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Non Agency MBS
 3 Months Ended
Mar. 31, 2012
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 March 31, 2012 and December 31, 2011:
 
March 31, 2012
 
RMBS
 
CMBS
 
CMBS IO
 
Total
Principal/par value
$
15,401

 
$
375,733

 
$
—

 
$
391,134

Unamortized premium
—

 
3,208

 
65,779

 
68,987

Unamortized discount
(897
)
 
(18,358
)
 
—

 
(19,255
)
Amortized cost
14,504

 
360,583

 
65,779

 
440,866

Gross unrealized gains
464

 
22,948

 
2,811

 
26,223

Gross unrealized losses
(772
)
 
(569
)
 
(37
)
 
(1,378
)
Fair value
$
14,196

 
$
382,962

 
$
68,553

 
$
465,711

Weighted average coupon
4.56
%
 
5.74
%
 
n/a
 
5.69
%

 
December 31, 2011
 
RMBS
 
CMBS
 
CMBS IO
 
Total
Principal/par value
$
17,119

 
$
359,853

 
$
—

 
$
376,972

Unamortized premium
—

 
3,646

 
51,239

 
54,885

Unamortized discount
(1,003
)
 
(17,511
)
 
—

 
(18,514
)
Amortized cost
16,116

 
345,988

 
51,239

 
413,343

Gross unrealized gains
507

 
11,806

 
893

 
13,206

Gross unrealized losses
(1,353
)
 
(3,724
)
 
(376
)
 
(5,453
)
Fair value
$
15,270

 
$
354,070

 
$
51,756

 
$
421,096

Weighted average coupon
4.41
%
 
5.91
%
 
n/a
 
5.85
%

All of the Company’s non-Agency MBS are designated as available-for-sale and are comprised primarily of investment-grade rated securities.  The Company purchased $22,061 of non-Agency CMBS since December 31, 2011, and $16,000 of that amount represents premiums paid for non-Agency CMBS IO securities. The combined notional balance for the non-Agency CMBS IO securities is $1,014,438 and $906,202 as of March 31, 2012, and December 31, 2011, respectively.