Note 2 - Investment Securities Available for Sale

3 Months Ended

Jun. 30, 2011

Available-for-sale Securities [Table Text Block]

2.  Investment Securities Available for Sale

Investment securities available for sale consist of the following as of June 30, 2011 (dollar amounts in thousands):

	Amortized Cost		Unrealized Gains		Unrealized Losses			Carrying Value
Agency RMBS	$	115,051	$	3,434	$	(749	)	$	117,736
Non-Agency RMBS		7,199		—		(1,408	)		5,791
CLOs		9,056		17,894		—			26,950
Total	$	131,306	$	21,328	$	(2,157	)	$	150,477

Securities included in investment securities available for sale held in our Midway Residential Mortgage Portfolio that are measured at fair value through earnings consist of the following as of June 30, 2011 (dollar amounts in thousands):

	Amortized Cost		Unrealized Gains		Unrealized Losses			Carrying Value
Interest only securities included in Agency RMBS:
Fannie Mae	$	26,349	$	903	$	(65	)	$	27,187
Freddie Mac		18,788		609		(279	)		19,118
Ginnie Mae		17,710		388		(405	)		17,693
Total	$	62,847	$	1,900	$	(749	)	$	63,998

Investment securities available for sale consist of the following as of December 31, 2010 (dollar amounts in thousands):

	Amortized Cost		Unrealized Gains		Unrealized Losses				Carrying Value
Agency RMBS	$	45,865	$	1,664		$	—		$	47,529
Non-Agency RMBS		10,071		80			(1,166	)		8,985
CLOs		11,286		18,240			—			29,526
Total	$	67,222	$	19,984		$	(1,166	)	$	86,040

The following table sets forth the stated reset periods of our investment securities available for sale at June 30, 2011 (dollar amounts in thousands):

June 30, 2011	Less than 6 Months		More than 6 Months to 24 Months		More than 24 Months		Total
	Carrying Value		Carrying Value		Carrying Value		Carrying Value
Agency RMBS	$	51,087	$	41,695	$	24,954	$	117,736
Non-Agency RMBS		5,791		—		—		5,791
CLO		26,950		—		—		26,950
Total	$	83,828	$	41,695	$	24,954	$	150,477

The following table sets forth the stated reset periods of our investment securities available for sale at December 31, 2010 (dollar amounts in thousands):

December 31, 2010	Less than 6 Months		More than 6 Months to 24 Months		More than 24 Months		Total
	Carrying Value		Carrying Value		Carrying Value		Carrying Value
Agency RMBS	$	25,816	$	5,313	$	16,400	$	47,529
Non-Agency RMBS		8,985		—		—		8,985
CLO		29,526		—		—		29,526
Total	$	64,327	$	5,313	$	16,400	$	86,040

The following tables present the Company’s investment securities available for sale in an unrealized loss position reported through OCI, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, at June 30, 2011 and December 31, 2010, respectively (dollar amounts in thousands):

June 30, 2011	Less than 12 Months				Greater than 12 Months				Total
	Carrying Value		Gross Unrealized Losses		Carrying Value		Gross Unrealized Losses		Carrying Value		Gross Unrealized Losses
Non-Agency RMBS	$	—	$	—	$	5,791	$	1,408	$	5,791	$	1,408
Total	$	—	$	—	$	5,791	$	1,408	$	5,791	$	1,408

December 31, 2010	Less than 12 Months				Greater than 12 Months				Total
	Carrying Value		Gross Unrealized Losses		Carrying Value		Gross Unrealized Losses		Carrying Value		Gross Unrealized Losses
Non-Agency RMBS	$	—	$	—	$	6,436	$	1,166	$	6,436	$	1,166
Total	$	—	$	—	$	6,436	$	1,166	$	6,436	$	1,166

As of June 30, 2011 and December 31, 2010, respectively, the Company did not have unrealized losses in investment securities that were deemed other-than-temporary.

During the three and six months ended June 30, 2011, the Company received total proceeds of approximately $4.3 million and $8.1 million, respectively, realizing approximately $2.5 million and $4.7 million, respectively, of profit before incentive fee from the sale of certain CLO investments.  During the three and six months ended June 30, 2010, the Company received total proceeds of approximately $29.7 million and $33.0 million, respectively, realizing approximately $1.3 million and $2.1 million, respectively, of profit before incentive fee from the sale of certain Agency RMBS and non-Agency RMBS.