Repurchase Arrangements And Similar Borrowings, Including Related Hedging Activity

Schedule Of Average Borrowings Outstanding

Quarter Ended

June 30, 2011

December 31, 2010

Borrowings

Outstanding

Average

Rate

Borrowings

Outstanding

Average

Rate

Average borrowings and rates for the indicated quarters, adjusted for the effects of related derivatives held as cash flow hedges

$ 9,801,641

0.55%

$ 7,468,614

0.62%

Impact Of Derivative Instruments On Statements Of Financial Performance And Financial Position


	Location in Balance Sheet	June 30, 2011			*December 31,* *2010*


*Balance sheet-related*
Interest rate swap agreements in a gain position (an asset) related to:
Repurchase arrangements and similar borrowings	(a)	$	551			$ 734
Unsecured borrowings (see NOTE 7)	(a)		8,805			8,863

			9,356			9,597

Interest rate swap agreements in a loss position (a liability) related to repurchase arrangements and similar borrowings	(a)		(19,962	)		(16,337	)
Related net interest payable	(b)		(11,589	)		(9,847	)

		$	(22,195	)		$(16,587)

(a)

The fair value of derivatives with realized and unrealized gains are aggregated and recorded as an asset on the face of the balance sheet separately from the fair value of derivatives with realized and unrealized losses that are recorded as a liability. The amount of unrealized losses that will be recognized in the statement of income over the next twelve months in the form of fixed- and variable-rate swap payments in excess of current market rates totaled $20.7 million at June 30, 2011.

(b)

Included in "Accounts payable and accrued expenses" on the face of the balance sheet.


	Location of Gain or (Loss) Recognized in *Net Income*	*Quarter Ended* *June 30*						Six Months Ended June 30
	Location of Gain or (Loss) Recognized in *Net Income*	*2011*			*2010*			*2011*			*2010*


*Income statement-related*
Components of effect on interest expense:
Amount of loss reclassified from AOCI:
Effective portion of active positions		$	(7,467	)	$	(6,892	)	$	(13,579	)	$	(15,747	)
Effective portion of terminated positions ^(a)			–			–			–			(31	)

			(7,467	)		(6,892	)		(13,579	)		(15,778	)
Amount of gain (loss) recognized (ineffective portion)			109			383			(49	)		249

Increase in interest expense and decrease in Net income as a result of the use of derivatives	(b)	$	(7,358	)	$	(6,509	)	$	(13,628	)	$	(15,529	)

*Other comprehensive income-related*
Amount of loss recognized in other comprehensive income (loss) (effective portion)		$	(16,883	)	$	(10,111	)	$	(17,561	)	$	(25,223	)

(a)

In March 2008 a swap agreement with a $100 million notional amount was terminated for a realized loss of $2.3 million which was amortized to earnings over the original two-year term of the derivative (through January 2010).

(b)

Included in "Interest expense: Repurchase arrangements and similar borrowings" on the face of the statement of income.