DERIVATIVE INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2011

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The location and fair value of derivative instruments reported in the Consolidated Statement of Financial Position as of December 31, 2011 and 2010 are as follows:

	Location on Statement of Financial Condition	Notional Amount		Net Estimated Fair Value/Carrying Value
	(dollars in thousands)
Interest rate swaps
December 31, 2011	Liabilities	$	40,109,880	$	(2,552,687	)
December 31, 2011	Assets		-		-
December 31, 2010	Liabilities	$	26,882,460	$	(754,439	)
December 31, 2010	Assets	$	200,000	$	2,561

Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income

The effect of derivatives on the Consolidated Statements of Operations and Comprehensive Income (Loss) is as follows:

	Location on Statement of Operations and Comprehensive Income
	Realized Gains (Losses) Recognized on Interest Rate Swaps*			Unrealized Gains (Losses) on Interest Rate Swaps
	(dollars in thousands)
For the Year Ended December 31, 2011	$	(882,395	)	$	(1,815,107	)
For the Year Ended December 31, 2010	$	(735,107	)	$	(318,832	)
For the Year Ended December 31, 2009	$	(719,803	)	$	349,521

* Net interest payments on interest rate swaps is presented in the Company’s Consolidated Statements of Operations and Comprehensive Income (Loss) as realized gains (losses) on interest rate swaps.