AGENCY MORTGAGE-BACKED SECURITIES (Tables)

3 Months Ended

Mar. 31, 2015

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, 2015 and December 31, 2014, which were carried at their fair value:

March 31, 2015	Freddie Mac			Fannie Mae			Ginnie Mae			Total
	(dollars in thousands)
Principal outstanding	$	23,214,759		$	40,662,639		$	92,317		$	63,969,715
Unamortized premium		1,814,818			2,857,467			19,773			4,692,058
Unamortized discount		(7,489	)		(7,549	)		(347	)		(15,385	)
Amortized cost		25,022,088			43,512,557			111,743			68,646,388
Gross unrealized gains		345,566			759,828			8,374			1,113,768
Gross unrealized losses		(160,483	)		(208,764	)		(2,908	)		(372,155	)
Estimated fair value	$	25,207,171		$	44,063,621		$	117,209		$	69,388,001
	Fixed Rate			Adjustable Rate			Total
	(dollars in thousands)
Amortized cost	$	65,176,426		$	3,469,962			68,646,388
Gross unrealized gains		971,043			142,725			1,113,768
Gross unrealized losses		(355,330	)		(16,825	)		(372,155	)
Estimated fair value	$	65,792,139		$	3,595,862		$	69,388,001
December 31, 2014	Freddie Mac			Fannie Mae			Ginnie Mae			Total
	(dollars in thousands)
Principal outstanding	$	27,906,221		$	47,979,778		$	97,000		$	75,982,999
Unamortized premium		1,951,798			3,396,368			20,560			5,368,726
Unamortized discount		(8,985	)		(8,857	)		(358	)		(18,200	)
Amortized cost		29,849,034			51,367,289			117,202			81,333,525
Gross unrealized gains		313,761			660,230			8,010			982,001
Gross unrealized losses		(322,094	)		(424,800	)		(3,376	)		(750,270	)
Estimated fair value	$	29,840,701		$	51,602,719		$	121,836		$	81,565,256
	Fixed Rate			Adjustable Rate			Total
	(dollars in thousands)
Amortized cost	$	78,250,313		$	3,083,212		$	81,333,525
Gross unrealized gains		847,615			134,386			982,001
Gross unrealized losses		(732,533	)		(17,737	)		(750,270	)
Estimated fair value	$	78,365,395		$	3,199,861		$	81,565,256

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, 2015 and December 31, 2014, according to their estimated weighted average life classifications:

	March 31, 2015				December 31, 2014
Weighted Average Life	Estimated Fair Value		Amortized Cost		Estimated Fair Value		Amortized Cost
	(dollars in thousands)
Less than one year	$	27,752	$	27,847	$	43,248	$	42,831
Greater than one year through five years		46,648,676		46,120,064		42,222,114		41,908,586
Greater than five years through ten years		22,520,713		22,308,291		39,018,833		39,098,352
Greater than ten years		190,860		190,186		281,061		283,756
Total	$	69,388,001	$	68,646,388	$	81,565,256	$	81,333,525

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, 2015 and December 31, 2014.

	March 31, 2015							December 31, 2014
	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		2,595,905		(54,883	)		207		4,613,599		(36,959	)		205
12 Months or More		25,474,816		(317,272	)		232		35,175,194		(713,311	)		302
Total		28,070,721		(372,155	)		439		39,788,793		(750,270	)		507