REPURCHASE AGREEMENTS

6 Months Ended

Jun. 30, 2011

REPURCHASE AGREEMENTS

7.           REPURCHASE AGREEMENTS

The Company had outstanding $78.4 billion and $65.5 billion of repurchase agreements with weighted average borrowing rates of 1.68% and 1.84%, after giving effect to the Company’s interest rate swaps, and weighted average remaining maturities of 130 days and 127 days as of June 30, 2011 and December 31, 2010, respectively.  Investment Securities and U.S. Treasury Securities pledged as collateral under these repurchase agreements and interest rate swaps had an estimated fair value of $83.1 billion at June 30, 2011 and $69.5 billion at December 31, 2010.

      At June 30, 2011 and December 31, 2010, the repurchase agreements had the following remaining maturities:

	June 30, 2011		December 31, 2010
	(dollars in thousands)
1 day	$	6,751,759	$	-
2 to 29 days		29,838,769		32,669,341
30 to 59 days		13,627,318		13,767,522
60 to 89 days		5,269,428		4,776,597
90 to 119 days		6,413,382		6,068,376
Over 120 days		16,546,509		8,251,701
Total	$	78,447,165	$	65,533,537

      The Company did not have an amount at risk greater than 10% of the equity of the Company with any counterparty as of June 30, 2011 or December 31, 2010.

      The Company has entered into long term repurchase agreements which provide the counterparty with the right to call the balance prior to maturity date.  These repurchase agreements totaled $5.2 billion and the fair value of the option to call was ($263.8 million) at June 30, 2011.  The repurchase agreements totaled $5.9 billion and the fair value of the option to call was ($313.2 million) at December 31, 2010.  Management has determined that the call option is not required to be bifurcated as it is deemed clearly and closely related to the debt instrument, therefore the fair value of the option is not recorded in the consolidated financial statements. The long term repurchase agreements are modeled and priced as pay fixed versus receive floating interest rate swaps whereby the fixed receiver has the option to cancel the swap after an initial lockout period.

      Additionally, as of June 30, 2011 and December 31, 2010, the Company has entered into repurchase agreements with a term of over one year.  The amount of the repurchase agreements is $1.0 billion and $500 million and they have an estimated fair value of $1.0 billion and $513.3 million as of June 30, 2011 and December 31, 2010, respectively.