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Agency MBS
 6 Months Ended
Jun. 30, 2012
AGENCY MBS [Abstract]  
Agency MBS
AGENCY MBS
 
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 Company purchased $1,020,900 of Agency RMBS and $247,481 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.
    
As of June 30, 2012 and December 31, 2011, the amortized cost of Agency CMBS designated as trading was $27,833 and $28,119, respectively. The Company recognized a net unrealized gain for the three and six months ended June 30, 2012 of $569 and $433 compared to $956 and $1,075 for the three and six ended June 30, 2011, respectively, related to changes in fair value, which is included within “fair value adjustments, net” in the Company's 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.