Non Agency MBS

12 Months Ended

Dec. 31, 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 December 31, 2011 and December 31, 2010:

	December 31, 2011									December 31, 2010
	RMBS			CMBS			Total			RMBS			CMBS			Total
Principal/par value	$	17,119		$	359,853		$	376,972		$	16,101		$	247,494		$	263,595
Unamortized premium	—			54,885			54,885			138			5,352			5,490
Unamortized discount	(1,003		)	(17,511		)	(18,514		)	(1,115		)	(11,296		)	(12,411		)
Amortized cost	16,116			397,227			413,343			15,124			241,550			256,674
Unrealized gains	507			12,699			13,206			632			10,978			11,610
Unrealized losses	(1,353		)	(4,100		)	(5,453		)	(348		)	(580		)	(928		)
Fair value	$	15,270		$	405,826		$	421,096		$	15,408		$	251,948		$	267,356
Weighted average coupon based on par value	4.41		%	5.91		%	5.85		%	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 $410,748 and $262,234 as of December 31, 2011 and December 31, 2010, respectively.  The Company has purchased $182,228 of non-Agency CMBS and $7,000 of non-Agency RMBS since December 31, 2010.

A portion of the Company's non-Agency CMBS as reported in the table above as of December 31, 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 December 31, 2011.

	December 31, 2011
	Principal		Net Premium (Discount)			Unrealized Gain		Total
Principal and interest securities	$	359,853	$	(13,865	)	$	8,082	$	354,070
IO securities (1)	—		51,239			517		51,756
Fair value of non-Agency CMBS	$	359,853	$	37,374		$	8,599	$	405,826

(1) The combined notional balance for the non-Agency CMBS IO securities is $906,202 as of December 31, 2011.