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Agency MBS
 12 Months Ended
Dec. 31, 2011
AGENCY MBS [Abstract]  
Agency MBS
AGENCY MBS
 
The following table presents the components of the Company’s investment in Agency MBS as of December 31, 2011 and December 31, 2010:

 
December 31, 2011
 
December 31, 2010
 
RMBS
 
CMBS
 
Total
 
RMBS
 
CMBS
 
Total
Principal/par value
$
1,488,397

 
$
266,952

 
$
1,755,349

 
$
937,376

 
$
190,511

 
$
1,127,887

Unamortized premium
85,488

 
107,985

 
193,473

 
43,776

 
18,757

 
62,533

Unamortized discount
(17
)
 
—

 
(17
)
 
(36
)
 
—

 
(36
)
Amortized cost
1,573,868

 
374,937

 
1,948,805

 
981,116

 
209,268

 
1,190,384

Unrealized gains:
 

 
 

 
 

 
 

 
 

 
 

Available for sale
10,787

 
12,096

 
22,883

 
8,266

 
567

 
8,833

Trading
—

 
1,919

 
1,919

 
—

 
—

 
—

Unrealized losses:
 

 
 

 
 

 
 

 
 

 
 

Available for sale
(7,405
)
 
(1,043
)
 
(8,448
)
 
(3,371
)
 
(3,267
)
 
(6,638
)
Trading
—

 
—

 
—

 
—

 
—

 
—

Fair value
$
1,577,250

 
$
387,909

 
$
1,965,159

 
$
986,011

 
$
206,568

 
$
1,192,579

Weighted average coupon based on par value
4.54
%
 
5.20
%
 
4.64
%
 
4.46
%
 
5.41
%
 
4.62
%

The Company purchased $1,215,155 of Agency RMBS and $202,436 of Agency CMBS in 2011. As of December 31, 2011, the amortized cost and fair value of Agency CMBS designated as trading securities was $28,119 and $30,038, 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 Agency CMBS designated as trading securities purchased during the year ended December 31, 2011, and has recognized a net unrealized gain for the year ended December 31, 2011 of $1,919 related to 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". 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 December 31, 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 December 31, 2011.
 
December 31, 2011
 
Principal
 
Premium
 
Unrealized Gain (Loss)
 
Total
Principal and interest securities
$
266,952

 
$
21,627

 
$
13,665

 
$
302,244

IO securities (1)
—

 
86,358

 
(693
)
 
85,665

Fair value of Agency CMBS
$
266,952

 
$
107,985

 
$
12,972

 
$
387,909

     (1) The combined notional balance for the Agency IO securities is $1,813,096 as of December 31, 2011.