AGENCY MORTGAGE-BACKED SECURITIES (Tables)

3 Months Ended

Mar. 31, 2013

Schedule of Available-for-sale Securities Reconciliation

The following tables present the Company’s available-for-sale Agency mortgage-backed securities portfolio as of March 31, 2013 and December 31, 2012 which were carried at their fair value:

March 31, 2013	Freddie Mac			Fannie Mae			Ginnie Mae			Total Mortgage- Backed Securities
	(dollars in thousands)
Agency mortgage-backed securities, par value	$	39,115,499		$	61,622,413		$	239,955		$	100,977,867
Unamortized discount		(12,573	)		(13,692	)		(388	)		(26,653	)
Unamortized premium		1,959,152			3,398,430			36,257			5,393,839
Amortized cost		41,062,078			65,007,151			275,824			106,345,053
Gross unrealized gains		818,602			1,516,324			15,965			2,350,891
Gross unrealized losses		(166,212	)		(271,927	)		(1,134	)		(439,273	)
Estimated fair value	$	41,714,468		$	66,251,548		$	290,655		$	108,256,671

	Amortized Cost		Gross Unrealized Gain		Gross Unrealized  Loss			Estimated Fair Value
	(dollars in thousands)
Adjustable rate	$	4,938,813	$	223,387	$	(2,401	)	$	5,159,799
Fixed rate		101,406,240		2,127,504		(436,872	)		103,096,872
Total	$	106,345,053	$	2,350,891	$	(439,273	)	$	108,256,671

December 31, 2012	Freddie Mac			Fannie Mae			Ginnie Mae			Total Mortgage- Backed Securities
	(dollars in thousands)
Agency mortgage-backed securities, par value	$	44,296,234		$	70,649,782		$	273,988		$	115,220,004
Unamortized discount		(9,515	)		(12,315	)		(389	)		(22,219	)
Unamortized premium		2,121,478			3,695,381			39,348			5,856,207
Amortized cost		46,408,197			74,332,848			312,947			121,053,992
Gross unrealized gains		1,166,299			1,913,334			17,583			3,097,216
Gross unrealized losses		(36,890	)		(146,533	)		(4,578	)		(188,001	)
Estimated fair value	$	47,537,606		$	76,099,649		$	325,952		$	123,963,207

	Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
	(dollars in thousands)
Adjustable rate	$	5,786,718	$	259,013	$	(4,613	)	$	6,041,118
Fixed rate		115,267,274		2,838,203		(183,388	)		117,922,089
Total	$	121,053,992	$	3,097,216	$	(188,001	)	$	123,963,207

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 March 31, 2013 and December 31, 2012, according to their estimated weighted-average life classifications:

	March 31, 2013				December 31, 2012
Weighted-Average Life	Fair Value		Amortized Cost		Fair Value		Amortized Cost
	(dollars in thousands)
Less than one year	$	655,460	$	652,987	$	1,264,094	$	1,250,405
Greater than one year through five years		98,984,676		97,021,498		119,288,168		116,510,310
Greater than five years through ten years		8,487,896		8,543,055		3,104,073		2,992,054
Greater than 10 years		128,639		127,513		306,872		301,223
Total	$	108,256,671	$	106,345,053	$	123,963,207	$	121,053,992

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 March 31, 2013 and December 31, 2012.

	Unrealized Loss Position For: (dollars in thousands)
	Less than 12 Months							12 Months or More							Total
	Estimated Fair Value		Unrealized Losses			Number of Securities		Estimated Fair Value		Unrealized Losses			Number of Securities		Estimated Fair Value		Unrealized Losses			Number of Securities
March 31, 2013	$	39,235,229	$	(364,700	)		376	$	120,653	$	(74,573	)		31	$	39,355,882	$	(439,273	)		407
December 31, 2012	$	11,220,514	$	(82,721	)		187	$	147,775	$	(105,280	)		39	$	11,368,289	$	(188,001	)		226