		—		—		—
Greater than 90 days	1,439,306		1,413,527		4,505		—		—		—
Total	$	40,830,723	$	40,009,803	$	129,394	$	12,434,559	$	12,473,350	$	43,888

________________________


(1)	Agency securities pledged include pledged amounts of $2.69 billion and $244.7 million related to agency securities sold but not yet settled as of September 30, 2011 and December 31, 2010, respectively

Securitizations

All of our CMO securities are backed by fixed or adjustable-rate agency securities and Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Our involvement with the consolidated CMO trust described below is limited to the agency securities transferred to the trust by the investment bank and the CMO securities subsequently held by us. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Whether or not we were involved with the formation of the CMO or purchased the securities from third parties in separate transactions, our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest-only securities held by us. As of September 30, 2011 and December 31, 2010, the fair value of all of our CMO securities, interest-only securities and principal-only securities, excluding the consolidated CMO trust discussed below, was $454.4 million and $458.6 million, respectively, or $458.3 million and $463.6 million, respectively, including the net asset value of the consolidated CMO trust discussed below.

During fiscal year 2010, we entered into a CMO transaction whereby we transferred agency securities with a cost basis of $85.9 million to an investment bank in exchange for cash proceeds of $80.8 million and at the same time entered into a commitment with the same investment bank to purchase a to-be-issued interest-only strip collateralized by the agency securities transferred for $5.1 million. The investment bank contributed the transferred agency securities to a securitization trust held by Fannie Mae in exchange for CMO securities issued by the trust. Once the transferred agency securities were transferred to the securitization trust, Fannie Mae may only remove such securities upon certain events. Pursuant to the pre-existing commitment, the investment bank transferred to us the interest-only security issued by the trust. Our primary purpose for entering into this transaction was to eliminate the need to finance the principal class by transferring it to third parties, while still retaining the underlying economics of a financed transaction for the transferred securities, which we viewed as favorable. We concluded that we were the primary beneficiary of the CMO trust based on our disproportionate economic interest and, accordingly, we consolidated the CMO trust as it related to the agency securities transferred by us and the related liabilities issued by the trust. The effect of consolidating the CMO trust was that the interest-only security received was eliminated and we continued to recognize the assets transferred to the securitization trust in our total agency securities held and recorded a corresponding liability for the debt issued by the securitization trust, which is classified as other debt in our accompanying consolidated balance sheets. As of September 30, 2011, we recognized agency securities with a total fair value of $60.8 million and a principal balance of $57.5 million collateralized the remaining debt outstanding issued by the securitization trust of $56.9 million. As of December 31, 2010, we recognized agency securities with a total fair value of $77.9 million and a principal balance of $73.5 million collateralized the remaining debt outstanding issued by the securitization trust of $72.9 million. Such agency securities can only be used to settle this debt and the holder(s) of the debt issued by the securitization trust have no recourse to us. Further, there are no arrangements that could require us to provide financial support to this securitization trust. The consolidation did not materially impact our accompanying consolidated statements of operations and comprehensive income and consolidated statements of cash flows.

Repurchase Agreements And Other Debt

9 Months Ended

Sep. 30, 2011

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements And Other Debt

Repurchase Agreements and Other Debt

We pledge certain of our agency securities as collateral under repurchase arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. Interest rates on these borrowings are generally based on LIBOR plus or minus a margin and amounts available to be borrowed are dependent upon the fair value of the agency securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in fair value of pledged agency securities, lenders may require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls. As of September 30, 2011 and December 31, 2010, we have met all margin call requirements. Due to their short-term nature, repurchase agreements are carried at cost, which approximates fair value.

The following table summarizes our borrowings under repurchase arrangements and weighted average interest rates classified by original maturities as of September 30, 2011 and December 31, 2010 (dollars in thousands):



	As of September 30, 2011					As of December 31, 2010
Original Maturity	Borrowings Outstanding		Average Interest Rate		Weighted Average Days to Maturity	Borrowings Outstanding		Average Interest Rate		Weighted Average Days to Maturity
1 month or less	$	18,946,631	0.27	%	12	$	3,306,175	0.32	%	12
1-2 months	8,110,844		0.28	%	22	5,648,155		0.31	%	20
2-3 months	4,789,136		0.26	%	26	1,496,452		0.29	%	33
3-6 months	5,662,617		0.25	%	34	1,229,310		0.29	%	43
6-9 months	278,758		0.41	%	215	—		—	%	—
9-12 months	1,053,633		0.50	%	348	—		—	%	—
Total / Weighted Average	$	38,841,619	0.28	%	30	$	11,680,092	0.31	%	22

As of September 30, 2011 and December 31, 2010, we did not have an amount at risk with any counterparty greater than 10% of our stockholders’ equity. On October 31, 2011, MF Global Holdings, Ltd., an affiliate of MF Global Inc., a counterparty to one of our master repurchase agreements, filed for Chapter 11 in a U.S. bankruptcy court. As of October 31, 2011, we had less than $1.0 million of counterparty exposure with regard to MF Global Inc.

Other debt of $56.9 million and $72.9 million as of September 30, 2011 and December 31, 2010, respectively, consists of other variable rate debt outstanding at LIBOR plus 25 basis points in connection with the consolidation of a structured transaction for which we are the primary beneficiary in our accompanying financial statements (see Note 4).

Derivative and Other Hedging Instruments

9 Months Ended

Sep. 30, 2011

Derivative Asset, Fair Value, Net [Abstract]

Derivative and Other Hedging Instruments

In connection with our risk management strategy, we hedge a portion of our interest rate risk by entering into derivative and other hedging instrument contracts. We may enter into agreements for interest rate swap agreements, interest rate swaptions, interest rate cap or floor contracts and futures or forward contracts. We may also purchase or short TBA and U.S. Treasury securities, purchase or write put or call options on TBA securities or we may invest in other types of mortgage derivative securities, such as interest-only securities, and synthetic total return swaps, such as the IOS Index. Our risk management strategy attempts to manage the overall risk of the portfolio, reduce fluctuations in book value and generate additional income distributable to stockholders. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 3.

As of September 30, 2011 and December 31, 2010, our derivative and other hedging instruments were comprised primarily of interest rate swaps, which have the effect of modifying the repricing characteristics of our repurchase agreements and cash flows on such liabilities. Our interest rate swaps are used to manage the interest rate risk created by our variable rate short-term repurchase agreements. Under our interest rate swaps, we typically pay a fixed-rate and receive a floating rate based on one-month LIBOR with terms up to 10 years, but generally up to 5 years or less. As discussed further in Note 3, prior to September 30, 2011, our interest rate swaps were typically designated as cash flow hedges under ASC 815.

Derivative and other hedging instruments entered into in addition to interest rate swap agreements are intended to supplement our use of interest rate swaps and we do not currently expect our use of these instruments to be the primary protection against interest rate risk for our portfolio. These instruments are accounted for as either derivatives, but are not generally designated as hedges under ASC 815, or as other securities, with any changes in the fair values of the contracts prior to their settlement date included in earnings in unrealized gain (loss) on derivative instruments and other securities, net in our consolidated statements of operations and comprehensive income. We do not use derivative or other hedging instruments for speculative purposes.

Derivatives Designated as Hedging Instruments

Prior to September 30, 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, during the quarter ended September 30, 2011, we elected to discontinue hedge accounting by a combination of not designating new interest rate swaps as qualifying cash flow hedges and de-designating all of our remaining interest rate swaps on September 30, 2011 (see Note 3 for further information on our discontinuation of hedge accounting). As of December 31, 2010, we had net interest rate swap liabilities of $37.7 million designated as qualifying cash flow hedges.

The tables below summarize information about our outstanding interest rate swaps designated as cash flow hedges as of September 30, 2011 and December 31, 2010 (dollars in thousands):



		As of
Interest Rate Swaps Designated as Hedging Instruments	Balance Sheet Location	September 30, 2011		December 31, 2010
Interest rate swap assets	Derivative assets, at fair value	$	—	$	33,695
Interest rate swap liabilities	Derivative liabilities, at fair value	—		(71,417		)
		$	—	$	(37,722	)



	As of December 31, 2010
Remaining Term of Interest Rate Swaps Designated as Hedging Instruments	Notional Amount		Average Fixed Pay Rate		Average Receive Rate		Net Estimated Fair Value			Average Maturity (Years)
1 year or less	$	750,000	1.40	%	0.26	%	$	(5,595	)	0.7
Greater than 1 year and less than 3 years	2,850,000		1.54	%	0.26	%	(32,865		)	2.5
Greater than 3 years and less than 5 years	2,850,000		1.78	%	0.26	%	738			4.3
Greater than 5 years	—		—	%	—	%	—			—
Total	$	6,450,000	1.63	%	0.26	%	$	(37,722	)	3.1

The following table summarizes information about our outstanding interest rate swaps designated as hedging instruments for the three and nine months ended September 30, 2011 and 2010 (in thousands):



Interest Rate Swaps Designated as Hedging Instruments	Beginning Notional Amount		Additions	Expirations/ Terminations		Hedge De-Designations		Ending Notional Amount
Three months ended September 30, 2011	$	22,000,000	2,100,000	(200,000	)	(23,900,000	)	$	—
Three months ended September 30, 2010	$	3,000,000	1,200,000	—		—		$	4,200,000
Nine months ended September 30, 2011	$	6,450,000	17,900,000	(450,000	)	(23,900,000	)	$	—
Nine months ended September 30, 2010	$	2,050,000	2,150,000	—		—		$	4,200,000

The table below summarizes the effect of interest rate swaps designated as hedges under ASC 815 on our consolidated statement of operations for the three and nine months ended September 30, 2011 and 2010 (in thousands):



Interest Rate Swaps Designated as Hedging Instruments	Amount of Gain or (Loss) Recognized in OCI (Effective Portion)			Location of Gain or (Loss) Reclassified from OCI into Earnings (Effective Portion)	Amount of Gain or (Loss) Reclassified from OCI into Earnings (Effective Portion)			Location of Gain or (Loss) Recognized in Earnings (Ineffective Portion and Amount Excluded from Effectiveness Testing)	Amount of Gain or (Loss) Recognized in Earnings (Ineffective Portion and Amount Excluded from Effectiveness Testing)
Three months ended September 30, 2011	$	(512,208	)	Interest Expense	$	(70,854	)	Loss on derivative instruments and Other securities, net	$	(914	)
Three months ended September 30, 2010	$	(39,823	)	Interest Expense	$	(13,261	)	Loss on derivative instruments and Other securities, net	$	(25	)
Nine months ended September 30, 2011	$	(706,972	)	Interest Expense	$	(140,074	)	Loss on derivative instruments and Other securities, net	$	(1,552	)
Nine months ended September 30, 2010	$	(99,428	)	Interest Expense	$	(40,332	)	Loss on derivative instruments and Other securities, net	$	(340	)

As of September 30, 2011, the amount of net deferred loss related to de-designated interest rate swaps was $744.4 million, which, provided we continue to hold repurchase agreements in excess of the notional value of our de-designated swap contracts, will be reclassified from OCI into earnings through interest expense over a weighted average remaining contractual term of 3.4 years. The net deferred loss expected to be reclassified from OCI into interest expense over the next twelve months is $208.8 million.

Additionally, during the nine months ended September 30, 2011 and the three and nine months ended September 30, 2010, we entered into or held forward contracts to purchase TBA and specified agency securities that were designated as cash flow hedges pursuant to ASC 815. We did not enter into such agreements during the three month period ended September 30, 2011. The following table summarizes information about our outstanding forward contracts designated as hedging instruments for the three and nine months ended September 30, 2011 and 2010 (dollars in thousands):



Purchases of TBAs and Forward Settling Agency Securities Designated as Hedging Instruments	Beginning Notional Amount		Additions	Settlement / Expirations		Ending Notional Amount		Fair Value as of Period End		Average Maturity as of Period End (Months)
Three months ended September 30, 2011	$	—	—	—		$	—	$	—	—
Three months ended September 30, 2010	$	80,000	175,000	(80,000	)	$	175,000	$	1,807	3
Nine months ended September 30, 2011	$	245,000	—	(245,000	)	$	—	$	—	—
Nine months ended September 30, 2010	$	—	321,303	(146,303	)	$	175,000	$	1,807	3

The effective portion of gains or losses for TBAs and forward settling specified agency securities is initially recognized in OCI for designated cash flow hedges and is subsequently reclassified within OCI for available-for-sale securities upon acquisition of the underlying hedged item. The ineffective portion of gains or losses is recognized in earnings in realized gain (loss) on derivative instruments and other securities, net.

The table below summarizes the effect of purchases of TBAs and forward settling securities designated as hedges under ASC 815 on our consolidated statement of operations and comprehensive income for the three and nine months ended September 30, 2011 and 2010 (in thousands).



Purchases of TBAs and Forward Settling Agency Securities Designated as Hedging Instruments	Amount of Gain or (Loss) Recognized in OCI for Cash Flow Hedges (Effective Portion)		Amount of Gain or (Loss) Recognized in OCI for Cash Flow Hedges and Reclassified to OCI for Available-for-Sale Securities (Effective Portion)			Location of Gain or (Loss) Recognized in Earnings (Ineffective Portion and Amount Excluded from Effectiveness Testing)	Amount of Gain or (Loss) Recognized in Earnings (Ineffective Portion and Amount Excluded from Effectiveness Testing)
Three months ended September 30, 2011	$	—	$	—		Loss on derivative instruments and Other securities, net	$	—
Three months ended September 30, 2010	$	1,807	$	—		Loss on derivative instruments and Other securities, net	$	—
Nine months ended September 30, 2011	$	12	$	(3,213	)	Loss on derivative instruments and Other securities, net	$	—
Nine months ended September 30, 2010	$	1,807	$	1,262		Loss on derivative instruments and Other securities, net	$	—

Derivatives Not Designated as Hedging Instruments

As of September 30, 2011 and December 31, 2010, we had interest rate swap agreements outstanding that were not designated as hedges under ASC 815 consisting of interest rate swap agreements where we pay a fixed rate (“payer interest rate swaps”) and interest rate swap agreements where we receive a fixed rate (“receiver interest rate swaps”), summarized in the tables below (dollars in thousands).



	As of September 30, 2011
Maturity of Interest Rate Swaps Not Designated as Hedging Instruments⁽¹⁾	Notional Amount		Average Fixed Pay Rate		Average Receive Rate		Net Estimated Fair Value			Average Maturity (Years)
2011	$	300,000	1.28	%	0.23	%	$	(652	)	0.1
2012	750,000		2.01	%	0.23	%	(10,898		)	0.9
2013	3,050,000		1.06	%	0.23	%	(34,534		)	1.8
2014	7,300,000		1.22	%	0.24	%	(127,255		)	2.8
2015	7,700,000		1.51	%	0.28	%	(193,141		)	3.7
2016	7,550,000		2.17	%	0.23	%	(392,090		)	4.7
2018	100,000		1.79	%	0.37	%	(486		)	7.1
2021	200,000		2.00	%	0.37	%	1,460			10.1
Total Payer Interest Rate Swaps	$	26,950,000	1.58	%	0.25	%	$	(757,596	)	3.4

________________________


(1)	Amounts include the effect of deferred start dates for forward starting swaps of $1.9 billion ranging from one to three months from September 30, 2011.



	As of December 31, 2010
Interest Rate Swaps Not Designated as Hedging Instruments	Maturity	Notional Amount		Average Fixed Pay (Receive) Rate		Average Receive (Pay) Rate		Net Estimated Fair Value		Average Maturity (Years)
Payer interest rate swaps	2015	$	250,000	1.66	%	0.26	%	$	4,140	4.9
Receiver interest rate swaps	2015	$	200,000	(2.26	)%	(0.26	)%	$	2,743	4.7

As of September 30, 2011 and December 31, 2010, we had interest rate swaption agreements outstanding consisting of options to enter into interest rate swaps in the future where we would pay a fixed rate (“payer swaptions”) as summarized in the tables below (dollars in thousands).



	Option					Underlying Swap
Payer Swaptions	Cost		Fair Value		Average Months to Expiration	Notional Amount		Pay Rate		Average Receive Rate	Average Term (Years)
As of September 30, 2011	$	45,570	$	4,456	8	$	3,250,000	3.59	%	1M LIBOR	6.9
As of December 31, 2010	$	4,596	$	16,766	4	$	850,000	2.28	%	1M LIBOR	5.6

As of September 30, 2011 and December 31, 2010, we had contracts to purchase (“long position”) and sell (“short position”) TBA and specified agency securities on a forward basis. Following is a summary of our long and short TBA and forward settling positions as of September 30, 2011 and December 31, 2010 (in thousands).



	As of September 30, 2011						As of December 31, 2010
Purchase and Sale Contracts for TBAs and Forward Settling Securities Not Designated as Hedging Instruments	Notional Amount			Fair Value			Notional Amount			Fair Value
TBA securities:
Purchase contracts	$	5,426,400		$	21,471		$	2,282,000		$	13,510
Sale contracts	(5,994,000		)	(10,464		)	(3,290,200		)	3,611
TBA securities, net⁽¹⁾	(567,600		)	11,007			(1,008,200		)	17,121
Forward settling securities:
Purchase contracts	10,000			(44		)	159,303			(1,820		)
Sale contracts	(259,615		)	(1,695		)	—			—
Forward settling securities, net⁽²⁾	(249,615		)	(1,739		)	159,303			(1,820		)
Total TBA and forward settling securities, net	$	(817,215	)	$	9,268		$	(848,897	)	$	15,301

________________________


(1)	Includes 15-year and 30-year TBA securities of varying coupons


(2)	Includes 20-year fixed securities and ARMs of varying coupons

As of September 30, 2011, we had total return swaps outstanding linked to the Markit IOS Index, summarized in the table below. Under these swap agreements, we are either entitled to receive (“long position”) or pay (“short position”) a stated coupon linked to the index, net of an implied financing cost equal to one-month LIBOR, plus/(minus) increases/(decreases) in the index market value. Long positions are intended to synthetically replicate the performance of interest-only securities. Therefore, as interest rates rise and prepayment expectations decline, the index will typically increase in value and, as interest rates fall and prepayment expectations rise, the index will typically decrease in value. The holder of a long position is required to pay a monthly periodic cash settlement equal to a decrease in the index value and, conversely, is entitled to receive a periodic cash settlement equal to an increase in the index value. The converse applies to the holder of a short position. Changes, or mark-to-market movements, in the index are measured from the preceding periodic measurement date. Periodic cash settlements of the index mark-to-market movements are netted against periodic cash settlements of the stated coupon, less the implied financing costs.

As of September 30, 2011, the linked index values of our total return swaps totaled $(40.6) million. The net fair value of these total return swaps reported in derivative assets and liabilities on our consolidated balance sheet as of September 30, 2011 was $4.0 million and represents the unrealized mark-to-market change in the linked index value since the preceding measurement date through September 30, 2011. Realized and unrealized gains and losses associated with changes in the underlying linked index value and net coupon interest are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of operations and comprehensive income. We did not have any total return swaps outstanding as of December 31, 2010.



(in thousands)		As of September 30, 2011
Position	Markit IOS Sub-Index	Notional Amount			Expiration Date	Fair Value
Long	6.0%, 30-Year, Fixed Rate, Fannie Mae MBS Pools	$	64,595		January 2039	$	(1,079	)

Short	5.0%, 30-Year, Fixed Rate, Fannie Mae MBS Pools	(158,462		)	January 2040	1,835
	5.5%, 30-Year, Fixed Rate, Fannie Mae MBS Pools	(49,764		)	January 2039	1,310
	6.0%, 30-Year, Fixed Rate, Fannie Mae MBS Pools	(114,674		)	January 2039	1,916
Total Short		(322,900		)		5,061
Net		$	(258,305	)		$	3,982

The table below summarizes fair value information about our derivatives outstanding that were not designated as hedging instruments as of September 30, 2011 and December 31, 2010 (in thousands).



		As of
Derivatives Not Designated as Hedging Instruments	Balance Sheet Location	September 30, 2011			December 31, 2010
Purchase of TBA and forward settling agency securities	Derivative assets, at fair value	$	24,469		$	2,929
Sale of TBA and forward settling agency securities	Derivative assets, at fair value	7,794			16,320
U.S. Treasury futures	Derivative assets, at fair value	1,708			—
Markit IOS total return swaps - short	Derivative assets, at fair value	5,061			—
Payer interest rate swaps	Derivative assets, at fair value	4,608			4,140
Receiver interest rate swaps	Derivative assets, at fair value	6,436			2,743
Payer swaptions	Derivative assets, at fair value	4,456			16,766
		$	54,532		$	42,898
Purchase of TBA and forward settling agency securities	Derivative liabilities, at fair value	$	(3,042	)	$	(2,193	)
Sale of TBA and forward settling agency securities	Derivative liabilities, at fair value	(19,953		)	(1,755		)
Payer interest rate swaps	Derivative liabilities, at fair value	(768,640		)	—
Markit IOS total return swaps - long	Derivative liabilities, at fair value	(1,079		)	—
		$	(792,714	)	$	(3,948	)

Additionally, as of September 30, 2011 and December 31, 2010, we had obligations to return treasury securities borrowed under reverse repurchase agreements accounted for as securities borrowing transactions for a fair value of $473.2 million and $245.5 million, respectively. The borrowed securities were used to cover short sales of treasury securities from which we received total proceeds of $468.4 million and $244.8 million, respectively. The change in fair value of the borrowed securities is recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statement of operations and comprehensive income.

The tables below summarize the effect of derivative instruments not designated as hedges under ASC 815 on our consolidated statement of operations and comprehensive income for the three and nine months ended September 30, 2011 and 2010 (in thousands):



	For the Three Months Ended September 30, 2011
Derivatives Not Designated as Hedging Instruments	Notional Amount as of June 30, 2011		Additions	Additions Due to Hedge De-Designations	Settlement, Expiration or Exercise		Notional Amount as of September 30, 2011		Amount of Gain/(Loss) Recognized in Income on Derivatives⁽¹⁾
Purchase of TBA and forward settling agency securities	$	3,432,365	19,881,039	—	(17,877,004	)	$	5,436,400	$	73,335
Sale of TBA and forward settling agency securities	$	4,281,525	37,866,575	—	(35,894,485	)	$	6,253,615	(146,363		)
Payer interest rate swaps	$	250,000	2,900,000	23,900,000	—		$	27,050,000	(6,243		)
Receiver interest rate swaps	$	100,000	—	—	—		$	100,000	3,365
Payer swaptions	$	4,050,000	250,000	—	(1,050,000	)	$	3,250,000	(32,734		)
Short sales of U.S. Treasury securities	$	1,464,000	3,450,000	—	(4,449,000	)	$	465,000	(92,018		)
U.S. Treasury futures	$	—	350,000	—	—		$	350,000	1,702
Markit IOS total return swaps - long	$	682,655	64,595	—	(682,655	)	$	64,595	(18,817		)
Markit IOS total return swaps - short	$	309,303	322,900	—	(309,303	)	$	322,900	19,665
									$	(198,108	)

______________________

(1)

This amount excludes $27.5 million recorded as a loss for interest-only and principal-only securities re-measured at fair value through earnings, a loss of $0.9 million for hedge ineffectiveness on our outstanding interest rate swaps designated as hedging instruments and a net gain of $5.0 million from other derivatives and securities in gain (loss) on derivative instruments and other securities, net in our consolidated statement of operations and comprehensive income for the three months ended September 30, 2011.



	For the Three Months Ended September 30, 2010
Derivatives Not Designated as Hedging Instruments	Notional Amount as of June 30, 2010		Additions	Settlement, Expiration or Exercise		Notional Amount as of September 30, 2010		Amount of Gain/(Loss) Recognized in Income on Derivatives⁽²⁾
Purchase of TBA and forward settling agency securities	$	181,142	947,794	(760,018	)	$	369,098	$	2,296
Sale of TBA and forward settling agency securities	$	270,000	2,005,073	(1,351,912	)	$	923,161	(10,059		)
Payer interest rate swaps	$	—	200,000	(150,000	)	$	50,000	(2,303		)
Receiver interest rate swaps	$	—	200,000	—		$	200,000	88
Payer swaptions	$	200,000	—	—		$	200,000	(7		)
Receiver swaptions	$	300,000	—	(300,000	)	$	—	7,004
Short sales of U.S. Treasury securities	$	—	150,000	(150,000	)	$	—	(330		)
								$	(3,311	)

______________________

(2)

This amount excludes $0.9 million recorded as a loss for interest-only securities re-measured at fair value through earnings, a loss of $25 thousand for hedge ineffectiveness on our outstanding interest rate swaps and a gain of $0.5 million from other securities in gain (loss) on derivative instruments and other securities, net in our consolidated statement of operations and comprehensive income for the three months ended September 30, 2010.



	For the Nine Months Ended September 30, 2011
Derivatives Not Designated as Hedging Instruments	Notional Amount as of December 31, 2010		Additions		Additions Due to Hedge De-Designations	Settlement, Expiration or Exercise		Notional Amount as of September 30, 2011		Amount of Gain/(Loss) Recognized in Income on Derivatives⁽³⁾
Purchase of TBA and forward settling agency securities	$	512,303	42,222,204		—	(37,298,107	)	$	5,436,400	$	118,586
Sale of TBA and forward settling agency securities	$	1,361,200	88,795,265		—	(83,902,850	)	$	6,253,615	(292,699		)
Put options	$	—	(200,000	)	—	200,000		$	—	1,133
Payer interest rate swaps	$	250,000	2,900,000		23,900,000	—		$	27,050,000	(12,130		)
Receiver interest rate swaps	$	200,000	—		—	(100,000	)	$	100,000	4,291
Payer swaptions	$	850,000	4,450,000		—	(2,050,000	)	$	3,250,000	(58,614		)
Receiver swaptions	$	—	250,000		—	(250,000	)	$	—	(736		)
Short sales of U.S. Treasury securities	$	250,000	11,974,000		—	(11,759,000	)	$	465,000	(91,823		)
Treasury futures	$	—	400,000		—	(50,000	)	$	350,000	1,950
Markit IOS total return swaps - long	$	—	1,154,015		—	(1,089,420	)	$	64,595	(6,377		)
Markit IOS total return swaps - short	$	—	635,559		—	(312,659	)	$	322,900	19,120
										$	(317,299	)

______________________

(3)

This amount excludes $24.4 million recorded as a loss for interest-only securities re-measured at fair value through earnings, a loss of $1.6 million for hedge ineffectiveness on our outstanding interest rate swaps and a gain of $33.3 million from other securities in gain (loss) on derivative instruments and other securities, net in our consolidated statement of operations and comprehensive for the nine months ended September 30, 2011.



	For the Nine Months Ended September 30, 2010
Derivatives Not Designated as Hedging Instruments	Notional Amount as of December 31, 2009		Additions	Settlement, Expiration or Exercise		Notional Amount as of September 30, 2010		Amount of Gain/(Loss) Recognized in Income on Derivatives⁽⁴⁾
Purchase of TBA and forward settling agency securities	$	596,516	2,037,063	(2,264,481	)	$	369,098	$	14,730
Sale of TBA and forward settling agency securities	$	616,747	4,822,333	(4,515,919	)	$	923,161	(30,936		)
Put options	$	—	75,000	(75,000	)	$	—	(328		)
Payer interest rate swaps	$	—	350,000	(300,000	)	$	50,000	(3,414		)
Receiver interest rate swaps	$	—	200,000	—		$	200,000	88
Payer swaptions	$	200,000	—	—		$	200,000	(2,389		)
Receiver swaptions	$	100,000	300,000	(400,000	)	$	—	9,130
Short sales of U.S. Treasury securities	$	—	150,000	(150,000	)	$	—	(330		)
								$	(13,449	)

______________________

(4)

This amount excludes $7.8 million recorded as a loss for interest-only securities re-measured at fair value through earnings, a loss of $0.3 million for hedge ineffectiveness on our outstanding interest rate swaps and a gain of $1.9 million from other securities in gain (loss) on derivative instruments and other securities, net in our consolidated statement of operations and comprehensive for the nine months ended September 30, 2010.

Credit Risk-Related Contingent Features

The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we may be required to pledge assets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty we may not receive payments provided for under the terms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents and agency securities pledged as collateral for our derivative instruments is included in restricted cash and agency securities, respectively, on our consolidated balance sheets.

Each of our ISDA Master Agreements contains provisions under which we are required to fully collateralize our obligations under the swap instrument if at any point the fair value of the swap represents a liability greater than the minimum transfer amount contained within our agreements. We were also required to post initial collateral upon execution of certain of our swap transactions. If we breach any of these provisions, we will be required to settle our obligations under the agreements at their termination values.

Further, each of our ISDA Master Agreements also contains a cross default provision under which a default under certain of our other indebtedness in excess of a certain threshold causes an event of default under the agreement. Threshold amounts vary by lender. Following an event of default, we could be required to settle our obligations under the agreements at their termination values. Additionally, under certain of our ISDA Master Agreements, we could be required to settle our obligations under the agreements at their termination values if we fail to maintain certain minimum shareholders’ equity thresholds or our REIT status or comply with limits on our leverage above certain specified levels.

As of September 30, 2011, the fair value of our interest rate swaps in a liability position related to these agreements was $754.8 million. We had agency securities with fair values of $633.7 million, and restricted cash of $317.0 million, or $950.7 million in total agency securities and restricted cash, pledged as collateral against our interest rate swaps, including initial collateral posted upon execution of interest rate swap and total return swap transactions, as of September 30, 2011. Termination values of interest rate swaps in a liability position totaled $765.7 million as of September 30, 2011. The difference between the fair value liability and the termination liability represents accrued interest and an adjustment for nonperformance risk of our counterparties.

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1A
-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5579245-113959

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5624163-113959

Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5624171-113959

Reference 4: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=6935481&loc=d3e41678-113959

Reference 5: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.4-08.(n)(2))
-URI http://asc.fasb.org/extlink&oid=6881521&loc=d3e23780-122690

Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4
-URI http://asc.fasb.org/extlink&oid=6935481&loc=d3e41638-113959

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1B
-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5580258-113959

Reference 8: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5579240-113959

Reference 9: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 5
-URI http://asc.fasb.org/extlink&oid=6935481&loc=d3e41641-113959

Reference 10: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=6935481&loc=d3e41620-113959

Reference 11: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 25
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=6886632&loc=d3e76258-113986

Fair Value Measurements

9 Months Ended

Sep. 30, 2011

Fair Value Measurements [Abstract]

Fair Value Measurements

ASC 820 provides for a three-level valuation hierarchy for disclosure of fair value measurement. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. A financial instrument’s categorization within the hierarchy is based upon the lowest level of input that is significant to the fair value measurement. There were no transfers between hierarchy levels during the nine months ended September 30, 2011 and 2010. The three levels of hierarchy are defined as follows:


•	Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date.


•	Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.


•	Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated.

All of our agency securities and derivative and hedging assets and liabilities were valued based on the income or market approach using Level 2 inputs as of September 30, 2011 and December 31, 2010.

Tabular disclosure of the fair value measurement of assets and liabilities which includes [financial] instruments measured at fair value that are classified in stockholders' equity. Such assets and liabilities may be measured on a recurring or nonrecurring basis. The disclosures which may be required or desired include: (1) for assets and liabilities measured on a recurring basis, disclosure may include: (a) the fair value measurements at the reporting date; (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3); (c) for fair value measurements using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (i) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (ii) purchases, sales, issuances, and settlements (net); (iii) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs); (d) the amount of the total gains or losses for the period in subparagraph (c) (i) above included in earnings (or changes in net assets) that are attributable to the change in unrealized gains or losses relating to those assets and liabilities still held at the reporting date and a description of where those unrealized gains or losses are reported in the statement of income (or activities); (e) the valuation technique(s) used to measure fair value and a discussion of changes in valuation techniques, if any, during the period and (2) for assets and liabilities that are measured at fair value on a nonrecurring basis (for example, impaired assets) disclosure may include, in addition to (a) above: (a) the reasons for the fair value measurements recorded; (b) the same as (b) above; (c) for fair value measurements using significant unobservable inputs (Level 3), a description of the inputs and the information used to develop the inputs; and (d) the valuation technique(s) used to measure fair value and a discussion of changes, if any, in the valuation technique(s) used to measure similar assets and/or liabilities in prior periods. Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 107
-Paragraph 10
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 157
-Paragraph 32
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 157
-Paragraph 33
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 4: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 157
-Paragraph 6
-Footnote 4
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 5: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=6925170&loc=d3e19207-110258

Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=6925170&loc=d3e19190-110258

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=6925170&loc=d3e19279-110258

Reference 8: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 5
-URI http://asc.fasb.org/extlink&oid=6925170&loc=d3e19296-110258

Stockholders' Equity Note [Abstract]

Stockholders' Equity

9 Months Ended

Sep. 30, 2011

Stockholders' Equity

Stockholders’ Equity

Equity Offerings

During the nine months ended September 30, 2011, we completed three follow-on public offerings of shares of our common stock summarized in the table below (in thousands, except per share amounts):



Public Offering	Price Received Per Share⁽¹⁾		Shares	Net Proceeds⁽²⁾
January 2011	$	28.00	26,910	$	719,250
March 2011⁽³⁾	$	27.72	32,200	892,233
June 2011⁽³⁾	$	27.56	49,680	1,368,848
Total			108,790	$	2,980,331

________________________


(1)	Price received per share is gross of underwriters’ discount, if applicable.


(2)	Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs.


(3)	Shares of our common stock were sold to underwriters, who sold the shares in one or more transactions on the Nasdaq Global Select Market, in the over-the-counter market, through negotiated transactions or otherwise at market prices prevailing at the time of sale.

In November 2011, we completed a public offering in which 40.5 million shares of our common stock were sold to the underwriters at a price of $27.36 per share. The underwriters in the offering sold the shares of our common stock in one or more transactions on the Nasdaq Global Select Market, in the over-the-counter market, through negotiated transactions or otherwise at market prices prevailing at the time of sale. Upon completion of the offering we received proceeds, net of offering expenses, of approximately $1.1 billion.

Controlled Equity Offering^SM Program

We have a sales agreement with an underwriter to, from time-to-time, publicly offer and sell up to 15 million shares of our common stock in privately negotiated and/or at-the-market transactions. During the three month period ended September 30, 2011, we sold 5.1 million shares of our common stock under the sales agreement at an average offering price of $29.07 per share for proceeds, net of the underwriter’s discount and other program costs, of $146.9 million. During the nine month period ended September 30, 2011, we sold 9.4 million shares of our common stock under the sales agreement at an average offering price of $29.23 per share for proceeds, net of the underwriter’s discount and other program costs, of $273.0 million. As of September 30, 2011, 1.2 million shares of our common stock remain available for issuance under the sales agreement.

Dividend Reinvestment and Direct Stock Purchase Plan

We sponsor a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of our common stock by reinvesting some or all of the cash dividends received on shares of our common stock. Stockholders may also make optional cash purchases of shares of our common stock subject to certain limitations detailed in the plan prospectus. During the three month period ended September 30, 2011, there were no shares issued under the plan. During the nine month period ended September 30, 2011, we issued 0.5 million shares under the plan for net cash proceeds of $14.9 million. As of September 30, 2011, there were 4.7 million shares available for issuance under the plan.

The entire disclosure for shareholders' equity, comprised of portions attributable to the parent entity and noncontrolling interest, if any, including other comprehensive income (as applicable). Including, but not limited to: (1) balances of common stock, preferred stock, additional paid-in capital, other capital and retained earnings; (2) accumulated balance for each classification of other comprehensive income and total amount of comprehensive income; (3) amount and nature of changes in separate accounts, including the number of shares authorized and outstanding, number of shares issued upon exercise and conversion, and for other comprehensive income, the adjustments for reclassifications to net income; (4) rights and privileges of each class of stock authorized; (5) basis of treasury stock, if other than cost, and amounts paid and accounting treatment for treasury stock purchased significantly in excess of market; (6) dividends paid or payable per share and in the aggregate for each class of stock for each period presented; (7) dividend restrictions and accumulated preferred dividends in arrears (in aggregate and per share amount); (8) retained earnings appropriations or restrictions, such as dividend restrictions; (9) impact of change in accounting principle, initial adoption of new accounting principle and correction of an error in previously issued financial statements; (10) shares held in trust for Employee Stock Ownership Plan (ESOP); (11) deferred compensation related to issuance of capital stock; (12) note received for issuance of stock; (13) unamortized discount on shares; (14) description, terms, and number of warrants or rights outstanding; (15) shares under subscription and subscription receivables, effective date of new retained earnings after quasi-reorganization and deficit eliminated by quasi-reorganization and, for a period of at least ten years after the effective date, the point in time from which the new retained dates; and (16) retroactive effective of subsequent change in capital structure.

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher AICPA
-Name Accounting Principles Board Opinion (APB)
-Number 12
-Paragraph 10
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Regulation S-X (SX)
-Number 210
-Section 04
-Article 3

Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Regulation S-X (SX)
-Number 210
-Article 4
-Section 08
-Paragraph d

Reference 4: http://www.xbrl.org/2003/role/presentationRef
-Publisher AICPA
-Name Accounting Research Bulletin (ARB)
-Number 43
-Chapter 1
-Section B
-Paragraph 7, 11A
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 5: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 129
-Paragraph 2, 3, 4, 5, 6, 7, 8
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Regulation S-X (SX)
-Number 210
-Section 08
-Article 4

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 5
-Paragraph 15
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 8: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Regulation S-X (SX)
-Number 210
-Section 02
-Paragraph 29, 30, 31
-Article 5

Reference 9: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Staff Accounting Bulletin (SAB)
-Number Topic 4
-Section E

Reference 10: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Staff Accounting Bulletin (SAB)
-Number Topic 4
-Section C

Reference 11: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 505
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.3-04)
-URI http://asc.fasb.org/extlink&oid=6959260&loc=d3e187085-122770

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Reference 17: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.4-08.(d),(e))
-URI http://asc.fasb.org/extlink&oid=6881521&loc=d3e23780-122690

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-Publisher FASB
-Name Accounting Standards Codification
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-Paragraph 6
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-Name Accounting Standards Codification
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-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=6405834&loc=d3e23285-112656

Reference 20: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 310
-SubTopic 10
-Section S99
-Paragraph 2
-Subparagraph (SAB TOPIC 4.E)
-URI http://asc.fasb.org/extlink&oid=6228006&loc=d3e74512-122707

Reference 21: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Glossary Preferred Stock
-URI http://asc.fasb.org/extlink&oid=6521494

Reference 22: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
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-Paragraph 1
-Subparagraph (SX 210.5-02.29-31)
-URI http://asc.fasb.org/extlink&oid=6877327&loc=d3e13212-122682

Reference 23: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
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-Subparagraph (SAB TOPIC 4.C)
-URI http://asc.fasb.org/extlink&oid=6959260&loc=d3e187143-122770

Summary of Significant Accounting Policies (Policy)	9 Months Ended
Summary of Significant Accounting Policies (Policy)	Sep. 30, 2011
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Investments in Agency Securities	Investments in Agency Securities Accounting Standards Codification (“ASC”) Topic 320, Investments—Debt and Equity Securities (“ASC 320”), requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Securities classified as trading and available-for-sale are reported at fair value, while securities classified as held-to-maturity are reported at amortized cost. We may, from time to time, sell any of our agency securities as part of our overall management of our investment portfolio. Accordingly, we typically designate our agency securities as available-for-sale. All securities classified as available-for-sale are reported at fair value, with unrealized gains and losses reported in other comprehensive income (loss) (“OCI”), a component of stockholders’ equity. Upon the sale of a security, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. Interest-only securities and inverse interest-only securities (collectively referred to as “interest-only securities”) represent our right to receive a specified proportion of the contractual interest flows of specific agency and CMO securities. Principal-only securities represent our right to receive the contractual principal flows of specific agency and CMO securities. Interest-only and principal-only securities are measured at fair value through earnings in unrealized gain (loss) on derivative instruments and other securities, net in our consolidated statements of operations and comprehensive income. Our investments in interest-only and principal-only securities are included in agency securities, at fair value on the accompanying consolidated balance sheets. We estimate the fair value of our agency securities based on a market approach using Level 2 inputs from third-party pricing services and dealer quotes. The third-party pricing services use pricing models that incorporate such factors as coupons, primary and secondary mortgage rates, prepayment speeds, spread to the Treasury and interest rate swap curves, convexity, duration, periodic and life caps and credit enhancements. The dealer quotes incorporate common market pricing methods, including a spread measurement to the Treasury or interest rate swap curve as well as underlying characteristics of the particular security including coupon, periodic and life caps, rate reset period, issuer, additional credit support and expected life of the security. We evaluate securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis, and more frequently when economic or market conditions warrant such evaluation. Based on the criteria in ASC 320, the determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When an agency security is impaired, an OTTI is considered to have occurred if (i) we intend to sell the agency security (i.e. a decision has been made as the reporting date) or (ii) it is more likely than not that we will be required to sell the agency security before recovery of its amortized cost basis. If we intend to sell the security or if it is more likely than not that we will be required to sell the agency security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. We did not recognize any OTTI charges on any of our agency securities for the nine months ended September 30, 2011 and 2010.
Interest Income	Interest Income Interest income is accrued based on the outstanding principal amount of the agency securities and their contractual terms. Premiums and discounts associated with the purchase of agency securities are amortized or accreted into interest income over the projected lives of the securities, including contractual payments and estimated prepayments using the interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs (“ASC 310-20”). We estimate long-term prepayment speeds using a third-party service and market data. The third-party service estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates, current mortgage rates of the outstanding loans, loan age, volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the prepayment speeds estimated by the third-party service and based on our Manager’s judgment we may make adjustments to their estimates. Actual and anticipated prepayment experience is reviewed quarterly and effective yields are recalculated when differences arise between the previously estimated future prepayments and the amounts actually received plus current anticipated future prepayments. If the actual and anticipated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. In addition, pursuant to ASC 310-20, the yield on our adjustable rate securities assumes that the securities reset at a rate equal to the underlying index rate in effect as of the date we acquired the security plus the stated margin. Consequently, future reset rate assumptions incorporated in our asset yields may differ materially from future reset rates implied by the forward yield curve and the actual reset rates ultimately achieved. Further, notwithstanding changes to our actual and projected constant prepayment rate (“CPR”) assumptions, the lower our reset rate assumption is pursuant to ASC 310-20 than the current fixed rate in effect, the greater the rate of premium amortization we will recognize over the initial fixed rate period. Our adjustable rate portfolio was acquired for a premium above par value and most securities were acquired during a period of historically low index rates. Accordingly, the premium balance on our adjustable rate securities will generally be fully amortized prior to their first reset date, regardless of actual or forecasted prepayment speeds and changes in the underlying index rates prior to actual reset. Adjustable rate securities acquired during a different interest rate environment may experience a different premium amortization pattern even as current index rates remain near their historical lows.
Derivative and other Hedging Instruments	Interest rate swaptions We may purchase interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of our investment portfolio (referred to as “convexity risk”). The interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in unrealized gain (loss) on derivative instruments and other securities, net in our consolidated statement of operations and comprehensive income. If a swaption expires unexercised, the loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. We estimate the fair value of interest rate swaptions based on the fair value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option. TBA securities A TBA security is a futures contract for the purchase or sale of agency securities at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific agency securities delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. TBA securities are exempt from ASC 815 and are accounted for under ASC 320 if there is no other way to purchase or sell that security, if delivery of that security and settlement will occur within the shortest period possible for that type of security and if it is probable at inception and throughout the term of the individual contract that physical delivery of the security will occur (referred to as the “regular-way” exception). Alternatively, we may designate the TBA security as a qualifying cash flow hedge under ASC 815 if the regular-way exception is not met and at the time of the purchase or sale of the security, and throughout the term of the individual contract, it is probable that the forecasted transaction will occur and the hedging relationship is expected to be highly effective. For TBA security contracts that we have entered into, we have generally not asserted that physical settlement is probable or that the forecasted transaction is probable of occurring and, therefore, we typically have not designated these forward commitments as hedging instruments. Realized and unrealized gains and losses associated with TBA contracts not subject to the regular-way exception or not designated as hedging instruments are recognized in our consolidated statement of operations and comprehensive income in other realized gain (loss) on derivative instruments and other securities, net and unrealized gain (loss) on derivative instruments and other securities, net, respectively. We estimate the fair value of TBA securities based on similar methods used to value agency securities. Put and call options on TBA securities We may purchase put and call options on TBA securities to hedge against short-term changes in interest rates. Under a purchased put option, we have the right to sell to the counterparty a specified TBA security at a predetermined price on the option exercise date in exchange for a premium at execution. Under a purchased call option, we have the right to purchase from the counterparty a specified TBA security at a predetermined price on the option exercise date in exchange for a premium at execution. The premium paid for a put or call option is reported as an asset in our consolidated balance sheets. The premium is valued at an amount equal to the fair value of the option that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the option is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statement of operations and comprehensive income. When a purchased put or call option expires unexercised, a realized loss is reported in our consolidated statement of operations and comprehensive income equal to the premium paid. When a purchased put or call option is exercised, a realized gain or loss is reported in our consolidated statement of operations and comprehensive income equal to the difference between the premium paid and the fair value of the exercised put or call option. In addition, a derivative asset is recorded in our consolidated balance sheet for the TBA security resulting from the put or call option exercise. We may also write put and call options on TBA securities. Under a written put option, the counterparty has the right to sell us a specified TBA security at a predetermined price on the option exercise date in exchange for a premium at execution. Under a written call option, the counterparty has the right to purchase from us a specified TBA security at a predetermined price on the option exercise date in exchange for a premium at execution. The premium received from writing a put or call option is reported as a liability in our consolidated balance sheets. The premium is valued at an amount equal to the fair value of the option that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the option is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statement of operations and comprehensive income. When a written put or call option expires unexercised, a realized gain is reported in our consolidated statement of operations equal to the premium received. When we terminate a written put or call option, a realized gain or loss is reported in our consolidated statement of operations equal to the difference between the termination payment and the premium received. When a written put or call option is exercised, a realized gain or loss is reported in our consolidated statement of operations equal to the difference between the premium received and the fair value of the exercised put or call option. In addition, a derivative asset or liability is recorded in our consolidated balance sheet for the TBA security resulting from the put or call option exercise. We estimate the fair value of put and call options on TBA securities based on the fair value of the underlying TBA security as well as the remaining length of time to exercise the option. Forward commitments to purchase or sell specified agency securities We may enter into a forward commitment to purchase or sell specified agency securities as a means of acquiring assets or as a hedge against short-term changes in interest rates. Contracts for the purchase or sale of specified agency securities are accounted for as derivatives if the delivery of the specified agency security and settlement extends beyond the shortest period possible for that type of security. We may designate the forward commitment as a qualifying cash flow hedge if at the time of the purchase or sale of the security, and throughout the term of the individual contract, it is probable that physical delivery of the security will occur. Realized and unrealized gains and losses associated with forward commitments not designated as hedging instruments are recognized in our consolidated statement of operations and comprehensive income in gain (loss) on derivative instruments and other securities, net. We estimate the fair value of forward commitments to purchase or sell specified agency securities based on similar methods used to value agency securities as well as the remaining length of time of the forward commitment. U.S. Treasury securities We may purchase or sell short U.S. Treasury securities and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our portfolio. We may borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Realized and unrealized gains and losses associated with purchases and short sales of U.S. Treasury securities are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of operations and comprehensive income. Total return swaps We may enter into total return swaps to obtain exposure to a security or market sector without owning such security or investing directly in that market sector. Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupon plus the mark-to-market movement) of an underlying instrument or index in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, we will receive a payment from or make a payment to the counterparty. The primary total return swap index in which we invest is the Markit IOS Index. Total return swaps based on the Markit IOS index are intended to synthetically replicate the performance of interest-only securities. We determine the fair value of our total return swaps based on published index prices. Realized and unrealized gains and losses associated with changes in market value of the underlying index and coupon interest are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of operations and comprehensive income. Derivative and other Hedging Instruments We maintain a risk management strategy, under which we use a variety of strategies to hedge some of our exposure to interest rate risk. The objective of our risk management strategy is to reduce fluctuations in book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The principal instruments that we use are interest rate swaps and options to enter into interest rate swaps (“interest rate swaptions”). We also purchase or sell to-be-announced forward contracts (“TBAs”), specified agency securities on a forward basis, U.S. Treasury securities and U.S. Treasury futures contracts, purchase or write put or call options on TBA securities and invest in other types of mortgage derivatives, such as interest-only securities, and synthetic total return swaps, such as the Markit IOS Synthetic Total Return Swap Index (“Markit IOS Index”). We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging (“ASC 815”). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. Hedging instruments that are not derivatives under ASC 815 are accounted for as securities in accordance with ASC 320. The accounting for changes in the fair value of derivative instruments depends on whether we have designated them as hedging instruments and whether they qualify as part of a hedging relationship pursuant to ASC 815 and, if so, on our reason for holding them. Derivatives that are intended to hedge exposure to variability in expected future cash flows are referred to as cash flow hedges. For derivatives designated in qualifying cash flow hedge relationships, the effective portion of the fair value adjustments is initially recorded in OCI (a component of stockholders’ equity) and reclassified to income at the time that the hedged transactions affect earnings. The ineffective portion of the fair value adjustments is immediately recognized in unrealized gain (loss) on derivative instruments and other securities, net. When the underlying hedged transaction ceases to exist, any amounts that have been previously recorded in accumulated OCI would be reclassified to net income and all subsequent changes in the fair value of the instrument would be included in unrealized gain (loss) on derivative instruments and other securities, net for each period until the derivative instrument matures or is settled. For example, in the case of interest rate swap agreements in designated qualifying cash flow hedge relationships ("designated interest rate swaps"), the effective portion of changes in the fair value of the designated interest rate swaps are recorded in OCI. Accumulated OCI is subsequently reclassified into earnings through interest expense as the underlying repurchase agreements (hedged transactions) incur interest. The ineffective portion of fair value adjustments of designated interest rate swaps primarily relates to timing mismatches between the monthly variable rate reset dates of the interest rate swaps and the term of the underlying repurchase agreements. The underlying hedged transactions are determined to cease to exist for designated interest rate swap agreements (or previously designated interest rates swaps discussed below), if the current (or anticipated) repurchase agreement balance is less than the current notional value of the interest rate swap agreements. For derivatives not designated in hedging relationships under ASC 815, the fair value adjustments are recorded in unrealized gain (loss) on derivative instruments and other securities, net. Our net book value is the same irrespective of whether we designate a derivative as a qualifying cash flow hedge. Derivatives in a gain position are reported as derivative assets at fair value and derivatives in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. In our consolidated statements of cash flows, cash receipts and payments related to derivative instruments are classified according to the underlying nature or purpose of the derivative transaction, generally in the operating section for derivatives designated in hedging relationships and the investing section for derivatives not designated in hedging relationships. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We attempt to minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we mark our net counterparty exposure to market on a daily basis and adjust posted collateral (in either direction) as a result.
Variable Interest Entities	Variable Interest Entities ASC Topic 810, Consolidation (“ASC 810”), requires a qualitative assessment in determining the primary beneficiary of a variable interest entities (“VIEs”) and ongoing assessments of control over such entities as well as additional disclosures for entities that have variable interests in VIEs. We may enter into transactions involving a CMO trust (e.g. a VIE) whereby we transfer agency securities to an investment bank in exchange for cash proceeds and at the same time enter into a commitment with the same investment bank to purchase to-be-issued securities collateralized by the agency securities transferred. We will consolidate a CMO trust (as it relates to the assets transferred or contributed by us and the related liabilities issued by the trust) if we are the CMO trust’s primary beneficiary; that is, if we have a variable interest (or combination of variable interests) that provides us with a controlling financial interest in the CMO trust. An entity is deemed to have a controlling financial interest if the entity has the power to direct the activities of a VIE that most significantly impacts the VIE’s economic performance and the obligation to absorb losses of or right to receive benefits from the VIE that could potentially be significant to the VIE. In determining if we have a controlling financial interest, we evaluate whether we share the power to control the selection of financial assets transferred to the CMO trust with an unrelated party. We may share power in the selection of assets for certain CMO trusts (i.e., both we and the unrelated party must consent to the transfer of such assets to the CMO trust); however, if our economic interest in the CMO trust is disproportionate to the shared power, we may be deemed to be the primary beneficiary.
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Derivative and other Hedging Instruments	Interest rate swap agreements We use interest rate swaps to hedge the variable cash flows associated with short-term borrowings made under our repurchase agreement facilities. Prior to the quarter ended September 30, 2011, we generally entered into such derivatives with the intention of qualifying for hedge accounting under ASC 815. During the quarter ended September 30, 2011, we discontinued our election to account for interest rate swaps as designated cash flow hedges. In order for our interest rate swaps to qualify as cash flow hedges under ASC 815, the monthly reset dates of our interest rate swaps are required to align with the term of an underlying repurchase agreement. This alignment had the effect of limiting our ability to alter or extend the maturity of our repurchase agreements. To provide greater funding flexibility, we determined that it was not beneficial to always match the pricing dates of our swaps and repurchase agreements and, thus, elected to discontinue hedge accounting by a combination of not designating new interest rate swaps entered into as qualifying cash flow hedges and de-designating all of our remaining swap contracts on September 30, 2011. Provided we continue to hold repurchase agreements in excess of the notional value of our de-designated swap contracts, the net deferred loss related to the discontinued hedges incurred prior to de-designation will continue to be reported in accumulated OCI and will be reclassified into earnings through interest expense on a straight-line basis over their remaining contractual term, similar to as if the interest rate swaps had not been de-designated. As of September 30, 2011, the net deferred loss related to these interest rate swaps was $744.4 million and their weighted average remaining contractual term was 3.4 years. The net deferred loss expected to be reclassified from OCI into interest expense over the next twelve months is $208.8 million. In addition, all subsequent changes in the fair value of interest rates swaps will be recognized in our consolidated statement of operations and comprehensive income in unrealized gain (loss) on derivative instruments and other securities, net. Further, starting October 1, 2011, the net interest paid or received on our de-designated interest rate swaps, less amounts reclassified from accumulated OCI into earnings through interest expense, will be recognized in realized gain (loss) on periodic interest settlements of interest rate swaps, net. The net interest paid or received on our un-designated interest rate swaps is currently recognized in our consolidated statement of operations and comprehensive income in realized gain (loss) on periodic interest settlements of interest rate swaps, net. We estimate the fair value of interest rate swaps based on inputs from a third-party pricing model. The third-party pricing model incorporates such factors as the Treasury curve, LIBOR rates, and the pay rate on the interest rate swaps. We also incorporate both our own and our counterparties’ nonperformance risk in estimating the fair value of our interest rate swap and swaption agreements. In considering the effect of nonperformance risk, we consider the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements.

Disclosure of accounting policy for consolidation to describe the significant judgments and assumptions made in determining whether a variable interest held by the entity requires the variable interest entity to be consolidated and (or) disclose information about its involvement with the variable interest entity; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; and the significant factors considered and judgments made in determining that the power to direct the activities that significantly impact the economic performance of the variable interest entity are shared (as defined).

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name FASB Interpretation (FIN)
-Number 46R
-Paragraph 14, 15
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef
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-Name Accounting Standards Codification
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Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 167
-Appendix D
-Paragraph 22B
-Subparagraph a

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 167
-Appendix D
-Paragraph 22E
-Subparagraph a

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-Name Statement of Financial Accounting Standard (FAS)
-Number 167
-Appendix D
-Paragraph 24
-Subparagraph e

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-Name Accounting Standards Codification
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-Section 50
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Disclosure of accounting policy for its derivative instruments and hedging activities. Disclosure may include: (1) Each method used to account for derivative financial instruments and derivative commodity instruments ("derivatives"); (2) the types of derivatives accounted for under each method; (3) the criteria required to be met for each accounting method used, including a discussion of the criteria required to be met for hedge or deferral accounting and accrual or settlement accounting (for example, whether and how risk reduction, correlation, designation, and effectiveness tests are applied); (4) the accounting method used if the criteria specified for hedge accounting are not met; (5) the method used to account for termination of derivatives designated as hedges or derivatives used to affect directly or indirectly the terms, fair values, or cash flows of a designated item; (6) the method used to account for derivatives when the designated item matures, is sold, is extinguished, or is terminated. In addition, the method used to account for derivatives designated to an anticipated transaction, when the anticipated transaction is no longer likely to occur; and (7) where and when derivatives, and their related gains or losses are reported in the statement of financial position, cash flows, and results of operations and (8) an accounting policy decision to offset fair value amounts with counterparties. An entity may also describe its embedded derivatives, and the method(s) used to determine the fair values of derivatives and any significant assumptions used in such valuations.

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 133
-Paragraph 44
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Regulation S-X (SX)
-Number 210
-Section 08
-Paragraph n
-Article 4

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-Name FASB Interpretation (FIN)
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-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

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Disclosure of accounting policy for investments in financial assets, including marketable securities (debt and equity securities with readily determinable fair values), investments accounted for under the equity method and cost method, securities borrowed and loaned, and repurchase and resale agreements. For marketable securities, the disclosure may include the entity's accounting treatment for transfers between investment categories and how the fair values for such securities are determined. Also, for all investments, an entity may describe its policy for assessing, recognizing and measuring impairment of the investment.

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Staff Accounting Bulletin (SAB)
-Number Topic 5
-Section M

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name FASB Staff Position (FSP)
-Number FAS115-1/124-1
-Paragraph 7-18
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 107
-Paragraph 10, 11
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 4: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 115
-Paragraph 7-16
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 5: http://www.xbrl.org/2003/role/presentationRef
-Publisher SEC
-Name Regulation S-X (SX)
-Number 210
-Section 02
-Paragraph 2, 12
-Article 5

Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 10
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=6947722&loc=d3e13433-108611

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=6367646&loc=d3e18780-107790

Reference 8: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 325
-SubTopic 20
-Section 50
-Paragraph 1
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=6872867&loc=d3e40691-111596

Reference 9: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 323
-SubTopic 10
-Section 50
-Paragraph 3
-Subparagraph (a)(2)
-URI http://asc.fasb.org/extlink&oid=6382943&loc=d3e33918-111571

Reference 10: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-SubTopic 10
-Section 50
-Paragraph 6
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27290-111563

Reference 11: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.5-02.2,12)
-URI http://asc.fasb.org/extlink&oid=6877327&loc=d3e13212-122682

Available-for-sale Securities [Abstract]

Agency Securities (Tables)

9 Months Ended

Sep. 30, 2011

Summary Of Investments In Agency Securities



	As of September 30, 2011
	Fannie Mae			Freddie Mac			Ginnie Mae			Total
Available-for-sale securities:
Agency securities, par	$	22,477,679		$	16,695,524		$	102,938		$	39,276,141
Unamortized discount	(914		)	(996		)	—			(1,910		)
Unamortized premium	988,626			709,012			3,743			1,701,381
Amortized cost	23,465,391			17,403,540			106,681			40,975,612
Gross unrealized gains	466,275			337,846			2,130			806,251
Gross unrealized losses	(11,342		)	(8,305		)	(23		)	(19,670		)
Available-for-sale securities, at fair value	23,920,324			17,733,081			108,788			41,762,193
Agency securities remeasured at fair value through earnings:
Interest-only and principal-only securities, amortized cost⁽¹⁾	157,011			71,285			—			228,296
Gross unrealized gains	4,542			2,323			—			6,865
Gross unrealized losses	(14,086		)	(12,849		)	—			(26,935		)
Agency securities remeasured at fair value through earnings, at fair value	147,467			60,759			—			208,226
Total agency securities, at fair value	$	24,067,791		$	17,793,840		$	108,788		$	41,970,419
Weighted average coupon as of September 30, 2011⁽²⁾	4.38		%	4.31		%	4.15		%	4.35		%
Weighted average yield as of September 30, 2011⁽³⁾	3.17		%	3.20		%	2.17		%	3.18		%
Weighted average yield for the three months ended September 30, 2011⁽³⁾	3.14		%	3.12		%	2.22		%	3.14		%
Weighted average yield for the nine months ended September 30, 2011⁽³⁾	3.29		%	3.21		%	2.12		%	3.25		%

________________________

(1)


(2)	The weighted average coupon includes the interest cash flows from our interest-only securities taken together with the interest cash flows from our fixed-rate, adjustable-rate and CMO securities as a percentage of the par value of our agency securities (excluding the UPB of our interest-only securities) as of September 30, 2011.


(3)	Incorporates an average future constant prepayment rate assumption of 13% based on forward rates as of September 30, 2011 and an average reset rate for adjustable rate securities of 2.76%, which is equal to the average underlying index rate of 0.96% based on the current spot rate in effect as of the date we acquired the securities and an average margin of 1.80%.

The following tables summarize our investments in agency securities as of December 31, 2010 (dollars in thousands):



	As of December 31, 2010
	Fannie Mae			Freddie Mac			Ginnie Mae			Total
Agency securities classified as available-for-sale:
Agency securities, par	$	8,207,464		$	4,599,712		$	100,408		$	12,907,584
Unamortized discount	(930		)	(1,044		)	—			(1,974		)
Unamortized premium	350,747			220,465			4,670			575,882
Amortized cost	8,557,281			4,819,133			105,078			13,481,492
Gross unrealized gains	56,181			11,929			384			68,494
Gross unrealized losses	(53,893		)	(42,356		)	(196		)	(96,445		)
Available-for-sale securities, at fair value	8,559,569			4,788,706			105,266			13,453,541
Agency securities remeasured at fair value through earnings:
Interest-only securities, amortized cost⁽¹⁾	18,957			33,447			—			52,404
Gross unrealized gains	1,559			3,356			—			4,915
Gross unrealized losses	(91		)	(489		)	—			(580		)
Agency securities remeasured at fair value through earnings, at fair value	20,425			36,314			—			56,739
Total agency securities, at fair value	$	8,579,994		$	4,825,020		$	105,266		$	13,510,280
Weighted average coupon as of December 31, 2010⁽²⁾	4.63		%	4.83		%	4.37		%	4.70		%
Weighted average yield as of December 31, 2010⁽³⁾	3.34		%	3.28		%	2.14		%	3.31		%
Weighted average yield for the year ended December 31, 2010⁽³⁾	3.49		%	3.42		%	2.22		%	3.44		%

________________________


(1)	Interest-only securities represent the right to receive a specified portion of the contractual interest flows of the UPB of specific CMO securities. The UPB of our interest-only securities was $0.5 billion and the weighted average contractual interest we are entitled to receive was 4.95% of this amount as of December 31, 2010.


(2)	The weighted average coupon includes the interest cash flows from our interest-only securities taken together with the interest cash flows from our fixed-rate, adjustable-rate and CMO securities as a percentage of the par value of our agency securities (excluding the UPB of our interest-only securities) as of December 31, 2010.


(3)	Incorporates an average future constant prepayment rate assumption of 12% based on forward rates as of December 31, 2010 and an average reset rate for adjustable rate securities of 2.76%, which is equal to the average underlying index rate of 0.94% based on the current spot rate in effect as of the date we acquired the securities and an average margin of 1.82%.

Components Of Investment Securities



	As of December 31, 2010
	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Fair Value
Fixed-Rate	$	9,144,352	$	39,844	$	(82,717	)	$	9,101,479
Adjustable-Rate	3,942,937		20,955		(13,728		)	3,950,164
CMO	394,203		7,695		—			401,898
Interest-only securities	52,404		4,915		(580		)	56,739
Total agency securities	$	13,533,896	$	73,409	$	(97,025	)	$	13,510,280



	As of September 30, 2011
	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Fair Value
Fixed-Rate	$	37,554,811	$	741,800	$	(18,354	)	$	38,278,257
Adjustable-Rate	3,179,456		59,639		(1,316		)	3,237,779
CMO	241,345		4,812		—			246,157
Interest-only and principal-only securities	228,296		6,865		(26,935		)	208,226
Total agency securities	$	41,203,908	$	813,116	$	(46,605	)	$	41,970,419

Summary Of Agency Securities Estimated Weighted Average Life Classifications

The following table summarizes our agency securities classified as available-for-sale as of September 30, 2011 and December 31, 2010, according to their estimated weighted average life classification (dollars in thousands):



	As of September 30, 2011						As of December 31, 2010
Estimated Weighted Average Life of Agency Securities Classified as Available-for-Sale	Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon
Less than or equal to one year	$	3,097	$	3,112	5.50	%	$	—	$	—	—	%
Greater than one year and less than or equal to three years	7,769,007		7,613,464		4.32	%	133,123		132,520		5.05	%
Greater than three years and less than or equal to five years	30,555,145		29,971,368		4.09	%	3,841,282		3,821,992		4.92	%
Greater than five years	3,434,944		3,387,668		4.43	%	9,479,136		9,526,980		4.31	%
Total	$	41,762,193	$	40,975,612	4.16	%	$	13,453,541	$	13,481,492	4.49	%

Summary Of Continuous Unrealized Loss Positions Of Available-For-Sale Security



	Unrealized Loss Position For
	Less than 12 Months					12 Months or More				Total
Agency Securities Classified as Available-for-Sale	Estimated Fair Value		Unrealized Loss			Estimated Fair Value		Unrealized Loss		Estimated Fair Value		Unrealized Loss
September 30, 2011	$	4,145,531	$	(19,670	)	$	—	$	—	$	4,145,531	$	(19,670	)
December 31, 2010	$	7,498,384	$	(96,445	)	$	—	$	—	$	7,498,384	$	(96,445	)

Summary Of Changes In Accumulated OCI For Available-For-Sale Securities

The following table summarizes changes in accumulated OCI for available-for-sale securities for the three and nine months ended September 30, 2011 and 2010 (in thousands):



Agency Securities Classified as Available-for-Sale	Beginning OCI Balance			Unrealized Gains and (Losses), Net	Reversal of Prior Period Unrealized (Gains) and Losses, Net on Realization		Ending OCI Balance
Three months ended September 30, 2011	$	251,151		801,694	(266,264	)	$	786,581
Three months ended September 30, 2010	$	97,435		37,461	(25,800	)	$	109,096
Nine months ended September 30, 2011	$	(27,950	)	1,178,365	(363,834	)	$	786,581
Nine months ended September 30, 2010	$	36,018		155,349	(82,271	)	$	109,096

Summary Of Net Gain From Sale Of Agency Securities

The following table is a summary of our net gain from the sale of agency securities for the three and nine months ended September 30, 2011 and 2010 (in thousands):



	Three Months Ended						Nine Months Ended
	September 30, 2011			September 30, 2010			September 30, 2011			September 30, 2010
Agency securities sold, at cost	$	(14,045,636	)	$	(2,172,978	)	$	(26,429,464	)	$	(6,914,764	)
Proceeds from agency securities sold⁽¹⁾	14,308,404			2,197,543			26,790,344			6,996,322
Net gains on sale of agency securities	$	262,768		$	24,565		$	360,880		$	81,558
Gross gains on sale of agency securities	$	267,573		$	26,333		$	376,806		$	87,714
Gross losses on sale of agency securities	(4,805		)	(1,768		)	(15,926		)	(6,156		)
Net gains on sale of agency securities	$	262,768		$	24,565		$	360,880		$	81,558

________________________


(1)	Proceeds include cash received during the period, plus receivable for agency securities sold during the period as of period end.

Summary Of Agency Securities Pledged As Collateral Under Repurchase, Other Debt, Derivative And Prime Broker Agreements



	As of September 30, 2011
Agency Securities Pledged⁽¹⁾	Fannie Mae		Freddie Mac		Ginnie Mae		Total
Under Repurchase Agreements
Fair value	$	23,676,914	$	16,989,065	$	103,948	$	40,769,927
Amortized cost	23,181,446		16,666,601		101,949		39,949,996
Accrued interest on pledged agency securities	74,214		54,597		340		129,151
Under Other Debt Agreements
Fair value	60,796		—		—		60,796
Amortized cost	59,807		—		—		59,807
Accrued interest on pledged agency securities	243		—		—		243
Under Derivative Agreements
Fair value	324,818		356,372		—		681,190
Amortized cost	317,846		349,302		—		667,148
Accrued interest on pledged agency securities	1,085		1,124		—		2,209
Under Prime Broker Agreements
Fair value	32,636		8,872		1,397		42,905
Amortized cost	31,896		8,657		1,375		41,928
Accrued interest on pledged agency securities	113		29		5		147
Total Fair Value of Agency Securities Pledged and Accrued Interest	$	24,170,819	$	17,410,059	$	105,690	$	41,686,568

________________________


(1)	Agency securities pledged include pledged amounts of $2.69 billion related to agency securities sold but not yet settled as of September 30, 2011.



	As of December 31, 2010
Agency Securities Pledged⁽²⁾	Fannie Mae		Freddie Mac		Ginnie Mae		Total
Under Repurchase Agreements
Fair value	$	7,707,046	$	4,554,541	$	95,066	$	12,356,653
Amortized cost	7,709,785		4,591,245		94,860		12,395,890
Accrued interest on pledged agency securities	27,589		15,642		332		43,563
Under Other Debt Agreements
Fair value	77,906		—		—		77,906
Amortized cost	77,460		—		—		77,460
Accrued interest on pledged agency securities	325		—		—		325
Under Derivative Agreements
Fair value	36,651		30,306		—		66,957
Amortized cost	36,343		30,382		—		66,725
Accrued interest on pledged agency securities	156		118		—		274
Under Prime Broker Agreements
Fair value	6,061		5,997		2,032		14,090
Amortized cost	6,061		6,061		2,024		14,146
Accrued interest on pledged agency securities	28		21		8		57
Total Fair Value of Agency Securities Pledged and Accrued Interest	$	7,855,762	$	4,606,625	$	97,438	$	12,559,825

________________________


(2)	Agency securities pledged include pledged amounts of $244.7 million related to agency securities sold but not yet settled as of December 31, 2010

Summary Of Agency Securities Pledged As Collateral Under Repurchase Agreements by Remaining Maturity



	As of September 30, 2011⁽¹⁾						As of December 31, 2010⁽¹⁾
Remaining Maturity of Repurchase Agreements and Other Debt	Fair Value of Pledged Agency Securities		Amortized Cost of Pledged Agency Securities		Accrued Interest on Pledged Agency Securities		Fair Value of Pledged Agency Securities		Amortized Cost of Pledged Agency Securities		Accrued Interest on Pledged Agency Securities
30 days or less	$	34,011,545	$	33,320,906	$	107,886	$	9,909,121	$	9,943,239	$	35,151
31 - 59 days	4,836,073		4,744,354		15,313		2,525,438		2,530,111		8,737
60 - 90 days	543,799		531,016		1,690		—		—		—
Greater than 90 days	1,439,306		1,413,527		4,505		—		—		—
Total	$	40,830,723	$	40,009,803	$	129,394	$	12,434,559	$	12,473,350	$	43,888

________________________


(1)	Agency securities pledged include pledged amounts of $2.69 billion and $244.7 million related to agency securities sold but not yet settled as of September 30, 2011 and December 31, 2010, respectivel

Repurchase Agreements and Other Debt (Tables)

9 Months Ended

Sep. 30, 2011

Disclosure of Repurchase Agreements [Abstract]

Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities



	As of September 30, 2011					As of December 31, 2010
Original Maturity	Borrowings Outstanding		Average Interest Rate		Weighted Average Days to Maturity	Borrowings Outstanding		Average Interest Rate		Weighted Average Days to Maturity
1 month or less	$	18,946,631	0.27	%	12	$	3,306,175	0.32	%	12
1-2 months	8,110,844		0.28	%	22	5,648,155		0.31	%	20
2-3 months	4,789,136		0.26	%	26	1,496,452		0.29	%	33
3-6 months	5,662,617		0.25	%	34	1,229,310		0.29	%	43
6-9 months	278,758		0.41	%	215	—		—	%	—
9-12 months	1,053,633		0.50	%	348	—		—	%	—
Total / Weighted Average	$	38,841,619	0.28	%	30	$	11,680,092	0.31	%	22

Derivative and Other Hedging Instruments (Tables)

9 Months Ended

Sep. 30, 2011

Derivative [Line Items]

Schedule of Interest Rate Derivatives

The tables below summarize information about our outstanding interest rate swaps designated as cash flow hedges as of September 30, 2011 and December 31, 2010 (dollars in thousands):



		As of
Interest Rate Swaps Designated as Hedging Instruments	Balance Sheet Location	September 30, 2011		December 31, 2010
Interest rate swap assets	Derivative assets, at fair value	$	—	$	33,695
Interest rate swap liabilities	Derivative liabilities, at fair value	—		(71,417		)
		$	—	$	(37,722	)

Remaining Interest Rate Swap Term



	As of December 31, 2010
Remaining Term of Interest Rate Swaps Designated as Hedging Instruments	Notional Amount		Average Fixed Pay Rate		Average Receive Rate		Net Estimated Fair Value			Average Maturity (Years)
1 year or less	$	750,000	1.40	%	0.26	%	$	(5,595	)	0.7
Greater than 1 year and less than 3 years	2,850,000		1.54	%	0.26	%	(32,865		)	2.5
Greater than 3 years and less than 5 years	2,850,000		1.78	%	0.26	%	738			4.3
Greater than 5 years	—		—	%	—	%	—			—
Total	$	6,450,000	1.63	%	0.26	%	$	(37,722	)	3.1

Summary of Outstanding Interest Rate Swaps Designated as Hedging Instruments

The following table summarizes information about our outstanding interest rate swaps designated as hedging instruments for the three and nine months ended September 30, 2011 and 2010 (in thousands):



Interest Rate Swaps Designated as Hedging Instruments	Beginning Notional Amount		Additions	Expirations/ Terminations		Hedge De-Designations		Ending Notional Amount
Three months ended September 30, 2011	$	22,000,000	2,100,000	(200,000	)	(23,900,000	)	$	—
Three months ended September 30, 2010	$	3,000,000	1,200,000	—		—		$	4,200,000
Nine months ended September 30, 2011	$	6,450,000	17,900,000	(450,000	)	(23,900,000	)	$	—
Nine months ended September 30, 2010	$	2,050,000	2,150,000	—		—		$	4,200,000

Effect of Interest Rate Swaps Designated as Hedges



Interest Rate Swaps Designated as Hedging Instruments	Amount of Gain or (Loss) Recognized in OCI (Effective Portion)			Location of Gain or (Loss) Reclassified from OCI into Earnings (Effective Portion)	Amount of Gain or (Loss) Reclassified from OCI into Earnings (Effective Portion)			Location of Gain or (Loss) Recognized in Earnings (Ineffective Portion and Amount Excluded from Effectiveness Testing)	Amount of Gain or (Loss) Recognized in Earnings (Ineffective Portion and Amount Excluded from Effectiveness Testing)
Three months ended September 30, 2011	$	(512,208	)	Interest Expense	$	(70,854	)	Loss on derivative instruments and Other securities, net	$	(914	)
Three months ended September 30, 2010	$	(39,823	)	Interest Expense	$	(13,261	)	Loss on derivative instruments and Other securities, net	$	(25	)
Nine months ended September 30, 2011	$	(706,972	)	Interest Expense	$	(140,074	)	Loss on derivative instruments and Other securities, net	$	(1,552	)
Nine months ended September 30, 2010	$	(99,428	)	Interest Expense	$	(40,332	)	Loss on derivative instruments and Other securities, net	$	(340	)

Summary of Outstanding Forward Contracts Designated as Hedging Instruments

The following table summarizes information about our outstanding forward contracts designated as hedging instruments for the three and nine months ended September 30, 2011 and 2010 (dollars in thousands):



Purchases of TBAs and Forward Settling Agency Securities Designated as Hedging Instruments	Beginning Notional Amount		Additions	Settlement / Expirations		Ending Notional Amount		Fair Value as of Period End		Average Maturity as of Period End (Months)
Three months ended September 30, 2011	$	—	—	—		$	—	$	—	—
Three months ended September 30, 2010	$	80,000	175,000	(80,000	)	$	175,000	$	1,807	3
Nine months ended September 30, 2011	$	245,000	—	(245,000	)	$	—	$	—	—
Nine months ended September 30, 2010	$	—	321,303	(146,303	)	$	175,000	$	1,807	3

Effect of Forward Contracts Designated as Hedges



Purchases of TBAs and Forward Settling Agency Securities Designated as Hedging Instruments	Amount of Gain or (Loss) Recognized in OCI for Cash Flow Hedges (Effective Portion)		Amount of Gain or (Loss) Recognized in OCI for Cash Flow Hedges and Reclassified to OCI for Available-for-Sale Securities (Effective Portion)			Location of Gain or (Loss) Recognized in Earnings (Ineffective Portion and Amount Excluded from Effectiveness Testing)	Amount of Gain or (Loss) Recognized in Earnings (Ineffective Portion and Amount Excluded from Effectiveness Testing)
Three months ended September 30, 2011	$	—	$	—		Loss on derivative instruments and Other securities, net	$	—
Three months ended September 30, 2010	$	1,807	$	—		Loss on derivative instruments and Other securities, net	$	—
Nine months ended September 30, 2011	$	12	$	(3,213	)	Loss on derivative instruments and Other securities, net	$	—
Nine months ended September 30, 2010	$	1,807	$	1,262		Loss on derivative instruments and Other securities, net	$	—

Summary of Long and Short Position of Derivative Instruments



	As of September 30, 2011						As of December 31, 2010
Purchase and Sale Contracts for TBAs and Forward Settling Securities Not Designated as Hedging Instruments	Notional Amount			Fair Value			Notional Amount			Fair Value
TBA securities:
Purchase contracts	$	5,426,400		$	21,471		$	2,282,000		$	13,510
Sale contracts	(5,994,000		)	(10,464		)	(3,290,200		)	3,611
TBA securities, net⁽¹⁾	(567,600		)	11,007			(1,008,200		)	17,121
Forward settling securities:
Purchase contracts	10,000			(44		)	159,303			(1,820		)
Sale contracts	(259,615		)	(1,695		)	—			—
Forward settling securities, net⁽²⁾	(249,615		)	(1,739		)	159,303			(1,820		)
Total TBA and forward settling securities, net	$	(817,215	)	$	9,268		$	(848,897	)	$	15,301

________________________


(1)	Includes 15-year and 30-year TBA securities of varying coupons


(2)	Includes 20-year fixed securities and ARMs of varying coupons

Schedule Of Outstanding Interest Rate Swaps Agreements Not Designated As Hedges



	As of December 31, 2010
Interest Rate Swaps Not Designated as Hedging Instruments	Maturity	Notional Amount		Average Fixed Pay (Receive) Rate		Average Receive (Pay) Rate		Net Estimated Fair Value		Average Maturity (Years)
Payer interest rate swaps	2015	$	250,000	1.66	%	0.26	%	$	4,140	4.9
Receiver interest rate swaps	2015	$	200,000	(2.26	)%	(0.26	)%	$	2,743	4.7

Summary of Outstanding Interest Rate Swaps Agreements Designated as Hedges in the Future Receive a Fixed Rate



	Option					Underlying Swap
Payer Swaptions	Cost		Fair Value		Average Months to Expiration	Notional Amount		Pay Rate		Average Receive Rate	Average Term (Years)
As of September 30, 2011	$	45,570	$	4,456	8	$	3,250,000	3.59	%	1M LIBOR	6.9
As of December 31, 2010	$	4,596	$	16,766	4	$	850,000	2.28	%	1M LIBOR	5.6

Summary of Outstanding Total Return Swaps



(in thousands)		As of September 30, 2011
Position	Markit IOS Sub-Index	Notional Amount			Expiration Date	Fair Value
Long	6.0%, 30-Year, Fixed Rate, Fannie Mae MBS Pools	$	64,595		January 2039	$	(1,079	)

Short	5.0%, 30-Year, Fixed Rate, Fannie Mae MBS Pools	(158,462		)	January 2040	1,835
	5.5%, 30-Year, Fixed Rate, Fannie Mae MBS Pools	(49,764		)	January 2039	1,310
	6.0%, 30-Year, Fixed Rate, Fannie Mae MBS Pools	(114,674		)	January 2039	1,916
Total Short		(322,900		)		5,061
Net		$	(258,305	)		$	3,982

Summary of Outstanding Interest Rate Swaps Agreements Designated as Hedges in the Future Pay a Fixed Rate



	Option					Underlying Swap
Payer Swaptions	Cost		Fair Value		Average Months to Expiration	Notional Amount		Pay Rate		Average Receive Rate	Average Term (Years)
As of September 30, 2011	$	45,570	$	4,456	8	$	3,250,000	3.59	%	1M LIBOR	6.9
As of December 31, 2010	$	4,596	$	16,766	4	$	850,000	2.28	%	1M LIBOR	5.6

Summary of Derivatives Outstanding Not Designated as Hedging Instruments



		As of
Derivatives Not Designated as Hedging Instruments	Balance Sheet Location	September 30, 2011			December 31, 2010
Purchase of TBA and forward settling agency securities	Derivative assets, at fair value	$	24,469		$	2,929
Sale of TBA and forward settling agency securities	Derivative assets, at fair value	7,794			16,320
U.S. Treasury futures	Derivative assets, at fair value	1,708			—
Markit IOS total return swaps - short	Derivative assets, at fair value	5,061			—
Payer interest rate swaps	Derivative assets, at fair value	4,608			4,140
Receiver interest rate swaps	Derivative assets, at fair value	6,436			2,743
Payer swaptions	Derivative assets, at fair value	4,456			16,766
		$	54,532		$	42,898
Purchase of TBA and forward settling agency securities	Derivative liabilities, at fair value	$	(3,042	)	$	(2,193	)
Sale of TBA and forward settling agency securities	Derivative liabilities, at fair value	(19,953		)	(1,755		)
Payer interest rate swaps	Derivative liabilities, at fair value	(768,640		)	—
Markit IOS total return swaps - long	Derivative liabilities, at fair value	(1,079		)	—
		$	(792,714	)	$	(3,948	)

Effect of Derivative Instruments Not Designated as Hedges on Income Statement



	For the Three Months Ended September 30, 2011
Derivatives Not Designated as Hedging Instruments	Notional Amount as of June 30, 2011		Additions	Additions Due to Hedge De-Designations	Settlement, Expiration or Exercise		Notional Amount as of September 30, 2011		Amount of Gain/(Loss) Recognized in Income on Derivatives⁽¹⁾
Purchase of TBA and forward settling agency securities	$	3,432,365	19,881,039	—	(17,877,004	)	$	5,436,400	$	73,335
Sale of TBA and forward settling agency securities	$	4,281,525	37,866,575	—	(35,894,485	)	$	6,253,615	(146,363		)
Payer interest rate swaps	$	250,000	2,900,000	23,900,000	—		$	27,050,000	(6,243		)
Receiver interest rate swaps	$	100,000	—	—	—		$	100,000	3,365
Payer swaptions	$	4,050,000	250,000	—	(1,050,000	)	$	3,250,000	(32,734		)
Short sales of U.S. Treasury securities	$	1,464,000	3,450,000	—	(4,449,000	)	$	465,000	(92,018		)
U.S. Treasury futures	$	—	350,000	—	—		$	350,000	1,702
Markit IOS total return swaps - long	$	682,655	64,595	—	(682,655	)	$	64,595	(18,817		)
Markit IOS total return swaps - short	$	309,303	322,900	—	(309,303	)	$	322,900	19,665
									$	(198,108	)

______________________

(1)



	For the Three Months Ended September 30, 2010
Derivatives Not Designated as Hedging Instruments	Notional Amount as of June 30, 2010		Additions	Settlement, Expiration or Exercise		Notional Amount as of September 30, 2010		Amount of Gain/(Loss) Recognized in Income on Derivatives⁽²⁾
Purchase of TBA and forward settling agency securities	$	181,142	947,794	(760,018	)	$	369,098	$	2,296
Sale of TBA and forward settling agency securities	$	270,000	2,005,073	(1,351,912	)	$	923,161	(10,059		)
Payer interest rate swaps	$	—	200,000	(150,000	)	$	50,000	(2,303		)
Receiver interest rate swaps	$	—	200,000	—		$	200,000	88
Payer swaptions	$	200,000	—	—		$	200,000	(7		)
Receiver swaptions	$	300,000	—	(300,000	)	$	—	7,004
Short sales of U.S. Treasury securities	$	—	150,000	(150,000	)	$	—	(330		)
								$	(3,311	)

______________________

(2)



	For the Nine Months Ended September 30, 2011
Derivatives Not Designated as Hedging Instruments	Notional Amount as of December 31, 2010		Additions		Additions Due to Hedge De-Designations	Settlement, Expiration or Exercise		Notional Amount as of September 30, 2011		Amount of Gain/(Loss) Recognized in Income on Derivatives⁽³⁾
Purchase of TBA and forward settling agency securities	$	512,303	42,222,204		—	(37,298,107	)	$	5,436,400	$	118,586
Sale of TBA and forward settling agency securities	$	1,361,200	88,795,265		—	(83,902,850	)	$	6,253,615	(292,699		)
Put options	$	—	(200,000	)	—	200,000		$	—	1,133
Payer interest rate swaps	$	250,000	2,900,000		23,900,000	—		$	27,050,000	(12,130		)
Receiver interest rate swaps	$	200,000	—		—	(100,000	)	$	100,000	4,291
Payer swaptions	$	850,000	4,450,000		—	(2,050,000	)	$	3,250,000	(58,614		)
Receiver swaptions	$	—	250,000		—	(250,000	)	$	—	(736		)
Short sales of U.S. Treasury securities	$	250,000	11,974,000		—	(11,759,000	)	$	465,000	(91,823		)
Treasury futures	$	—	400,000		—	(50,000	)	$	350,000	1,950
Markit IOS total return swaps - long	$	—	1,154,015		—	(1,089,420	)	$	64,595	(6,377		)
Markit IOS total return swaps - short	$	—	635,559		—	(312,659	)	$	322,900	19,120
										$	(317,299	)

______________________

(3)



	For the Nine Months Ended September 30, 2010
Derivatives Not Designated as Hedging Instruments	Notional Amount as of December 31, 2009		Additions	Settlement, Expiration or Exercise		Notional Amount as of September 30, 2010		Amount of Gain/(Loss) Recognized in Income on Derivatives⁽⁴⁾
Purchase of TBA and forward settling agency securities	$	596,516	2,037,063	(2,264,481	)	$	369,098	$	14,730
Sale of TBA and forward settling agency securities	$	616,747	4,822,333	(4,515,919	)	$	923,161	(30,936		)
Put options	$	—	75,000	(75,000	)	$	—	(328		)
Payer interest rate swaps	$	—	350,000	(300,000	)	$	50,000	(3,414		)
Receiver interest rate swaps	$	—	200,000	—		$	200,000	88
Payer swaptions	$	200,000	—	—		$	200,000	(2,389		)
Receiver swaptions	$	100,000	300,000	(400,000	)	$	—	9,130
Short sales of U.S. Treasury securities	$	—	150,000	(150,000	)	$	—	(330		)
								$	(13,449	)

______________________

(4)

Not Designated as Hedging Instrument [Member]

Derivative [Line Items]

Remaining Interest Rate Swap Term



	As of September 30, 2011
Maturity of Interest Rate Swaps Not Designated as Hedging Instruments⁽¹⁾	Notional Amount		Average Fixed Pay Rate		Average Receive Rate		Net Estimated Fair Value			Average Maturity (Years)
2011	$	300,000	1.28	%	0.23	%	$	(652	)	0.1
2012	750,000		2.01	%	0.23	%	(10,898		)	0.9
2013	3,050,000		1.06	%	0.23	%	(34,534		)	1.8
2014	7,300,000		1.22	%	0.24	%	(127,255		)	2.8
2015	7,700,000		1.51	%	0.28	%	(193,141		)	3.7
2016	7,550,000		2.17	%	0.23	%	(392,090		)	4.7
2018	100,000		1.79	%	0.37	%	(486		)	7.1
2021	200,000		2.00	%	0.37	%	1,460			10.1
Total Payer Interest Rate Swaps	$	26,950,000	1.58	%	0.25	%	$	(757,596	)	3.4

________________________


(1)	Amounts include the effect of deferred start dates for forward starting swaps of $1.9 billion ranging from one to three months from September 30, 2011

Stockholders' Equity (Tables)

9 Months Ended

Sep. 30, 2011

Stockholders' Equity Note [Abstract]

Summary of Follow-on Public Offerings of Common Stock



Public Offering	Price Received Per Share⁽¹⁾		Shares	Net Proceeds⁽²⁾
January 2011	$	28.00	26,910	$	719,250
March 2011⁽³⁾	$	27.72	32,200	892,233
June 2011⁽³⁾	$	27.56	49,680	1,368,848
Total			108,790	$	2,980,331

________________________


(1)	Price received per share is gross of underwriters’ discount, if applicable.


(2)	Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs.


(3)	Shares of our common stock were sold to underwriters, who sold the shares in one or more transactions on the Nasdaq Global Select Market, in the over-the-counter market, through negotiated transactions or otherwise at market prices prevailing at the time of sale.

Organization (Details)	9 Months Ended
Organization (Details)	Sep. 30, 2011
Organization [Abstract]
Required distribution of taxable net income on a annual basis	90.00%

Summary of Significant Accounting Policies (Details) - USD ($) $ in Millions	9 Months Ended
	Sep. 30, 2011	Sep. 30, 2010
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Document Period End Date	Sep. 30, 2011
OTTI charges on agency securities	$ 0.0	$ 0.0
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Deferred gain loss discontinued interest rate swap expected to be reclassified from OCI to interest expense next twelve months	208.8
Deferred Gain (Loss) on Discontinuation of Interest Rate Fair Value Hedge	$ (744.4)
Amortization Period of Deferred Gain (Loss) on Discontinuation of Interest Rate Fair Value Hedge	3.4

The amount of other than temporary impairment (OTTI) losses on equity securities, OTTI related to credit losses on debt securities, and OTTI losses on debt securities when the entity intends to sell the securities or it is more likely than not that the entity will be required to sell the securities before recovery of its amortized cost basis. Additionally, this item includes OTTI losses recognized during the period on investments accounted for under the cost method of accounting.

+ References + Details

Agency Securities (Narrative) (Details) $ in Millions	3 Months Ended		9 Months Ended		12 Months Ended
Agency Securities (Narrative) (Details) $ in Millions	Sep. 30, 2011 USD ($)	Sep. 30, 2010 USD ($)	Sep. 30, 2011 USD ($) years	Sep. 30, 2010 USD ($)	Dec. 31, 2010 USD ($) years
Schedule of Available-for-sale Securities [Line Items]
Weighted average life of interest-only securities \| years			2.8		6.2
Weighted average life of principal-only securities \| years			2.4
Prepayment rate over remaining life of aggregate investment portfolio			13.00%
Unrealized gain on interest-only and principal-only securities		$ 0.9		$ 7.8
Unrealized gain on interest-only and principal-only securities	$ 27.5	0.5	$ 24.4	1.9
Realized gain on sale of interest-only and principal-only securities	3.5	$ 1.2	3.0	$ 0.7
Fair value of CMO securities and interest-only strips	454.4		454.4		$ 458.6
Fair value of CMO securities and interest-only securities including net asset value	458.3		458.3		463.6
Transfer of agency securities under cost basis					85.9
Proceeds from securitizations of agency securities under cost of basis					80.8
To-be-issued interest-only security collateralized by the agency securities transferred					5.1
Fair value of agency securities collaterizing debt issued by securitization trust	60.8		60.8		77.9
Principal balance of agency securities collaterizing debt issued by securitization trust	57.5		57.5		73.5
Collateralized debt outstanding issued by securitization trust	$ 56.9		$ 56.9		$ 72.9

Agency Securities (Summary of Investment in Agency Security) (Details) - USD ($)
$ in Thousands

3 Months Ended

9 Months Ended

12 Months Ended

Sep. 30, 2011

Dec. 31, 2010

$ 41,970,419

$ 13,510,280

4.35%

^[1]

4.35%

^[1]

4.70%

^[2]

3.18%

^[3]

3.18%

^[3]

3.31%

^[4]

Unamortized principal balance of interest-only strips

3.14%

^[3]

3.25%

^[3]

3.44%

^[4]

$ 1,300,000

$ 500,000

Unamortized principal balance of principal-only strips

$ 43,000

Weighted average contractual interest rate of interest only strips

5.57%

4.95%

Average prepayment rate based on forward rate assumption

13.00%

12.00%

Average reset rate for adjustable rate securities

2.76%

Average underlying index rate on agency securities based on current spot rate

0.96%

0.94%

Average Margin on agency securities

1.80%

1.82%

Fannie Mae [Member]

$ 24,067,791

$ 8,579,994

4.38%

^[1]

4.38%

^[1]

4.63%

^[2]

3.17%

^[3]

3.17%

^[3]

3.34%

^[4]

3.14%

^[3]

3.29%

^[3]

3.49%

^[4]

Freddie Mac [Member]

$ 17,793,840

$ 4,825,020

4.31%

^[1]

4.31%

^[1]

4.83%

^[2]

3.20%

^[3]

3.20%

^[3]

3.28%

^[4]

3.12%

^[3]

3.21%

^[3]

3.42%

^[4]

Ginnie Mae [Member]

$ 108,788

$ 105,266

4.15%

^[1]

4.15%

^[1]

4.37%

^[2]

2.17%

^[3]

2.17%

^[3]

2.14%

^[4]

Available-for-sale Securities [Member]

2.22%

^[3]

2.12%

^[3]

2.22%

^[4]

$ 39,276,141

$ 12,907,584

(1,910)

(1,974)

1,701,381

575,882

40,975,612

13,481,492

806,251

68,494

(19,670)

(96,445)

Available-for-sale Securities [Member] | Fannie Mae [Member]

41,762,193

13,453,541

22,477,679

8,207,464

(914)

(930)

988,626

350,747

23,465,391

8,557,281

466,275

56,181

(11,342)

(53,893)

Available-for-sale Securities [Member] | Freddie Mac [Member]

23,920,324

8,559,569

16,695,524

4,599,712

(996)

(1,044)

709,012

220,465

17,403,540

4,819,133

337,846

11,929

(8,305)

(42,356)

Available-for-sale Securities [Member] | Ginnie Mae [Member]

17,733,081

4,788,706

102,938

100,408

3,743

4,670

106,681

105,078

2,130

384

(23)

(196)

Agency securities remeasured at fair value through earnings [Member]

108,788

105,266

Interest-only and principal-only securities, amortized cost

228,296

^[5]

228,296

^[5]

52,404

^[6]

6,865

4,915

Agency securities remeasured at fair value through earnings, at fair value

(26,935)

(580)

208,226

56,739

Agency securities remeasured at fair value through earnings [Member] | Fannie Mae [Member]

Interest-only and principal-only securities, amortized cost

157,011

^[5]

157,011

^[5]

18,957

^[6]

4,542

1,559

Agency securities remeasured at fair value through earnings, at fair value

(14,086)

(91)

147,467

20,425

Agency securities remeasured at fair value through earnings [Member] | Freddie Mac [Member]

Interest-only and principal-only securities, amortized cost

71,285

^[5]

71,285

^[5]

33,447

^[6]

2,323

3,356

Agency securities remeasured at fair value through earnings, at fair value

(12,849)

(489)

60,759

36,314

Agency securities remeasured at fair value through earnings [Member] | Ginnie Mae [Member]

Interest-only and principal-only securities, amortized cost

^[5]

^[6]

Agency securities remeasured at fair value through earnings, at fair value

$ 0

[1]	(2)The weighted average coupon includes the interest cash flows from our interest-only securities taken together with the interest cash flows from our fixed-rate, adjustable-rate and CMO securities as a percentage of the par value of our agency securities (excluding the UPB of our interest-only securities) as of September 30, 2011.
[2]	(2)The weighted average coupon includes the interest cash flows from our interest-only securities taken together with the interest cash flows from our fixed-rate, adjustable-rate and CMO securities as a percentage of the par value of our agency securities (excluding the UPB of our interest-only securities) as of December 31, 2010.
[3]	(3)Incorporates an average future constant prepayment rate assumption of 13% based on forward rates as of September 30, 2011 and an average reset rate for adjustable rate securities of 2.76%, which is equal to the average underlying index rate of 0.96% based on the current spot rate in effect as of the date we acquired the securities and an average margin of 1.80%.
[4]	(3)Incorporates an average future constant prepayment rate assumption of 12% based on forward rates as of December 31, 2010 and an average reset rate for adjustable rate securities of 2.76%, which is equal to the average underlying index rate of 0.94% based on the current spot rate in effect as of the date we acquired the securities and an average margin of 1.82%.
[5]	(1)Interest-only securities represent the right to receive a specified portion of the contractual interest flows of the underlying unamortized principal balance (“UPB” or “par value”) of specific CMO securities. Principal-only securities represent the right to receive contractual principal flows of the UPB of specific CMO securities. The UPB of our interest-only securities was $1.3 billion and the weighted average contractual interest we are entitled to receive was 5.57% of this amount as of September 30, 2011. The UPB of our principal-only securities was $43 million as of September 30, 2011.
[6]	(1)Interest-only securities represent the right to receive a specified portion of the contractual interest flows of the UPB of specific CMO securities. The UPB of our interest-only securities was $0.5 billion and the weighted average contractual interest we are entitled to receive was 4.95% of this amount as of December 31, 2010.

Agency Securities (Components Of Investment Securities) (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2011	Dec. 31, 2010
Amortized cost	$ 41,203,908	$ 13,533,896
Gross unrealized gains	813,116	73,409
Gross unrealized losses	(46,605)	(97,025)
Total agency securities, at fair value	41,970,419	13,510,280
Fixed-Rate [Member]
Amortized cost	37,554,811	9,144,352
Gross unrealized gains	741,800	39,844
Gross unrealized losses	(18,354)	(82,717)
Total agency securities, at fair value	38,278,257	9,101,479
Adjustable-Rate [Member]
Amortized cost	3,179,456	3,942,937
Gross unrealized gains	59,639	20,955
Gross unrealized losses	(1,316)	(13,728)
Total agency securities, at fair value	3,237,779	3,950,164
CMO [Member]
Amortized cost	241,345	394,203
Gross unrealized gains	4,812	7,695
Gross unrealized losses	0	0
Total agency securities, at fair value	246,157	401,898
Interest-Only-Strip [Member]
Amortized cost		52,404
Gross unrealized gains		4,915
Gross unrealized losses		(580)
Fair Value		$ 56,739
Interest-Only And Principal-Only Securities [Member]
Amortized cost	228,296
Gross unrealized gains	6,865
Gross unrealized losses	(26,935)
Fair Value	$ 208,226

Agency Securities (Summary Of Agency Securities Estimated Weighted Average Life Classifications) (Details) - USD ($) $ in Thousands	Sep. 30, 2011	Dec. 31, 2010
Agency securities, at fair value	$ 41,762,193	$ 13,453,541
Amortized cost	$ 40,975,612	$ 13,481,492
Weighted average coupon	4.16%	4.49%
Less Than or Equal to One Year [Member]
Agency securities, at fair value	$ 3,097	$ 0
Amortized cost	$ 3,112	$ 0
Weighted average coupon	5.50%	0.00%
Greater Than One Year and Less Than or Equal to Three Years [Member]
Agency securities, at fair value	$ 7,769,007	$ 133,123
Amortized cost	$ 7,613,464	$ 132,520
Weighted average coupon	4.32%	5.05%
Greater Than Three Years and Less Than or Equal to Five Years [Member]
Agency securities, at fair value	$ 30,555,145	$ 3,841,282
Amortized cost	$ 29,971,368	$ 3,821,992
Weighted average coupon	4.09%	4.92%
Greater Than Five Years [Member]
Agency securities, at fair value	$ 3,434,944	$ 9,479,136
Amortized cost	$ 3,387,668	$ 9,526,980
Weighted average coupon	4.43%	4.31%

Agency Securities (Summary Of Continuous Unrealized Loss Positions Of Available-For-Sale Security) (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2011	Dec. 31, 2010
Document Period End Date	Sep. 30, 2011
Accumulated Other Comprehensive Income (Loss) [Member]
Unrealized Loss Position For - Estimated Fair Value - Less than 12 Months	$ 4,145,531	$ 7,498,384
Unrealized Loss Position For - Unrealized Loss - Less than 12 Months	(19,670)	(96,445)
Unrealized Loss Position For - Estimated Fair Value - 12 Months or More	0	0
Unrealized Loss Position For - Unrealized Loss - 12 Months or More	0	0
Unrealized Loss Position For - Estimated Fair Value - Total	4,145,531	7,498,384
Unrealized Loss Position For - Unrealized Loss - Total	$ (19,670)	$ (96,445)

Agency Securities (Summary Of Changes In Accumulated OCI For Available-For-Sale Security) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2011	Sep. 30, 2010	Sep. 30, 2011	Sep. 30, 2010
OtherComprehensiveIncomeReclassificationAdjustmentForSaleOfSecuritiesIncludedInNetIncomeBeforeTax	$ 786,581	$ 109,096	$ 786,581	$ 109,096
Unrealized Gains and (Losses)	535,439	11,660	814,536	73,077
OtherComprehensiveIncomeReclassificationAdjustmentForSaleOfSecuritiesIncludedInNetIncomeBeforeTax	786,581	109,096	786,581	109,096
Accumulated Other Comprehensive Income (Loss) [Member]
OtherComprehensiveIncomeReclassificationAdjustmentForSaleOfSecuritiesIncludedInNetIncomeBeforeTax	251,151	97,435	(27,950)	36,018
Unrealized Gains and (Losses)	801,694	37,461	1,178,365	155,349
Reversal of prior Period Unrealized (Gains) and Losses on Realization	(266,264)	(25,800)	(363,834)	(82,271)
OtherComprehensiveIncomeReclassificationAdjustmentForSaleOfSecuritiesIncludedInNetIncomeBeforeTax	$ 251,151	$ 97,435	$ (27,950)	$ 36,018

Pre tax reclassification adjustment for gains or losses realized upon the sale of securities.

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 130
-Paragraph 24
-Subparagraph b
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 130
-Paragraph 18, 19
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section 45
-Paragraph 11
-URI http://asc.fasb.org/extlink&oid=6920043&loc=d3e637-108580

Reference 4: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-SubTopic 10
-Section 50
-Paragraph 9
-Subparagraph (d)
-URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27357-111563

Reference 5: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section 45
-Paragraph 16
-URI http://asc.fasb.org/extlink&oid=6920043&loc=d3e709-108580

Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Glossary Reclassification Adjustments
-URI http://asc.fasb.org/extlink&oid=6522872

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section 45
-Paragraph 17
-URI http://asc.fasb.org/extlink&oid=6920043&loc=d3e716-108580

Reference 8: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section 45
-Paragraph 15
-URI http://asc.fasb.org/extlink&oid=6920043&loc=d3e689-108580

Reference 9: http://www.xbrl.org/2003/role/presentationRef
-Publisher AICPA
-Name Accounting Research Bulletin (ARB)
-Number 51
-Paragraph 38
-Subparagraph c(3)
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Appreciation or loss in value (before reclassification adjustment) of the total of unsold securities during the period being reported on, net of tax. Reclassification adjustments include: (1) the unrealized holding gain (loss), net of tax, at the date of the transfer for a debt security from the held-to-maturity category transferred into the available-for-sale category. Also includes the unrealized gain (loss) at the date of transfer for a debt security from the available-for-sale category transferred into the held-to-maturity category; (2) the unrealized gains (losses) realized upon the sale of securities, after tax; and (3) the unrealized gains (losses) realized upon the write-down of securities, after tax.

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 115
-Paragraph 13
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 130
-Paragraph 24
-Subparagraph b
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 130
-Paragraph 17, 22
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 4: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section 45
-Paragraph 11
-URI http://asc.fasb.org/extlink&oid=6920043&loc=d3e637-108580

Reference 5: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section 45
-Paragraph 13
-URI http://asc.fasb.org/extlink&oid=6920043&loc=d3e653-108580

Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 220
-SubTopic 10
-Section 55
-Paragraph 2
-Subparagraph (e)
-URI http://asc.fasb.org/extlink&oid=6920433&loc=d3e998-108581

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher AICPA
-Name Accounting Research Bulletin (ARB)
-Number 51
-Paragraph 38
-Subparagraph c(3)
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Proceeds from agency securities sold

Agency Securities (Summary Of Net Gain From Sale Of Agency Securities) (Details) - USD ($)
$ in Thousands

3 Months Ended

9 Months Ended

Sep. 30, 2011

Sep. 30, 2010

Sep. 30, 2011

Sep. 30, 2010

Document Period End Date

Sep. 30, 2011

$ 3,791,498

$ 466,775

Net gains on sale of agency securities

$ 262,768

$ 24,565

360,880

81,558

Agency Securities [Member]

Agency securities sold, at cost

(14,045,636)

(2,172,978)

(26,429,464)

(6,914,764)

Proceeds from agency securities sold

^[1]

14,308,404

2,197,543

26,790,344

6,996,322

Gross gains on sale of agency securities

267,573

26,333

376,806

87,714

Gross losses on sale of agency securities

(4,805)

(1,768)

(15,926)

(6,156)

Net gains on sale of agency securities

$ 262,768

$ 24,565

$ 360,880

$ 81,558

[1]	(1)Proceeds include cash received during the period, plus receivable for agency securities sold during the period as of period end.

The cash inflow associated with the sale of debt and equity securities classified as available-for-sale securities.

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 95
-Paragraph 15
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 95
-Paragraph 16
-Subparagraph b
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 115
-Paragraph 18
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 4: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 95
-Paragraph 16
-Subparagraph a
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 5: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Glossary Investing Activities
-URI http://asc.fasb.org/extlink&oid=6516133

Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 320
-SubTopic 10
-Section 45
-Paragraph 11
-URI http://asc.fasb.org/extlink&oid=6871852&loc=d3e26853-111562

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 230
-SubTopic 10
-Section 45
-Paragraph 12
-Subparagraph (a),(b)
-URI http://asc.fasb.org/extlink&oid=6943989&loc=d3e3179-108585

Agency Securities (Summary Of Agency Securities Pledged As Collateral Under Repurchase, Other Debt, Derivative And Prime Broker Agreements) (Details) - USD ($)
$ in Thousands

9 Months Ended

12 Months Ended

Sep. 30, 2011

Dec. 31, 2010

Total Fair Value of Agency Securities Pledged and Accrued Interest

$ 38,860,353

$ 12,270,909

41,686,568

^[1]

12,559,825

^[2]

Fannie Mae [Member]

Total Fair Value of Agency Securities Pledged and Accrued Interest

24,170,819

^[1]

7,855,762

^[2]

Freddie Mac [Member]

Total Fair Value of Agency Securities Pledged and Accrued Interest

17,410,059

^[1]

4,606,625

^[2]

Ginnie Mae [Member]

Total Fair Value of Agency Securities Pledged and Accrued Interest

105,690

^[1]

97,438

^[2]

Under Repurchase Agreements [Member]

40,769,927

^[1]

12,356,653

^[2]

39,949,996

^[1]

12,395,890

^[2]

Under Repurchase Agreements [Member] | Fannie Mae [Member]

129,151

^[1]

43,563

^[2]

23,676,914

^[1]

7,707,046

^[2]

23,181,446

^[1]

7,709,785

^[2]

Under Repurchase Agreements [Member] | Freddie Mac [Member]

74,214

^[1]

27,589

^[2]

16,989,065

^[1]

4,554,541

^[2]

16,666,601

^[1]

4,591,245

^[2]

Under Repurchase Agreements [Member] | Ginnie Mae [Member]

54,597

^[1]

15,642

^[2]

103,948

^[1]

95,066

^[2]

101,949

^[1]

94,860

^[2]

Under Other Debt Agreements [Member]

340

^[1]

332

^[2]

60,796

^[1]

77,906

^[2]

59,807

^[1]

77,460

^[2]

Under Other Debt Agreements [Member] | Fannie Mae [Member]

243

^[1]

325

^[2]

60,796

^[1]

77,906

^[2]

59,807

^[1]

77,460

^[2]

Under Other Debt Agreements [Member] | Freddie Mac [Member]

243

^[1]

325

^[2]

^[1]

^[2]

^[1]

^[2]

Under Other Debt Agreements [Member] | Ginnie Mae [Member]

^[1]

^[2]

^[1]

^[2]

^[1]

^[2]

Under Derivative Agreements [Member]

^[1]

^[2]

681,190

^[1]

66,957

^[2]

667,148

^[1]

66,725

^[2]

Under Derivative Agreements [Member] | Fannie Mae [Member]

2,209

^[1]

274

^[2]

324,818

^[1]

36,651

^[2]

317,846

^[1]

36,343

^[2]

Under Derivative Agreements [Member] | Freddie Mac [Member]

1,085

^[1]

156

^[2]

356,372

^[1]

30,306

^[2]

349,302

^[1]

30,382

^[2]

Under Derivative Agreements [Member] | Ginnie Mae [Member]

1,124

^[1]

118

^[2]

^[1]

^[2]

^[1]

^[2]

Under Prime Broker Agreements [Member]

^[1]

^[2]

42,905

^[1]

14,090

^[2]

41,928

^[1]

14,146

^[2]

Under Prime Broker Agreements [Member] | Fannie Mae [Member]

147

^[1]

^[2]

32,636

^[1]

6,061

^[2]

31,896

^[1]

6,061

^[2]

Under Prime Broker Agreements [Member] | Freddie Mac [Member]

113

^[1]

^[2]

8,872

^[1]

5,997

^[2]

8,657

^[1]

6,061

^[2]

Under Prime Broker Agreements [Member] | Ginnie Mae [Member]

^[1]

^[2]

1,397

^[1]

2,032

^[2]

1,375

^[1]

2,024

^[2]

$ 5

^[1]

$ 8

^[2]

[1]	(1)Agency securities pledged include pledged amounts of $2.69 billion related to agency securities sold but not yet settled as of September 30, 2011
[2]	(2)Agency securities pledged include pledged amounts of $244.7 million related to agency securities sold but not yet settled as of December 31, 2010

Agency Securities (Summary Of Agency Securities Pledged As Collateral Under Repurchase Agreements By Remaining Maturity) (Details) - USD ($)
$ in Thousands

9 Months Ended

12 Months Ended

Sep. 30, 2011

Dec. 31, 2010

Document Period End Date

Sep. 30, 2011

^[1]

$ 40,830,723

$ 12,434,559

^[1]

40,009,803

12,473,350

Agency securities pledged as collateral that were sold but not yet settled

^[1]

129,394

43,888

2,690,000

244,700

30 Days or Less [Member]

^[1]

34,011,545

9,909,121

^[1]

33,320,906

9,943,239

Maturity 31 To 59 Days [Member]

^[1]

107,886

35,151

^[1]

4,836,073

2,525,438

^[1]

4,744,354

2,530,111

Maturity 60 To 90 Days [Member]

^[1]

15,313

8,737

^[1]

543,799

^[1]

531,016

Greater than 90 Days [Member]

^[1]

1,690

^[1]

1,439,306

^[1]

1,413,527

^[1]

$ 4,505

$ 0

[1]	(1)Agency securities pledged include pledged amounts of $2.69 billion and $244.7 million related to agency securities sold but not yet settled as of September 30, 2011 and December 31, 2010, respectivel

Repurchase Agreements And Other Debt (Narrative) (Details) - USD ($) $ in Thousands	Oct. 31, 2011	Sep. 30, 2011	Dec. 31, 2010
Risk of repurchase agreement to stockholders equity		10.00%	10.00%
Other Long-term Debt		$ 56,864	$ 72,927
Spread over LIBOR		25 basis points
Counterparty to Master Repurchase Agreement Bankruptcy [Member]
Repurchase Agreement Counterparty, Amount at Risk	$ 1,000

Repurchase Agreements And Other Debt (Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities) (Details) - USD ($)	Sep. 30, 2011	Dec. 31, 2010
Borrowings Outstanding	$ 38,841,619,000	$ 11,680,092,000
Average Interest Rate	0.28%	0.31%
Weighted Average Days to Maturity	30	22
1 Month or Less
Borrowings Outstanding	$ 18,946,631,000	$ 3,306,175,000
Average Interest Rate	0.27%	0.32%
Weighted Average Days to Maturity	12	12
1 - 2 Months
Borrowings Outstanding	$ 8,110,844,000	$ 5,648,155,000
Average Interest Rate	0.28%	0.31%
Weighted Average Days to Maturity	22	20
2 - 3 Months
Borrowings Outstanding	$ 4,789,136,000	$ 1,496,452,000
Average Interest Rate	0.26%	0.29%
Weighted Average Days to Maturity	26	33
3 - 6 Months
Borrowings Outstanding	$ 5,662,617,000	$ 1,229,310,000
Average Interest Rate	0.25%	0.29%
Weighted Average Days to Maturity	34	43
6 - 9 Months
Borrowings Outstanding	$ 278,758,000	$ 0
Average Interest Rate	0.41%	0.00%
Weighted Average Days to Maturity	215	0
9 - 12 Months
Borrowings Outstanding	$ 1,053,633,000	$ 0
Average Interest Rate	0.50%	0.00%
Weighted Average Days to Maturity	348	0

Notional amount of forward starting swaps

The carrying value as of the balance sheet date of securities that an institution sells and agrees to repurchase (the identical or substantially the same securities) as a seller-borrower at a specified date for a specified price, also known as a repurchase agreement, or repo. Most repos involve obligations of the federal government or its agencies, but other financial instruments, such as commercial paper, banker's acceptances, and negotiable certificates of deposit, are sometimes used in repos.

+ References + Details

Derivative and Other Hedging Instruments (Narrative) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2011	Sep. 30, 2010	Sep. 30, 2011	Sep. 30, 2010	Dec. 31, 2010
one-month LIBOR term, years			5
Fair Value of Derivative Instruments	$ 9,268		$ 9,268		$ 15,301
Securities borrowed under reverse purchase agreements, fair value					245,500
Proceeds from sales of treasury securities					244,800
Proceeds from sales of treasury securities			470,000
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value	473,247		473,247		245,532
Gain on interest only securities remeasured at fair value through earnings	27,500		24,400
Loss on interest only securities remeasured at fair value through earnings		$ 900		$ 7,800
Loss on cash flow hedge ineffectiveness	900	0	(1,600)	300
Gain on trading securities	27,500	$ 500	$ 24,400	$ 1,900
Interest Rate Cash Flow Hedge Liability at Fair Value					$ 37,700
Maximum [Member]
one-month LIBOR term, years			P10Y
Interest Rate Contract [Member]
Fair value of interest rate swap, liability position	(754,800)		$ (754,800)
Agency securities, pledged as collateral against interest rate swap	633,700		633,700
Restricted cash	317,000		317,000
Total agency securities and restricted cash pledged as collateral against interest rate swaps	950,700		950,700
Interest rate swap terminated value	(765,700)		(765,700)
Sale Of TBA And Forward Settling Agency Securities [Member]
Gain on trading securities	5,000		33,300
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member]
Deferred Gain (Loss) on Discontinuation of Interest Rate Fair Value Hedge	744,400		$ 744,400
De-Designated Swap Contract Reclassified From OCI to earnings, Weighted Average Contract Term (in years)			3.4
Deferred gain loss discontinued interest rate swap expected to be reclassified from OCI to interest expense next twelve months			$ 208,800
Total Return Swap [Member]
Fair Value of Derivative Instruments	4,000		4,000
Derivative Index Value	$ (40,600)		$ (40,600)

Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps) (Details) - USD ($) $ in Thousands	Sep. 30, 2011	Dec. 31, 2010
Derivative assets, at fair value	$ 0	$ (37,722)
Interest Rate Swap Assets [Member] \| Derivative assets, at fair value [Member]
Derivative assets, at fair value	0	33,695
Interest Rate Swap Liabilities [Member] \| Derivative liabilities, at fair value [Member]
Derivative liabilities, at fair value	$ 0	$ (71,417)

Derivative and Other Hedging Instruments (Remaining Interest Rate Swap Term) (Details) - USD ($)
$ in Thousands

Sep. 30, 2011

Jun. 30, 2011

Dec. 31, 2010

Jun. 30, 2010

Dec. 31, 2009

$ 1,900,000

1.63%

0.26%

$ (37,722)

Interest Rate Derivative Not Designated As Hedging Instruments Average Fixed Pay Rate

$ 200,000

^[1]

$ 22,000,000

$ 6,450,000

$ 3,000,000

$ 2,050,000

^[1]

2.00%

Interest Rate Derivative Not Designated As Hedging Instruments Average receive Rate

^[1]

0.37%

Interest Rate Derivative Instruments Not Designated as Hedging Instruments at Fair Value, Net

^[1]

$ 1,460

Remaining interest rate swap term, minimum

10.1

^[1]

3.1

one

Remaining interest rate swap term, maximum

three

1 Year Or Less [Member]

1.40%

0.26%

$ (5,595)

$ 750,000

Greater Than 1 Year And Less Than 3 Years [Member]

0.7

1.54%

0.26%

$ (32,865)

$ 2,850,000

Greater Than 3 Years And Less Than 5 Years [Member]

2.5

1.78%

0.26%

$ 738

$ 2,850,000

Greater Than 5 Years [Member]

4.3

0.00%

0.00%

$ 0

$ 0

Not Designated as Hedging Instrument [Member]

Interest Rate Derivative Not Designated As Hedging Instruments Average Fixed Pay Rate

^[1]

$ 26,950,000

^[1]

1.58%

Interest Rate Derivative Not Designated As Hedging Instruments Average receive Rate

0.25%

Interest Rate Derivative Instruments Not Designated as Hedging Instruments at Fair Value, Net

^[1]

$ (757,596)

Remainder of 2011 [Member]

Interest Rate Derivative Not Designated As Hedging Instruments Average Fixed Pay Rate

^[1]

$ 300,000

^[1]

1.28%

Interest Rate Derivative Not Designated As Hedging Instruments Average receive Rate

^[1]

0.23%

Interest Rate Derivative Instruments Not Designated as Hedging Instruments at Fair Value, Net

^[1]

$ (652)

^[1]

2012 [Member]

Interest Rate Derivative Not Designated As Hedging Instruments Average Fixed Pay Rate

^[1]

$ 750,000

^[1]

2.01%

Interest Rate Derivative Not Designated As Hedging Instruments Average receive Rate

^[1]

0.23%

Interest Rate Derivative Instruments Not Designated as Hedging Instruments at Fair Value, Net

^[1]

$ (10,898)

^[1]

2013 [Member]

Interest Rate Derivative Not Designated As Hedging Instruments Average Fixed Pay Rate

^[1]

$ 3,050,000

^[1]

1.06%

Interest Rate Derivative Not Designated As Hedging Instruments Average receive Rate

^[1]

0.23%

Interest Rate Derivative Instruments Not Designated as Hedging Instruments at Fair Value, Net

^[1]

$ (34,534)

^[1]

1.8

2014 [Member]

Interest Rate Derivative Not Designated As Hedging Instruments Average Fixed Pay Rate

^[1]

$ 7,300,000

^[1]

1.22%

Interest Rate Derivative Not Designated As Hedging Instruments Average receive Rate

^[1]

0.24%

Interest Rate Derivative Instruments Not Designated as Hedging Instruments at Fair Value, Net

^[1]

$ (127,255)

^[1]

2.8

2015 [Member]

Interest Rate Derivative Not Designated As Hedging Instruments Average Fixed Pay Rate

^[1]

$ 7,700,000

^[1]

1.51%

Interest Rate Derivative Not Designated As Hedging Instruments Average receive Rate

^[1]

0.28%

Interest Rate Derivative Instruments Not Designated as Hedging Instruments at Fair Value, Net

^[1]

$ (193,141)

^[1]

3.7

2016 [Member]

Interest Rate Derivative Not Designated As Hedging Instruments Average Fixed Pay Rate

^[1]

$ 7,550,000

^[1]

2.17%

Interest Rate Derivative Not Designated As Hedging Instruments Average receive Rate

^[1]

0.23%

Interest Rate Derivative Instruments Not Designated as Hedging Instruments at Fair Value, Net

^[1]

$ (392,090)

^[1]

4.7

2021 [Member]

Interest Rate Derivative Not Designated As Hedging Instruments Average Fixed Pay Rate

^[1]

$ 100,000

^[1]

1.79%

Interest Rate Derivative Not Designated As Hedging Instruments Average receive Rate

^[1]

0.37%

Interest Rate Derivative Instruments Not Designated as Hedging Instruments at Fair Value, Net

^[1]

$ (486)

Derivative Asset, Fair Value, Net [Abstract]

^[1]

7.1

[1]	(1)Amounts include the effect of deferred start dates for forward starting swaps of $1.9 billion ranging from one to three months from September 30, 2011.

Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps Designated As Hedging Instruments) (Details) - USD ($)
$ in Thousands

3 Months Ended

9 Months Ended

Sep. 30, 2011

Sep. 30, 2010

Sep. 30, 2011

Sep. 30, 2010

Jun. 30, 2011

Dec. 31, 2010

Jun. 30, 2010

Dec. 31, 2009

$ 200,000

^[1]

$ 200,000

^[1]

$ 22,000,000

$ 6,450,000

$ 3,000,000

$ 2,050,000

2,100,000

$ 1,200,000

17,900,000

$ 2,150,000

Terminations

(200,000)

(450,000)

Hedge De-Designation

(23,900,000)

Ending notional amount

$ 0

$ 4,200,000

$ 0

$ 4,200,000

[1]	(1)Amounts include the effect of deferred start dates for forward starting swaps of $1.9 billion ranging from one to three months from September 30, 2011.

Derivative and Other Hedging Instruments (Effect Of Interest Rate Swaps Designated As Hedges) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2011	Sep. 30, 2010	Sep. 30, 2011	Sep. 30, 2010
Derivative Asset, Fair Value, Net [Abstract]
Amount of Gain or (Loss) Recognized in OCI (Effective Portion)	$ (512,208)	$ (39,823)	$ (706,972)	$ (99,428)
Amount of Gain or (Loss) Reclassified from OCI into Earnings (Effective Portion)	(70,854)	(13,261)	(140,074)	(40,332)
Amount of Gain or (Loss) Recognized in Earnings (Ineffective Portion and Amount Excluded from Effectiveness Testing)	$ (914)	$ (25)	$ (1,552)	$ (340)

Derivative and Other Hedging Instruments (Summary Of Outstanding Forward Contracts Designated As Hedging Instruments) (Details) - Purchases Of TBAs And Forward Settling Agency Securities [Member] $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2011 USD ($)	Sep. 30, 2010 USD ($)	Sep. 30, 2011 USD ($)	Sep. 30, 2010 USD ($)
Beginning Notional Amount	$ 0	$ 80,000	$ 245,000	$ 0
Additions	0	175,000	0	321,303
Settlement /Expirations	0	(80,000)	(245,000)	(146,303)
Ending Notional Amount	0	175,000	0	175,000
Fair Value as of Period End	$ 0	$ 1,807	$ 0	$ 1,807
Average Maturity as of Period End (Months)	0	3	0	3

Derivative and Other Hedging Instruments (Effect of Forward Contracts Designated as Hedges) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2011	Sep. 30, 2010	Sep. 30, 2011	Sep. 30, 2010
Amount of Gain or (Loss) Recognized in OCI (Effective Portion)	$ (512,208)	$ (39,823)	$ (706,972)	$ (99,428)
Amount of Gain or (Loss) Reclassified from OCI into Earnings (Effective Portion)	(70,854)	(13,261)	(140,074)	(40,332)
Amount of Gain or (Loss) Recognized in Earnings (Ineffective Portion and Amount Excluded from Effectiveness Testing)	(914)	(25)	(1,552)	(340)
Purchases Of TBAs And Forward Settling Agency Securities [Member]
Amount of Gain or (Loss) Recognized in OCI (Effective Portion)	0	1,807	12	1,807
Amount of Gain or (Loss) Reclassified from OCI into Earnings (Effective Portion)	0	0	(3,213)	1,262
Amount of Gain or (Loss) Recognized in Earnings (Ineffective Portion and Amount Excluded from Effectiveness Testing)	$ 0	$ 0	$ 0	$ 0

Derivative and Other Hedging Instruments (Summary of Long and Short Position of Derivative Instruments) (Details) - USD ($)
$ in Thousands

Sep. 30, 2011

Dec. 31, 2010

$ (817,215)

$ (848,897)

TBA securities Fifteen Year and Thirty Year Securities [Member]

9,268

15,301

^[1]

(567,600)

(1,008,200)

TBA securities Fifteen Year and Thirty Year Securities [Member] | Purchase [Member]

^[1]

11,007

17,121

5,426,400

2,282,000

TBA securities Fifteen Year and Thirty Year Securities [Member] | Sale [Member]

21,471

13,510

(5,994,000)

(3,290,200)

Forward settling securities Twenty Year Securities and ARMs [Member]

(10,464)

3,611

^[2]

(249,615)

159,303

Forward settling securities Twenty Year Securities and ARMs [Member] | Purchase [Member]

^[2]

(1,739)

(1,820)

10,000

159,303

Forward settling securities Twenty Year Securities and ARMs [Member] | Sale [Member]

(44)

(1,820)

(259,615)

$ (1,695)

$ 0

[1]	Includes 15-year and 30-year TBA securities of varying coupons
[2]	Includes 20-year fixed securities and ARMs of varying coupons

Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps Agreements Not Designated As Hedges) (Details) - USD ($)
$ in Thousands

12 Months Ended

Dec. 31, 2010

Sep. 30, 2011

Average Fixed Pay Rate

^[1]

2.00%

^[1]

$ 1,460

Payer Interest Rate Swaps [Member]

3.1

10.1

^[1]

Maturity Date Of Derivative Instrument

2015

$ 250,000

Average Fixed Pay Rate

1.66%

Average Receive Rate

0.0026

$ 4,140

Receiver Interest Rate Swaps [Member]

4.9

Maturity Date Of Derivative Instrument

2015

$ 200,000

Average Fixed Pay Rate

(2.00%)

Average Receive Rate

-0.0026

$ 2,743

4.7

[1]	(1)Amounts include the effect of deferred start dates for forward starting swaps of $1.9 billion ranging from one to three months from September 30, 2011.

Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps Agreements Designated As Hedges in the Future) (Details) - Payer Swaption [Member] $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2011 USD ($)	Dec. 31, 2010 USD ($)
Cost	$ 45,570	$ 4,596
Fair Value	$ 4,456	$ 16,766
Average Months to Expiration	8	4
Notional Amount	$ 3,250,000	$ 850,000
Pay Rate	3.59%	2.28%
Receive Rate	1M LIBOR	1M LIBOR
Term (Years)	6.9	5.6

Derivative and Other Hedging Instruments (Summary of Outstanding Total Return Swaps) (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2011	Dec. 31, 2010
Notional Amount	$ (817,215)	$ (848,897)
Fair Value of Derivative Instruments	9,268	$ 15,301
Long [Member]
Notional Amount
Fair Value of Derivative Instruments
Long [Member] \| 6.0%, 30-Year, Fixed Rate, Fannie Mae MBS Pools [Member]
Notional Amount	$ 64,595
Derivative Instrument, Expiration Date	January 2039
Fair Value of Derivative Instruments	$ (1,079)
Short [Member]
Notional Amount	(322,900)
Fair Value of Derivative Instruments	5,061
Short [Member] \| 5.0%, 30-Year, Fixed Rate, Fannie Mae MBS Pools [Member]
Notional Amount	$ (158,462)
Derivative Instrument, Expiration Date	January 2040
Fair Value of Derivative Instruments	$ 1,835
Short [Member] \| 5.5%, 30-Year, Fixed Rate, Fannie Mae MBS Pools [Member]
Notional Amount	$ (49,764)
Derivative Instrument, Expiration Date	January 2039
Fair Value of Derivative Instruments	$ 1,310
Short [Member] \| 6.0%, 30-Year, Fixed Rate, Fannie Mae MBS Pools [Member]
Notional Amount	$ (114,674)
Derivative Instrument, Expiration Date	January 2039
Fair Value of Derivative Instruments	$ 1,916
Net [Member]
Notional Amount	(258,305)
Fair Value of Derivative Instruments	$ 3,982

Derivative and Other Hedging Instruments (Summary Of Derivatives Outstanding Not Designated As Hedging Instruments) (Details) - USD ($) $ in Thousands	Sep. 30, 2011	Dec. 31, 2010
Derivative assets, at fair value [Member]
Derivative assets not designated as hedging instruments	$ 54,532	$ 42,898
Derivative liabilities, at fair value [Member]
Derivative liabilities not designated as hedging instruments	(792,714)	(3,948)
Purchases Of TBAs And Forward Settling Agency Securities [Member] \| Derivative assets, at fair value [Member]
Derivative assets not designated as hedging instruments	24,469	2,929
Purchases Of TBAs And Forward Settling Agency Securities [Member] \| Derivative liabilities, at fair value [Member]
Derivative liabilities not designated as hedging instruments	(3,042)	(2,193)
Sale Of TBA And Forward Settling Agency Securities [Member] \| Derivative assets, at fair value [Member]
Derivative assets not designated as hedging instruments	7,794	16,320
Sale Of TBA And Forward Settling Agency Securities [Member] \| Derivative liabilities, at fair value [Member]
Derivative liabilities not designated as hedging instruments	(19,953)	(1,755)
Treasury Futures [Member] \| Derivative assets, at fair value [Member]
Derivative assets not designated as hedging instruments	1,708	0
Markit IOS Total Return Swaps - Long [Member] \| Derivative assets, at fair value [Member]
Derivative assets not designated as hedging instruments	5,061	0
Markit IOS Total Return Swaps - Long [Member] \| Derivative liabilities, at fair value [Member]
Derivative liabilities not designated as hedging instruments	(1,079)	0
Payer Interest Rate Swaps [Member] \| Derivative assets, at fair value [Member]
Derivative assets not designated as hedging instruments	4,608	4,140
Payer Interest Rate Swaps [Member] \| Derivative liabilities, at fair value [Member]
Derivative liabilities not designated as hedging instruments	(768,640)	0
Receiver Interest Rate Swaps [Member] \| Derivative assets, at fair value [Member]
Derivative assets not designated as hedging instruments	6,436	2,743
Payer Swaption [Member] \| Derivative assets, at fair value [Member]
Derivative assets not designated as hedging instruments	$ 4,456	$ 16,766

Derivative and Other Hedging Instruments (Effect Of Derivative Instruments Not Designated As Hedges On Income Statement) (Details) - USD ($)

3 Months Ended

9 Months Ended

Sep. 30, 2011

Sep. 30, 2010

Sep. 30, 2011

Sep. 30, 2010

Amount Gain/(Loss) Recognized in Income on Derivatives

$ 64,595,000

(198,108,000)

^[1]

$ (3,311,000)

^[2]

(317,299,000)

^[3]

$ (13,449,000)

^[4]

Put Options [Member]

(200,000,000)

75,000,000

200,000,000

(75,000,000)

Amount Gain/(Loss) Recognized in Income on Derivatives

1,133,000

^[3]

(328,000)

^[4]

Purchases Of TBAs And Forward Settling Agency Securities [Member]

3,432,365,000

181,142,000

512,303,000

596,516,000

19,881,039,000

947,794,000

42,222,204,000

2,037,063,000

(17,877,004,000)

(760,018,000)

(37,298,107,000)

(2,264,481,000)

Amount Gain/(Loss) Recognized in Income on Derivatives

5,436,400,000

369,098,000

5,436,400,000

369,098,000

73,335,000

^[1]

2,296,000

^[2]

118,586,000

^[3]

14,730,000

^[4]

Sale Of TBA And Forward Settling Agency Securities [Member]

4,281,525,000

270,000,000

1,361,200,000

616,747,000

37,866,575,000

2,005,073,000

88,795,265,000

4,822,333,000

(35,894,485,000)

(1,351,912,000)

(83,902,850,000)

(4,515,919,000)

Amount Gain/(Loss) Recognized in Income on Derivatives

6,253,615,000

923,161,000

6,253,615,000

923,161,000

(146,363,000)

^[1]

(10,059,000)

^[2]

(292,699,000)

^[3]

(30,936,000)

^[4]

Payer Interest Rate Swaps [Member]

250,000,000

2,900,000,000

200,000,000

2,900,000,000

350,000,000

23,900,000,000

(150,000,000)

(300,000,000)

Amount Gain/(Loss) Recognized in Income on Derivatives

27,050,000,000

50,000,000

27,050,000,000

50,000,000

(6,243,000)

^[1]

(2,303,000)

^[2]

(12,130,000)

^[3]

(3,414,000)

^[4]

Receiver Interest Rate Swaps [Member]

100,000,000

200,000,000

200,000,000

(100,000,000)

Amount Gain/(Loss) Recognized in Income on Derivatives

100,000,000

200,000,000

100,000,000

200,000,000

3,365,000

^[1]

88,000

^[2]

4,291,000

^[3]

88,000

^[4]

Payer Swaption [Member]

4,050,000,000

200,000,000

850,000,000

200,000,000

250,000,000

4,450,000,000

(1,050,000,000)

(2,050,000,000)

Amount Gain/(Loss) Recognized in Income on Derivatives

3,250,000,000

200,000,000

3,250,000,000

200,000,000

(32,734,000)

^[1]

(7,000)

^[2]

(58,614,000)

^[3]

(2,389,000)

^[4]

Receiver Swaption [Member]

300,000,000

100,000,000

250,000,000

300,000,000

(300,000,000)

(250,000,000)

(400,000,000)

Amount Gain/(Loss) Recognized in Income on Derivatives

7,004,000

^[2]

(736,000)

^[3]

9,130,000

^[4]

Short Sales Of U S Government Securities [Member]

1,464,000,000

250,000,000

3,450,000,000

150,000,000

11,974,000,000

150,000,000

(4,449,000,000)

(150,000,000)

(11,759,000,000)

(150,000,000)

Amount Gain/(Loss) Recognized in Income on Derivatives

465,000,000

(92,018,000)

^[1]

$ (330,000)

^[2]

(91,823,000)

^[3]

$ (330,000)

^[4]

Treasury Futures [Member]

350,000,000

400,000,000

(50,000,000)

Amount Gain/(Loss) Recognized in Income on Derivatives

350,000,000

1,702,000

^[1]

1,950,000

^[3]

Markit IOS Total Return Swaps - Long [Member]

682,655,000

64,595,000

1,154,015,000

(682,655,000)

(1,089,420,000)

Amount Gain/(Loss) Recognized in Income on Derivatives

64,595,000

(18,817,000)

^[1]

(6,377,000)

^[3]

Markit IOS Total Return Swaps - Short [Member]

309,303,000

322,900,000

635,559,000

(309,303,000)

(312,659,000)