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December31, 2004

:

Pay-fixed interest rate

swaps:

Repurchase agreements

$

1,675,000

$

—

$

(33,121

)

$

(33,121

)

4.91

%

2.28

%

N/A

11.12

FHLB advances

425,000

—

(6,093

)

(6,093

)

4.68

%

2.13

%

N/A

9.25

Purchased interest rate

forward-starting swaps:

Repurchase agreement

595,000

—

(868

)

(868

)

4.74

%

N/A

N/A

11.16

Purchased interest rate

options

(1)

:

Caps

2,775,000

94,340

—

94,340

N/A

N/A

4.43

%

6.13

Total cash flow hedges

$

5,470,000

$

94,340

$

(40,082

)

$

54,258

4.84

%

2.25

%

4.43

%

8.45

(1)

Caps are used to hedge repurchase agreements and FHLB advances. Floors are used to hedge HELOCs.

103

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