FAIR VALUE MEASUREMENTS (Tables)

12 Months Ended

Dec. 31, 2011

Schedule of Mortgage-Backed and Agency Debentures Characteristics

The Company’s Investment Securities characteristics are as follows:

	Weighted Average Coupon on Fixed Rate Investments			Weighted Average Coupon on Adjustable Rate Investments			Weighted Average Yield on Fixed Rate Investments			Weighted Average Yield on Adjustable Rate Investments			Weighted Average Lifetime Cap on Adjustable Investments			Weighted Average Term to Next Adjustment on Adjustable Rate Investments
At December 31, 2011		4.71	%		3.88	%		3.07	%		2.79	%		9.64	%	41 months
At December 31, 2010		4.92	%		4.28	%		4.00	%		3.04	%		10.16	%	39 months

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The Company’s financial assets and liabilities carried at fair value on a recurring basis are valued as follows:

	Level 1		Level 2		Level 3
At December 31, 2011	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	-	$	104,251,055	$	-
Agency debentures		-		889,580		-
Investment in affiliates		211,970		-		-
U.S. Treasury Securities		928,547		-		-
Equity securities		3,891		-		-
Securities borrowed		-		928,732		-
Other derivative contracts		113		-		-
Liabilities:
Interest rate swaps		-		2,552,687		-
U.S. Treasury securities sold, not yet purchased		826,912		-		-
Securities loaned		-		804,901		-
	Level 1		Level 2		Level 3
At December 31, 2010	(dollars in thousands)
Assets:
Agency mortgage-backed securities	$	-	$	78,440,330	$	-
Agency debentures		-		1,108,261		-
Investments in affiliates		184,879		-		-
U.S. Treasury securities		1,100,447		-		-
Securities borrowed		-		216,676		-
Interest rate swaps		-		2,561		-
Other derivative contracts		2,607		-		-
Liabilities:
Interest rate swaps		-		754,439		-
U.S. Treasury securities sold, not yet purchased		909,462		-		-
Securities loaned		-		217,841		-
Other derivative contracts		-		2,446		-