Non Agency MBS

9 Months Ended

Sep. 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 September 30, 2011 and December 31, 2010:

	September 30, 2011									December 31, 2010
	RMBS			CMBS			Total			RMBS			CMBS			Total
Principal/par value	$	14,271		$	357,644		$	371,915		$	16,101		$	247,494		$	263,595
Unamortized premium	—			39,006			39,006			138			5,352			5,490
Unamortized discount	(1,044		)	(16,528		)	(17,572		)	(1,115		)	(11,296		)	(12,411		)
Amortized cost	13,227			380,122			393,349			15,124			241,550			256,674
Unrealized gains	520			12,875			13,395			632			10,978			11,610
Unrealized losses	(826		)	(2,213		)	(3,039		)	(348		)	(580		)	(928		)
Fair value	$	12,921		$	390,784		$	403,705		$	15,408		$	251,948		$	267,356
Weighted average coupon based on par value	4.56		%	6.01		%	5.95		%	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 $380,116 and $262,234 as of September 30, 2011 and December 31, 2010, respectively.  The Company has purchased $154,413 of non-Agency CMBS since December 31, 2010, of which $20,000 are pending settlement as of September 30, 2011. The Company also has $3,000 of non-Agency RMBS pending settlement as of September 30, 2011. Pending non-Agency CMBS and RMBS purchases are included in the balances shown in the table above.

A portion of the Company's non-Agency CMBS as reported in the table above as of September 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 September 30, 2011.

	September 30, 2011
	Principal		Net Premium			Unrealized Gain (Loss)		Total
Principal and interest securities	$	357,644	$	(12,312	)	$	10,421	$	355,753
Interest only securities (1)	—		34,790			241		35,031
Fair value of non-Agency CMBS	$	357,644	$	22,478		$	10,662	$	390,784

(1) The combined notional balance for the non-Agency interest-only securities is $723,008 as of September 30, 2011.