XML 23 R9.htm IDEA: XBRL DOCUMENT v2.3.0.15
Agency MBS
9 Months Ended
Sep. 30, 2011
AGENCY MBS [Abstract] 
Agency MBS
AGENCY MBS
 
The following table presents the components of the Company’s investment in 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
$
1,619,518

 
$
270,760

 
$
1,890,278

 
$
937,376

 
$
190,511

 
$
1,127,887

Unamortized premium
92,188

 
73,318

 
165,506

 
43,776

 
18,757

 
62,533

Unamortized discount
(1
)
 
—

 
(1
)
 
(36
)
 
—

 
(36
)
Amortized cost
1,711,705

 
344,078

 
2,055,783

 
981,116

 
209,268

 
1,190,384

Unrealized gains:
 

 
 

 
 

 
 

 
 

 
 

Available for sale
11,607

 
10,946

 
22,553

 
8,266

 
567

 
8,833

Trading
—

 
1,819

 
1,819

 
—

 
—

 
—

Unrealized losses:
 

 
 

 
 

 
 

 
 

 
 

Available for sale
(7,091
)
 
(954
)
 
(8,045
)
 
(3,371
)
 
(3,267
)
 
(6,638
)
Trading
—

 
—

 
—

 
—

 
—

 
—

Fair value
$
1,716,221

 
$
355,889

 
$
2,072,110

 
$
986,011

 
$
206,568

 
$
1,192,579

Weighted average coupon based on par value
4.55
%
 
5.14
%
 
5.12
%
 
4.46
%
 
5.41
%
 
4.62
%

The Company has purchased $1,189,862 of Agency RMBS and $143,747 of Agency CMBS since December 31, 2010. Included in the table above are Agency CMBS with a par value of $24,776 that were pending settlement as of September 30, 2011.
    
As of September 30, 2011, the amortized cost and fair value of Agency CMBS designated as trading securities was $27,276 and $29,095, 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. The Company has not sold any of its trading securities purchased during the nine months ended September 30, 2011, and has recognized a net unrealized gain for the three and nine months ended September 30, 2011 of $744 and $1,819, respectively, related to their changes in fair value, which is included within “fair value adjustments, net” in its consolidated statements of income. 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 nine months ended September 30, 2011, the Company recognized a net unrealized loss of $(1,446) and $(2,649), 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 September 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 September 30, 2011.
 
September 30, 2011
 
Principal
 
Premium
 
Unrealized Gain (Loss)
 
Total
Principal and interest securities
$
270,760

 
$
21,646

 
$
12,750

 
$
305,156

Interest only securities (1)
—

 
51,672

 
(939
)
 
50,733

Fair value of Agency CMBS
$
270,760

 
$
73,318

 
$
11,811

 
$
355,889

     (1) The combined notional balance for the Agency interest-only securities is $1,498,210 as of September 30, 2011