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Non Agency MBS | 9 Months Ended
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Sep. 30, 2011
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 September 30, 2011 and December 31, 2010:
| September 30, 2011 |  | December 31, 2010
| RMBS |  | CMBS |  | Total |  | RMBS |  | CMBS |  | Total
Principal/par value | $ | 14,271 |  |  | $ | 357,644 |  |  | $ | 371,915 |  |  | $ | 16,101 |  |  | $ | 247,494 |  |  | $ | 263,595 |
Unamortized premium | — |  |  | 39,006 |  |  | 39,006 |  |  | 138 |  |  | 5,352 |  |  | 5,490 |
Unamortized discount | (1,044 | ) |  | (16,528 | ) |  | (17,572 | ) |  | (1,115 | ) |  | (11,296 | ) |  | (12,411 | )
Amortized cost | 13,227 |  |  | 380,122 |  |  | 393,349 |  |  | 15,124 |  |  | 241,550 |  |  | 256,674 |
Unrealized gains | 520 |  |  | 12,875 |  |  | 13,395 |  |  | 632 |  |  | 10,978 |  |  | 11,610 |
Unrealized losses | (826 | ) |  | (2,213 | ) |  | (3,039 | ) |  | (348 | ) |  | (580 | ) |  | (928 | )
Fair value | $ | 12,921 |  |  | $ | 390,784 |  |  | $ | 403,705 |  |  | $ | 15,408 |  |  | $ | 251,948 |  |  | $ | 267,356 |
Weighted average coupon based on par value | 4.56 | % |  | 6.01 | % |  | 5.95 | % |  | 4.54 | % |  | 6.49 | % |  | 6.37 | %
All of the Company’s non-Agency MBS are designated as available-for-sale and are comprised primarily of investment-grade rated securities with a fair value of $380,116 and $262,234 as of September 30, 2011 and December 31, 2010, respectively. The Company has purchased $154,413 of non-Agency CMBS since December 31, 2010, of which $20,000 are pending settlement as of September 30, 2011. The Company also has $3,000 of non-Agency RMBS pending settlement as of September 30, 2011. Pending non-Agency CMBS and RMBS purchases are included in the balances shown in the table above. A portion of the Company's non-Agency CMBS as reported in the table above as of September 30, 2011 are interest-only securities. The Company did not hold any non-Agency interest-only securities as of December 31, 2010. The table below presents the Company's non-Agency CMBS by security type as of September 30, 2011.
| September 30, 2011
| Principal |  | Net Premium |  | Unrealized Gain (Loss) |  | Total
Principal and interest securities | $ | 357,644 |  |  | $ | (12,312 | ) |  | $ | 10,421 |  |  | $ | 355,753 |
Interest only securities (1) | — |  |  | 34,790 |  |  | 241 |  |  | 35,031 |
Fair value of non-Agency CMBS | $ | 357,644 |  |  | $ | 22,478 |  |  | $ | 10,662 |  |  | $ | 390,784 |
(1) The combined notional balance for the non-Agency interest-only securities is $723,008 as of September 30, 2011.

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- Definition NON-AGENCY MBS [Abstract] + Details
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- Definition Tabular disclosure of investments in certain debt and equity securities (and certain other trading assets) which include all debt and equity securities (other than those equity securities accounted for under the equity or cost methods of accounting) with readily determinable fair values. Other trading assets include assets that are carried on the balance sheet at fair value and held for trading purposes. A debt security represents a creditor relationship with an enterprise that is in the form of a security. Debt securities include, among other items, US Treasury securities, US government securities, municipal securities, corporate bonds, convertible debt, commercial paper, and all securitized debt instruments. An equity security represents an ownership interest in an enterprise or the right to acquire or dispose of an ownership interest in an enterprise at fixed or determinable prices. Equity securities include, among other things, common stock, certain preferred stock, warrant rights, call options, and put options, but do not include convertible debt. An entity may opt to provide the reader with additional narrative text to better understand the nature of investments in debt and equity securities (and other trading assets). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27405-111563 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 30 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6379141&loc=d3e15032-111544 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Glossary Equity Security -URI http://asc.fasb.org/extlink&oid=6511694 -Topic 320 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27161-111563 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Glossary Debt Security -URI http://asc.fasb.org/extlink&oid=6509901 -Topic 320 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 115 -Paragraph 3, 19, 20, 21, 22, 137 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27232-111563 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27357-111563 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6957658&loc=d3e62557-112803 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27290-111563 + Details
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