| As of and for the Years Ended | ||||||||||||
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December 31, |
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| $ in thousands | 2011 | 2010 | 2009 | |||||||||
| Average Balances*: |
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| Agency RMBS: |
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| 15 year fixed-rate, at fair value (Including CMOs) |
2,279,661 | 811,966 | 301,127 | |||||||||
| 30 year fixed-rate, at fair value |
4,603,117 | 874,214 | 224,335 | |||||||||
| ARM, at fair value |
87,033 | 11,819 | 10,279 | |||||||||
| Hybrid ARM, at fair value |
1,009,829 | 83,878 | 141,140 | |||||||||
| Non-Agency RMBS, at fair value |
2,030,195 | 622,574 | 108,935 | |||||||||
| CMBS, at fair value |
988,105 | 262,182 | 80,598 | |||||||||
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| Average MBS portfolio |
10,997,940 | 2,666,633 | 866,414 | |||||||||
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| Average Portfolio Yields (1): |
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| Agency RMBS: |
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| 15 year fixed-rate, (Including CMOs) |
2.96% | 2.87% | 3.35% | |||||||||
| 30 year fixed-rate |
3.54% | 3.37% | 4.74% | |||||||||
| ARM |
2.96% | 2.48% | 2.14% | |||||||||
| Hybrid ARM |
2.55% | 0.93% | 3.33% | |||||||||
| Non-Agency RMBS |
6.88% | 10.94% | 15.63% | |||||||||
| CMBS |
5.54% | 4.68% | 5.36% | |||||||||
| Average MBS portfolio |
4.12% | 5.03% | 5.43% | |||||||||
| Average Borrowings*: |
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| Agency RMBS |
7,146,066 | 1,570,211 | 565,615 | |||||||||
| Non-Agency RMBS |
1,536,245 | 339,209 | - | |||||||||
| CMBS |
791,212 | 194,505 | 60,400 | |||||||||
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| Total borrowed funds |
9,473,523 | 2,103,925 | 626,015 | |||||||||
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| Average Cost of Funds (2): |
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| Agency RMBS |
0.27% | 0.27% | 0.33% | |||||||||
| Non-Agency RMBS |
1.47% | 1.59% | 0.00% | |||||||||
| CMBS |
1.35% | 2.77% | 3.38% | |||||||||
| Unhedged cost of funds |
0.56% | 0.71% | 0.63% | |||||||||
| Hedged cost of funds |
1.64% | 1.40% | 1.47% | |||||||||
| Average Equity (3): |
1,625,794 | 590,177 | 212,743 | |||||||||
| Average debt/equity ratio (average during period) |
5.83x | 3.56x | 2.94x | |||||||||
| Debt/equity ratio (as of period end) |
6.4x | 4.1x | 3.0x | |||||||||