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Non Agency MBS
 6 Months Ended
Jun. 30, 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 June 30, 2012 and December 31, 2011:
 
June 30, 2012
 
RMBS
 
CMBS
 
CMBS IO (1)
 
Total
Principal/par value
$
19,282

 
$
473,198

 
$
—

 
$
492,480

Unamortized premium
4

 
3,018

 
63,601

 
66,623

Unamortized discount
(855
)
 
(22,123
)
 
—

 
(22,978
)
Amortized cost
18,431

 
454,093

 
63,601

 
536,125

Gross unrealized gains
478

 
22,031

 
2,471

 
24,980

Gross unrealized losses
(801
)
 
(1,256
)
 
(82
)
 
(2,139
)
Fair value
$
18,108

 
$
474,868

 
$
65,990

 
$
558,966

Weighted average coupon
4.43
%
 
5.47
%
 
1.26
%
 
5.43
%
(1)
The combined notional balance for the non-Agency CMBS IO securities is $1,011,637 as of June 30, 2012.

 
December 31, 2011
 
RMBS
 
CMBS
 
CMBS IO (1)
 
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
%
 
1.24
%
 
5.85
%
(1)
The combined notional balance for the non-Agency CMBS IO securities is $906,202 as of December 31, 2011.

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 $120,697 of non-Agency CMBS since December 31, 2011. In addition, the Company paid premiums of $16,000 for non-Agency CMBS IO securities.