Credit Risk and Interest Rate Risk (Tables)

12 Months Ended

Dec. 31, 2015

Schedule of Assets and Liabilities Subject to Netting Arrangements

The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of December 31, 2015 and December 31, 2014.

	December 31, 2015
	(dollars in thousands)

	Gross Amounts of Recognized Assets (Liabilities)			Gross Amounts Offset in the Consolidated Statements of Financial Position			Net Amounts Offset in the Consolidated Statements of Financial Position			Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position
										Financial Instruments		Cash Collateral (Received) Pledged (1)		Net Amount

Repurchase Agreements	$	(7,439,339	)	$	-		$	(7,439,339	)	$	8,773,285	$	37,296	$	1,371,242
Interest Rate Swaps - Gross Assets		6,166			(4,934	)		1,232			-		-		1,232
Interest Rate Swaps - Gross Liabilities		(53,777	)		47,408			(6,369	)		8,589		51,424		53,644
Treasury Futures		1,599			(192	)		1,407			-		6,420		7,827
Swaptions - Gross Assets		12,821			-			12,821			-		-		12,821
Swaptions - Gross Liabilities		(3,265	)		-			(3,265	)		-		-		(3,265	)
Total Liabilities	$	(7,475,795	)	$	42,282		$	(7,433,513	)	$	8,781,874	$	95,140	$	1,443,501
(1) Included in other assets

	December 31, 2014
	(dollars in thousands)

	Gross Amounts of Recognized Assets (Liabilities)			Gross Amounts Offset in the Consolidated Statements of Financial Position		Net Amounts Offset in the Consolidated Statements of Financial Position			Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position
									Financial Instruments		Cash Collateral (Received) Pledged (1)		Net Amount

Repurchase Agreements	$	(8,455,381	)	$	-	$	(8,455,381	)	$	9,309,738	$	-	$	854,357
Interest Rate Swaps		(113,597	)		99,536		(14,061	)		19,340		64,796		70,075
Treasury Futures		(7,227	)		7,227		-			-		12,595		12,595
Mortgage Options		(71	)		-		(71	)		-		-		(71	)
Swaptions - Gross Asset		2,889			-		2,889			-		-		2,889
Swaptions - Gross Liability		(45	)		-		(45	)		-		-		(45	)
Total Liabilities	$	(8,573,432	)	$	106,763	$	(8,466,669	)	$	9,329,078	$	77,391	$	939,800
(1) Included in other assets