AGENCY MORTGAGE-BACKED SECURITIES (Tables)

9 Months Ended

Sep. 30, 2012

Schedule of Available-for-sale Securities Reconciliation

The following tables present the Company’s available-for-sale Agency mortgage-backed securities portfolio as of September 30, 2012 and December 31, 2011 which were carried at their fair value:

September 30, 2012	Freddie Mac			Fannie Mae			Ginnie Mae			Total Mortgage- Backed Securities
	(dollars in thousands)
Agency mortgage-backed securities, par value	$	45,694,153		$	74,191,691		$	296,707		$	120,182,551
Unamortized discount		(9,552	)		(14,615	)		(391	)		(24,558	)
Unamortized premium		2,009,836			3,443,390			24,344			5,477,570
Amortized cost		47,694,437			77,620,466			320,660			125,635,563
Gross unrealized gains		1,535,949			2,546,506			21,808			4,104,263
Gross unrealized losses		(17,193	)		(124,164	)		(755	)		(142,112	)
Estimated fair value	$	49,213,193		$	80,042,808		$	341,713		$	129,597,714

	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
	(dollars in thousands)
Adjustable rate	$	6,671,582	$	289,871	$	(4,450	)	$	6,957,003
Fixed rate		118,963,981		3,814,392		(137,662	)		122,640,711
Total	$	125,635,563	$	4,104,263	$	(142,112	)	$	129,597,714

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

Schedule of Agency Mortgage Backed Securities by Estimated Weighted Average Life Classification

The following table summarizes the Company’s Agency mortgage-backed securities as of September 30, 2012 and December 31, 2011, according to their estimated weighted-average life classifications:

	September 30, 2012				December 31, 2011
Weighted-Average Life	Fair Value		Amortized Cost		Fair Value		Amortized Cost
	(dollars in thousands)
Less than one year	$	4,424,036	$	4,379,206	$	1,715,530	$	1,697,101
Greater than one year through five years		124,868,825		120,967,061		97,344,791		94,534,782
Greater than five years through ten years		304,853		289,296		4,447,540		4,348,841
Greater than 10 years		-		-		743,194		719,221
Total	$	129,597,714	$	125,635,563	$	104,251,055	$	101,299,945

Schedule of Continuous Unrealized Loss Position

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 September 30, 2012 and December 31, 2011.

	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
September 30, 2012	$	1,302,641	$	(31,172	)	$	360,621	$	(110,940	)	$	1,663,262	$	(142,112	)
December 31, 2011	$	1,087,552	$	(118,593	)	$	883,143	$	(16,529	)	$	1,970,695	$	(135,122	)