Non Agency MBS

6 Months Ended

Jun. 30, 2011

NON AGENCY MBS [Abstract]

Non Agency MBS

NON-AGENCY MBS

The following table presents the components of the Company’s non-Agency MBS as of June 30, 2011 and December 31, 2010:

	June 30, 2011									December 31, 2010
	RMBS			CMBS			Total			RMBS			CMBS			Total
Principal/par value	$	11,561		$	250,817		$	262,378		$	16,101		$	247,494		$	263,595
Unamortized premium	—			14,676			14,676			138			5,352			5,490
Unamortized discount	(1,048		)	(11,640		)	(12,688		)	(1,115		)	(11,296		)	(12,411		)
Amortized cost	10,513			253,853			264,366			15,124			241,550			256,674
Unrealized gains	451			12,994			13,445			632			10,978			11,610
Unrealized losses	(522		)	(94		)	(616		)	(348		)	(580		)	(928		)
Fair value	$	10,442		$	266,753		$	277,195		$	15,408		$	251,948		$	267,356
Weighted average coupon based on par value	4.33		%	6.39		%	6.30		%	4.54		%	6.49		%	6.37		%

All of the Company’s non-Agency MBS are designated as available-for-sale and are comprised primarily of investment-grade rated securities with a fair value of $272,057 and $262,234 as of June 30, 2011 and December 31, 2010, respectively.  The Company purchased $23,617 of non-Agency CMBS during the six months ended June 30, 2011, and did not purchase any non-Agency RMBS.

A portion of the Company's non-Agency CMBS as reported in the table above as of June 30, 2011 are interest only securities. The Company did not hold any non-Agency interest only securities as of December 31, 2010. The table below presents the Company's non-Agency CMBS by security type as of June 30, 2011.

	June 30, 2011
	Principal		Net Premium			Unrealized Gain (Loss)			Total
Principal and interest securities	$	250,817	$	(7,182	)	$	12,932		$	256,567
Interest only securities (1)	—		10,218			(32		)	10,186
Fair value of non-Agency CMBS	$	250,817	$	3,036		$	12,900		$	266,753

(1)    The combined notional balance for the non-Agency interest only securities is $342,968 as of June 30, 2011