REPURCHASE ARRANGEMENTS AND SIMILAR BORROWINGS, INCLUDING RELATED HEDGING ACTIVITY (Tables)

9 Months Ended

Sep. 30, 2012

Schedule Of Repurchase Arrangements And Similar Borrowings

Collateral Type	Collateral Carrying Amount		Accrued Interest Receivable		Borrowings Outstanding		Average Borrowing Rates
As of September 30, 2012:
Borrowings with maturities of 30 days or less:
Agency Securities	$	12,903,773	$	28,526	$	12,279,241		0.40	%
Borrowings with maturities greater than 30 days:
Agency Securities (31 to 90 days)		1,021,416		2,117		968,370		0.41
Similar borrowings:
Collateral for structured financings		2,877		—		2,877		8.12
	$	13,928,066	$	30,643	$	13,250,488		0.41
Quarter-end borrowing rates adjusted for effects of related derivatives held as cash flow hedges								0.56
As of December 31, 2011:
Borrowings with maturities of 30 days or less:
Agency Securities	$	11,306,478	$	25,630	$	10,754,835		0.37	%
Borrowings with maturities greater than 30 days:
Agency Securities (31 to 90 days)		619,710		1,551		594,283		0.32
Similar borrowings:
Collateral for structured financings		3,326		—		3,326		8.04
	$	11,929,514	$	27,181	$	11,352,444		0.37
Quarter-end borrowing rates adjusted for effects of related derivatives held as cash flow hedges								0.58

Schedule Of Average Borrowings Outstanding

	Quarter Ended
	September 30, 2012					December 31, 2011
	Average Borrowings		Average Rate			Average Borrowings		Average Rate
Average borrowings and rates for the indicated quarters, adjusted for the effects of related derivatives held as cash flow hedges	$	12,833,675		0.56	%	$	11,278,675		0.54	%

Schedule Of Swap Agreements Expiration Period And Characteristics

Period of Contract Expiration	Notional Amount		Average Fixed  Rate Payment Requirement
Currently-paying two-year contracts:
First quarter 2013	$	1,100,000		0.81	%
Second quarter 2013		700,000		0.96
Third quarter 2013		300,000		0.87
Fourth quarter 2013		800,000		0.78
First quarter 2014		200,000		0.60
Second quarter 2014		400,000		0.51
Third quarter 2014		200,000		0.51
		3,700,000		0.78
Forward-starting two-year contracts:
Fourth quarter 2014		500,000		0.58
First quarter 2015		1,100,000		0.50
Second quarter 2015		200,000		0.43
Third quarter 2015		400,000		0.47
Fourth quarter 2015		100,000		0.41
	$	6,000,000

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

	Location in			September 30,			December 31,
	Balance Sheet			2012			2011
Balance sheet-related
Interest rate swap agreements in a gain position (an asset) related to:
Repurchase arrangements and similar borrowings		(a	)	$	24		$	617
Interest rate swap agreements in a loss position (a liability) related to:
Repurchase arrangements and similar borrowings		(a	)		(23,937	)		(15,691	)
Unsecured borrowings		(a	)		(17,262	)		(15,657	)
Related net interest payable		(b	)		(7,497	)		(10,023	)
				$	(48,672	)	$	(40,754	)

(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 $18.4 million at September 30, 2012.

(b) Included in “Accounts payable and accrued expenses” on the face of the balance sheet.

	Location of
	Gain or (Loss)
	Recognized in			Quarter Ended September 30						Nine Months Ended September 30
	Net Income			2012			2011			2012			2011
Income statement-related
Components of effect on interest expense:
Amount of loss reclassified from AOCI related to the effective portion of active positions				$	(4,835	)	$	(8,060	)	$	(14,630	)	$	(21,639	)
Amount of gain (loss) recognized (ineffective portion)					211			(830	)		(96	)		(879	)
Increase in interest expense and decrease in Net income as a result of the use of derivatives		(a	)	$	(4,624	)	$	(8,890	)	$	(14,726	)	$	(22,518	)
Other comprehensive income-related
Amount of loss recognized in other comprehensive income (loss) (effective portion)				$	(8,454	)	$	(33,129	)	$	(25,539	)	$	(50,690	)

(a) Included in “Interest expense: Repurchase arrangements and similar borrowings” on the face of the statement of income.