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Agency MBS (Tables)
 6 Months Ended
Jun. 30, 2012
AGENCY MBS [Abstract]  
Agency MBS [Table Text Block]
The following table presents the components of the Company’s investment in Agency MBS as of June 30, 2012 and December 31, 2011:
 
June 30, 2012
 
RMBS
 
CMBS
 
CMBS IO (1)
 
Total
Principal/par value
$
2,216,357

 
$
286,982

 
$
—

 
$
2,503,339

Unamortized premium
120,828

 
22,412

 
295,046

 
438,286

Unamortized discount
(15
)
 
—

 
—

 
(15
)
Amortized cost
2,337,170

 
309,394

 
295,046

 
2,941,610

Available for sale (recognized in statement of comprehensive income):
 
 
 
 
 
 
 
Gross unrealized gains
19,409

 
17,047

 
5,892

 
42,348

Gross unrealized losses
(6,175
)
 
—

 
(1,060
)
 
(7,235
)
Trading (recognized in income statement):
 
 
 
 
 
 
 
Gross unrealized gains
—

 
2,316

 
—

 
2,316

Total Agency MBS fair value:
$
2,350,404

 
$
328,757

 
$
299,878

 
$
2,979,039

Weighted average coupon
3.87
%
 
5.19
%
 
1.17
%
 
4.02
%
(1)
The combined notional balance for the Agency CMBS IO securities is $4,543,349 as of June 30, 2012.

 
December 31, 2011
 
RMBS
 
CMBS
 
CMBS IO (1)
 
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
%
 
0.96
%
 
4.64
%

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

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.