2. AGENCY MORTGAGE-BACKED SECURITIES

The following tables present the Company’s available-for-sale Agency Mortgage-Backed Securities portfolio as of June 30, 2011 and December 31, 2010 which were carried at their fair value:

June 30, 2011	Freddie Mac			Fannie Mae			Ginnie Mae			Total Agency Mortgage-Backed Securities
	(dollars in thousands)
Mortgage-Backed
Securities, gross	$	25,057,495		$	65,731,429		$	943,757		$	91,732,681
Unamortized discount		(12,488	)		(16,848	)		(401	)		(29,737	)
Unamortized premium		660,423			2,323,888			33,454			3,017,765
Amortized cost		25,705,430			68,038,469			976,810			94,720,709

Gross unrealized gains		693,858			1,629,067			37,683			2,360,608
Gross unrealized losses		(38,608	)		(267,619	)		(1,642	)		(307,869	)

Estimated fair value	$	26,360,680		$	69,399,917		$	1,012,851		$	96,773,448

	Amortized Cost			Gross Unrealized Gain			Gross Unrealized Loss			Estimated Fair Value
	(dollars in thousands)
Adjustable rate	$	9,712,428		$	345,634		$	(9,086	)	$	10,048,976

Fixed rate		85,008,281			2,014,974			(298,783	)		86,724,472

Total	$	94,720,709		$	2,360,608		$	(307,869	)	$	96,773,448

December 31, 2010	Freddie Mac			Fannie Mae			Ginnie Mae			Total Agency Mortgage-Backed Securities
	(dollars in thousands)
Mortgage-Backed
Securities, gross	$	19,846,543		$	54,341,140		$	824,029		$	75,011,712
Unamortized discount		(14,651	)		(18,329	)		(403	)		(33,383	)
Unamortized premium		517,507			1,795,116			26,200			2,338,823
Amortized cost		20,349,399			56,117,927			849,826			77,317,152

Gross unrealized gains		463,471			1,211,324			29,408			1,704,203
Gross unrealized losses		(140,027	)		(438,918	)		(2,080	)		(581,025	)

Estimated fair value	$	20,672,843		$	56,890,333		$	877,154		$	78,440,330
	Amortized Cost			Gross Unrealized Gain			Gross Unrealized Loss			Estimated Fair Value
	(dollars in thousands)
Adjustable rate	$	10,954,627		$	257,822		$	(75,440	)	$	11,137,009

Fixed rate		66,362,525			1,446,381			(505,585	)		67,303,321

Total	$	77,317,152		$	1,704,203		$	(581,025	)	$	78,440,330

Actual maturities of Agency Mortgage-Backed Securities are generally shorter than stated contractual maturities because actual maturities of Agency Mortgage-Backed Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. The following table summarizes the Company’s Agency Mortgage-Backed Securities on June 30, 2011 and December 31, 2010 according to their estimated weighted-average life classifications:

	June 30, 2011				December 31, 2010
	Fair Value		Amortized Cost		Fair Value		Amortized Cost
Weighted-Average Life	(dollars in thousands)

Less than one year	$	780,883	$	771,339	$	915,398	$	901,824
Greater than one year and less than five years		71,716,641		69,613,658		59,732,123		58,321,570
Greater than or equal to five years		24,275,924		24,335,712		17,792,809		18,093,758

Total	$	96,773,448	$	94,720,709	$	78,440,330	$	77,317,152

The weighted-average lives of the Agency Mortgage-Backed Securities at June 30, 2011 and December 31, 2010 in the table above are based upon data provided through subscription-based financial information services, assuming constant principal prepayment rates to the reset date of each security. The prepayment model considers current yield, forward yield, steepness of the yield curve, current mortgage rates, mortgage rate of the outstanding loans, loan age, margin and volatility. The actual weighted average lives of the Agency Mortgage-Backed Securities could be longer or shorter than estimated.

The following table presents the gross unrealized losses, and estimated fair value of the Company’s Agency Mortgage-Backed Securities by length of time that such securities have been in a continuous unrealized loss position at June 30, 2011 and December 31, 2010.

	Unrealized Loss Position For: (dollars in thousands)
	Less than 12 Months					12 Months or More					Total
	Estimated Fair Value		Unrealized Losses			Estimated Fair Value		Unrealized Losses			Estimated Fair Value		Unrealized Losses

June 30, 2011	$	20,911,053	$	(302,761	)	$	172,421	$	(5,108	)	$	21,083,474	$	(307,869	)
December 31, 2010	$	28,608,996	$	(577,096	)	$	166,481	$	(3,929	)	$	28,775,477	$	(581,025	)

The decline in value of these securities is solely due to market conditions and not the quality of the assets. Substantially all of the Agency Mortgage-Backed Securities are “AAA” rated or carry an implied “AAA” rating. The investments are not considered other-than-temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments or we are not required to sell for regulatory or other reasons. Also, the Company is guaranteed payment of the principal amount of the securities by the government agency which created them.

During the quarter and six months ended June 30, 2011, the Company sold $1.6 billion and $4.6 billion of Agency Mortgage-Backed Securities, resulting in a realized gain of $5.9 million and $26.8 million, respectively. During the quarter and six months ended June 30, 2010, the Company sold $1.4 billion and $3.0 billon of Agency Mortgage-Backed Securities, resulting in a realized gain of $37.8 million and $84.8 million respectively.

Interest-only securities represent the right to receive a specified portion of the contractual interest flows of the underlying unamortized principal balance of specific Agency securities. As of June 30, 2011, interest-only securities accounted for under the fair value option had unrealized gains of $276,000 and an amortized cost of $46.5 million.