AGENCY MORTGAGE-BACKED SECURITIES (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2014 and December 31, 2013, which were carried at their fair value:

September 30, 2014	Freddie Mac			Fannie Mae			Ginnie Mae			Total
	(dollars in thousands)
Principal outstanding	$	27,571,992		$	49,170,673		$	101,600		$	76,844,265
Unamortized premium		1,933,435			3,556,906			21,388			5,511,729
Unamortized discount		(11,358	)		(10,869	)		(369	)		(22,596	)
Amortized cost		29,494,069			52,716,710			122,619			82,333,398
Gross unrealized gains		213,771			504,236			8,001			726,008
Gross unrealized losses		(676,308	)		(917,139	)		(3,572	)		(1,597,019	)
Estimated fair value	$	29,031,532		$	52,303,807		$	127,048		$	81,462,387

	Fixed Rate			Adjustable Rate			Total
	(dollars in thousands)
Amortized cost	$	79,564,428		$	2,768,970		$	82,333,398
Gross unrealized gains		592,974			133,034			726,008
Gross unrealized losses		(1,582,120	)		(14,899	)		(1,597,019	)
Estimated fair value	$	78,575,282		$	2,887,105		$	81,462,387

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 September 30, 2014 and December 31, 2013, according to their estimated weighted average life classifications:

	September 30, 2014				December 31, 2013
Weighted Average Life	Estimated Fair Value		Amortized Cost		Estimated Fair Value		Amortized Cost
Less than one year	$	52,872	$	52,323	$	65,584	$	64,561
Greater than one year through five years		13,835,710		13,529,952		50,046,013		51,710,059
Greater than five years through ten years		66,997,257		68,148,447		14,915,716		15,292,973
Greater than ten years		576,548		602,676		5,361,636		5,681,108
Total	$	81,462,387	$	82,333,398	$	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 September 30, 2014 and December 31, 2013.

	September 30, 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	$	10,279,297	$	(55,136	)		202	$	47,677,197	$	(2,569,474	)		583
12 Months or More		39,326,443		(1,541,883	)		363		6,102,283		(483,603	)		55
Total	$	49,605,740	$	(1,597,019	)		565	$	53,779,480	$	(3,053,077	)		638