AGENCY MBS

The following table presents the components of the Company’s investment in 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	$	1,799,594		$	223,932		$	2,023,526		$	937,376		$	190,511		$	1,127,887
Unamortized premium	102,040			49,739			151,779			43,776			18,757			62,533
Unamortized discount	(1		)	—			(1		)	(36		)	—			(36		)
Amortized cost	1,901,633			273,671			2,175,304			981,116			209,268			1,190,384
Unrealized gains:
Available for sale	9,505			1,796			11,301			8,266			567			8,833
Trading	—			1,075			1,075			—			—			—
Unrealized losses:
Available for sale	(4,838		)	(992		)	(5,830		)	(3,371		)	(3,267		)	(6,638		)
Trading	—			—			—			—			—			—
Fair value	$	1,906,300		$	275,550		$	2,181,850		$	986,011		$	206,568		$	1,192,579
Weighted average coupon based on par value	4.57		%	5.39		%	4.66		%	4.46		%	5.41		%	4.62		%

During the six months ended June 30, 2011, the Company purchased $1,151,588 and $69,482 of Agency RMBS and CMBS, respectively. As of June 30, 2011, the amortized cost and fair value of Agency CMBS designated as trading securities was $24,038 and $25,113, respectively, with the remainder of the Company's Agency CMBS and Agency RMBS designated as available-for-sale. The Company did not hold any Agency CMBS or RMBS designated as trading securities as of December 31, 2010. During the six months ended June 30, 2011, the Company did not sell any of its trading securities purchased during the three and six months ended June 30, 2011, but recognized a net unrealized gain of $956 and $1,075, respectively, related to their changes in fair value, which is included within “fair value adjustments, net” in its consolidated statement of income for the three and six months ended June 30, 2011. The Company also has derivatives designated as trading instruments, and the changes in their fair value are also included within "fair value adjustments, net". For the three and six months ended June 30, 2011, the Company recognized a net unrealized loss of $(871) and $(1,219), respectively, related to these derivatives. Please refer to Note 7 for additional information on these derivatives designated as trading instruments.

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



	June 30, 2011
	Principal		Premium		Unrealized Gain (Loss)		Total
Principal and interest securities	$	223,932	$	19,658	$	1,798	$	245,388
Interest only securities ⁽¹⁾	—		30,081		81		30,162
Fair value of Agency CMBS	$	223,932	$	49,739	$	1,879	$	275,550

(1) The combined notional balance for the Agency interest only securities is $898,114 as of June 30, 2011.