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Agency MBS
 3 Months Ended
Mar. 31, 2012
AGENCY MBS [Abstract]  
Agency MBS
AGENCY MBS
 
The following table presents the components of the Company’s investment in Agency MBS as of March 31, 2012 and December 31, 2011:
 
March 31, 2012
 
RMBS
 
CMBS
 
CMBS IO
 
Total
Principal/par value
$
1,964,359

 
$
283,574

 
$
—

 
$
2,247,933

Unamortized premium
109,472

 
22,546

 
251,479

 
383,497

Unamortized discount
(15
)
 
—

 
—

 
(15
)
Amortized cost
2,073,816

 
306,120

 
251,479

 
2,631,415

Available for sale (recognized in statement of comprehensive income):
 
 
 
 
 
 
 
Gross unrealized gains
14,692

 
11,952

 
4,959

 
31,603

Gross unrealized losses
(7,082
)
 
(16
)
 
(1,504
)
 
(8,602
)
Trading (recognized in income statement):
 
 
 
 
 
 
 
Gross unrealized gains
—

 
1,747

 
—

 
1,747

Total Agency MBS fair value:
$
2,081,426

 
$
319,803

 
$
254,934

 
$
2,656,163

Weighted average coupon
4.10
%
 
5.19
%
 
n/a
 
5.12
%
 
December 31, 2011
 
RMBS
 
CMBS
 
CMBS IO
 
Total
Principal/par value
$
1,488,397

 
$
266,952

 
$
—

 
$
1,755,349

Unamortized premium
85,488

 
21,627

 
86,358

 
193,473

Unamortized discount
(17
)
 
—

 
—

 
(17
)
Amortized cost
1,573,868

 
288,579

 
86,358

 
1,948,805

Available for sale (recognized in statement of comprehensive income):
 
 
 
 
 
 
 
Gross unrealized gains
10,787

 
11,746

 
350

 
22,883

Gross unrealized losses
(7,405
)
 
—

 
(1,043
)
 
(8,448
)
Trading (recognized in income statement):
 
 
 
 
 
 
 
Gross unrealized gains
—

 
1,919

 
—

 
1,919

Total Agency MBS fair value:
$
1,577,250

 
$
302,244

 
$
85,665

 
$
1,965,159

Weighted average coupon
4.54
%
 
5.20
%
 
n/a
 
4.64
%

The Company purchased $608,250 of Agency RMBS and $19,502 of Agency CMBS, consisting principally of CMBS IOs, since December 31, 2011. Agency CMBS IOs are secured by excess interest payments on pools of multifamily housing mortgage loans. As these securities have no principal associated with them, the interest payments received are based on the unpaid principal balance (often referred to as the notional amount) of the underlying pool of mortgage loans. The IO securities have prepayment protection in the form of lock-outs and/or yield maintenance associated with the underlying loans. The combined notional balance for the Agency CMBS IO securities is $3,924,736 and $1,813,096 as of March 31, 2012, and December 31, 2011, respectively.
    
As of March 31, 2012 and December 31, 2011, the amortized cost of Agency CMBS designated as trading was $27,976 and $28,119, respectively. The Company recognized a net unrealized (loss) gain for the three months ended March 31, 2012 and March 31, 2011 of $(136) and $119, respectively, 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.