2. AGENCY MORTGAGE-BACKED SECURITIES

The following tables present the Company’s available-for-sale Agency mortgage-backed securities portfolio as of December 31, 2011 and 2010 which were carried at their fair value:

December 31, 2011	Freddie Mac			Fannie Mae			Ginnie Mae			Total Mortgage- Backed Securities
	(dollars in thousands)

Agency mortgage-backed Securities, par value	$	34,395,542		$	63,066,372		$	500,968		$	97,962,882
Unamortized discount		(9,874	)		(13,632	)		(399	)		(23,905	)
Unamortized premium		1,139,881			2,205,138			15,949			3,360,968
Amortized cost		35,525,549			65,257,878			516,518			101,299,945

Gross unrealized gains		973,476			2,081,282			31,474			3,086,232
Gross unrealized losses		(15,243	)		(118,871	)		(1,008	)		(135,122	)

Estimated fair value	$	36,483,782		$	67,220,289		$	546,984		$	104,251,055

	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
	(dollars in thousands)

Adjustable rate	$	8,698,746	$	345,642	$	(3,188	)	$	9,041,200
Fixed rate		92,601,199		2,740,590		(131,934	)		95,209,855

Total	$	101,299,945	$	3,086,232	$	(135,122	)	$	104,251,055

December 31, 2010	Freddie Mac			Fannie Mae			Ginnie Mae			Total Mortgage- Backed Securities
	(dollars in thousands)

Agency mortgage-backed Securities, par value	$	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 December 31, 2011 and 2010, according to their estimated weighted-average life classifications:

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

Less than one year	$	1,715,530	$	1,697,101	$	915,398	$	901,824
Greater than one year through five years		97,344,791		94,534,782		59,732,123		58,321,570
Greater than five years through ten years		4,447,540		4,348,841		17,044,652		17,339,127
Greater than 10 years		743,194		719,221		748,157		754,631

Total	$	104,251,055	$	101,299,945	$	78,440,330	$	77,317,152

The weighted-average lives of the Agency mortgage-backed securities at December 31, 2011 and 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 December 31, 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

December 31, 2011	$	1,087,552	$	(118,593	)	$	883,143	$	(16,529	)	$	1,970,695	$	(135,122	)

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 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 year ended December 31, 2011, the Company sold $18.7 billion of Agency mortgage-backed securities, resulting in a realized gain of $199.2 million. During the year ended December 31, 2010, the Company sold $7.8 billion of Agency mortgage-backed securities, resulting in a realized gain of $171.6 million. Average cost is used as the basis on which the cost of the securities are sold.

Agency interest-only mortgage-backed securities represent the right to receive a specified portion of the contractual interest flows of the underlying unamortized principal balance of specific Agency mortgage-backed securities. As of December 31, 2011, Agency interest-only mortgage-backed securities had unrealized losses of $123.1 million (consisting of unrealized losses of $106.7 million included in net income and unrealized loss of $16.4 million included in other comprehensive income) and an amortized cost of $405.1 million.