DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2013

Schedule of Notional Amounts and Unrealized Gains (losses) of Interest Rate Swap on Gross Basis, Amount Offset and Net Amounts

The following table summarizes notional amounts and unrealized gains (losses) of interest rate swap contracts on a gross basis, amounts offset in accordance with netting arrangements and net amounts as presented in the Consolidated Statements of Financial Condition as of March 31, 2013 and December 31, 2012.

	March 31, 2013
	Interest Rate Swaps - Asset						Interest Rate Swaps - Liability
	Notional			Unrealized Gains			Notional		Unrealized Losses
	(dollars in thousands)
Gross Amounts	$	1,910,000		$	46,612		$	46,312,800	$	2,305,785
Amounts Offset		(1,910,000	)		(46,612	)		1,910,000		(46,612	)
Netted Amounts		-			-		$	48,222,800	$	2,259,173
	December 31, 2012
	Interest Rate Swaps - Asset						Interest Rate Swaps - Liability
	Notional			Unrealized Gains			Notional		Unrealized Losses
	(dollars in thousands)
Gross Amounts	$	1,100,000		$	26,020		$	45,811,800	$	2,610,927
Amounts Offset		(1,100,000	)		(26,020	)		1,100,000		(26,020	)
Netted Amounts		-			-		$	46,911,800	$	2,584,907

Schedule of Derivative Instruments in Statement of Operations and Comprehensive Income Loss

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

	Location on Consolidated Statements of Operations and Comprehensive Income (Loss)
	Realized Gains (Losses) on Interest Rate Swaps(1)			Realized Gains (Losses) on Termination of Interest Rate Swaps			Unrealized Gains (Losses) on Interest Rate Swaps
	(dollars in thousands)
For the Quarter Ended March 31, 2013	$	(225,476	)	$	(16,378	)	$	325,734
For the Quarter Ended March 31, 2012	$	(219,340	)	$	(2,385	)	$	341,639

(1) 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.