AGENCY MORTGAGE-BACKED SECURITIES (Tables)

3 Months Ended

Mar. 31, 2014

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, 2014 and December 31, 2013 which were carried at their fair value:

March 31, 2014	Freddie Mac			Fannie Mae			Ginnie Mae			Total
	(dollars in thousands)
Principal outstanding	$	24,875,914		$	47,149,481		$	113,744		$	72,139,139
Unamortized premium		1,697,704			3,367,828			22,465			5,087,997
Unamortized discount		(9,446	)		(11,341	)		(380	)		(21,167	)
Amortized cost		26,564,172			50,505,968			135,829			77,205,969
Gross unrealized gains		205,409			381,265			8,650			595,324
Gross unrealized losses		(1,013,503	)		(1,433,916	)		(3,486	)		(2,450,905	)
Estimated fair value	$	25,756,078		$	49,453,317		$	140,993		$	75,350,388

	Fixed Rate			Adjustable Rate			Total
	(dollars in thousands)
Amortized cost	$	73,655,761		$	3,550,208		$	77,205,969
Gross unrealized gains		455,048			140,276			595,324
Gross unrealized losses		(2,435,557	)		(15,348	)		(2,450,905	)
Estimated fair value	$	71,675,252		$	3,675,136		$	75,350,388

December 31, 2013	Freddie Mac			Fannie Mae			Ginnie Mae			Total
	(dollars in thousands)
Principal outstanding	$	24,458,925		$	43,564,657		$	120,739		$	68,144,321
Unamortized premium		1,627,966			2,970,813			27,085			4,625,864
Unamortized discount		(9,533	)		(11,568	)		(383	)		(21,484	)
Amortized cost		26,077,358			46,523,902			147,441			72,748,701
Gross unrealized gains		227,423			456,057			9,845			693,325
Gross unrealized losses		(1,267,106	)		(1,781,683	)		(4,288	)		(3,053,077	)
Estimated fair value	$	25,037,675		$	45,198,276		$	152,998		$	70,388,949

	Fixed Rate			Adjustable Rate			Total
	(dollars in thousands)
Amortized cost	$	68,784,424		$	3,964,277		$	72,748,701
Gross unrealized gains		538,556			154,769			693,325
Gross unrealized losses		(3,040,153	)		(12,924	)		(3,053,077	)
Estimated fair value	$	66,282,827		$	4,106,122		$	70,388,949

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, 2014 and December 31, 2013, according to their estimated weighted average life classifications:

	March 31, 2014				December 31, 2013
Weighted Average Life	Estimated Fair Value		Amortized Cost		Estimated Fair Value		Amortized Cost
	(dollars in thousands)
Less than one year	$	66,051	$	65,248	$	65,584	$	64,561
Greater than one year through five years		46,192,942		47,553,922		50,046,013		51,710,059
Greater than five years through ten years		22,833,176		23,099,356		14,915,716		15,292,973
Greater than ten years		6,258,219		6,487,443		5,361,636		5,681,108
Total	$	75,350,388	$	77,205,969	$	70,388,949	$	72,748,701

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, 2014 and December 31, 2013.

	March 31, 2014							December 31, 2013
	Estimated Fair Value		Gross Unrealized Losses			Number of Securities		Estimated Fair Value		Gross Unrealized Losses			Number of Securities
	(dollars in thousands)
Less than 12 Months	$	50,079,785	$	(2,046,126	)		642	$	47,677,197	$	(2,569,474	)		583
12 Months or More		6,055,285		(404,779	)		50		6,102,283		(483,603	)		55
Total	$	56,135,070	$	(2,450,905	)		692	$	53,779,480	$	(3,053,077	)		638