DERIVATIVE INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2012

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

The location and fair value of interest rate swaps reported in the Consolidated Statements of Financial Condition as of September 30, 2012 and December 31, 2011 are as follows:

	Location on Consolidated Statements of Financial Condition	Notional Amount		Net Estimated Fair Value
		(dollars in thousands)
September 30, 2012	Assets:  Interest rate swaps, at fair value		-		-
September 30, 2012	Liabilities:   Interest rate swaps, at fair value	$	46,746,710	$	(2,926,461	)
December 31, 2011	Assets:   Interest rate swaps, at fair value		-		-
December 31, 2011	Liabilities:   Interest rate swaps, at fair value	$	40,109,880	$	(2,552,687	)

Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income

The effect of  interest rate swaps on the Consolidated Statements of Comprehensive Income is as follows:

	Location on Consolidated Statements of Comprehensive Income
	Realized Gains (Losses) on Interest Rate Swaps*			Gain (loss) on Termination of Interest Rate Swaps			Unrealized Gains (Losses) on Interest Rate Swaps
	(dollars in thousands)
For the Quarter Ended September 30, 2012	$	(224,272	)		-		$	(104,197	)
For the Quarter Ended September 30, 2011	$	(231,849	)		-		$	(1,505,333	)
For the Nine Months Ended September 30, 2012	$	(665,614	)	$	(2,385	)	$	(373,773	)
For the Nine Months Ended September 30, 2011	$	(654,757	)		-		$	(1,802,968	)

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