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Agency MBS | 9 Months Ended
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Sep. 30, 2011
AGENCY MBS [Abstract] |
Agency MBS | AGENCY MBS The following table presents the components of the Company’s investment in 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 | $ | 1,619,518 |  |  | $ | 270,760 |  |  | $ | 1,890,278 |  |  | $ | 937,376 |  |  | $ | 190,511 |  |  | $ | 1,127,887 |
Unamortized premium | 92,188 |  |  | 73,318 |  |  | 165,506 |  |  | 43,776 |  |  | 18,757 |  |  | 62,533 |
Unamortized discount | (1 | ) |  | — |  |  | (1 | ) |  | (36 | ) |  | — |  |  | (36 | )
Amortized cost | 1,711,705 |  |  | 344,078 |  |  | 2,055,783 |  |  | 981,116 |  |  | 209,268 |  |  | 1,190,384 |
Unrealized gains: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available for sale | 11,607 |  |  | 10,946 |  |  | 22,553 |  |  | 8,266 |  |  | 567 |  |  | 8,833 |
Trading | — |  |  | 1,819 |  |  | 1,819 |  |  | — |  |  | — |  |  | — |
Unrealized losses: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available for sale | (7,091 | ) |  | (954 | ) |  | (8,045 | ) |  | (3,371 | ) |  | (3,267 | ) |  | (6,638 | )
Trading | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Fair value | $ | 1,716,221 |  |  | $ | 355,889 |  |  | $ | 2,072,110 |  |  | $ | 986,011 |  |  | $ | 206,568 |  |  | $ | 1,192,579 |
Weighted average coupon based on par value | 4.55 | % |  | 5.14 | % |  | 5.12 | % |  | 4.46 | % |  | 5.41 | % |  | 4.62 | %
The Company has purchased $1,189,862 of Agency RMBS and $143,747 of Agency CMBS since December 31, 2010. Included in the table above are Agency CMBS with a par value of $24,776 that were pending settlement as of September 30, 2011. As of September 30, 2011, the amortized cost and fair value of Agency CMBS designated as trading securities was $27,276 and $29,095, respectively, with the remainder of the Company's Agency CMBS and Agency RMBS designated as available-for-sale. The Company did not hold any Agency CMBS or RMBS designated as trading securities as of December 31, 2010. The Company has not sold any of its trading securities purchased during the nine months ended September 30, 2011, and has recognized a net unrealized gain for the three and nine months ended September 30, 2011 of $744 and $1,819, respectively, related to their 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". For the three and nine months ended September 30, 2011, the Company recognized a net unrealized loss of $(1,446) and $(2,649), respectively, related to these derivatives. Please refer to Note 7 for additional information on these derivatives designated as trading instruments. A portion of the Company's Agency CMBS as reported in the table above as of September 30, 2011 are interest-only securities. The Company did not hold any Agency interest-only securities as of December 31, 2010. The table below presents the Company's Agency CMBS by security type as of September 30, 2011.
| September 30, 2011
| Principal |  | Premium |  | Unrealized Gain (Loss) |  | Total
Principal and interest securities | $ | 270,760 |  |  | $ | 21,646 |  |  | $ | 12,750 |  |  | $ | 305,156 |
Interest only securities (1) | — |  |  | 51,672 |  |  | (939 | ) |  | 50,733 |
Fair value of Agency CMBS | $ | 270,760 |  |  | $ | 73,318 |  |  | $ | 11,811 |  |  | $ | 355,889 |
(1) The combined notional balance for the Agency interest-only securities is $1,498,210 as of September 30, 2011

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- Definition AGENCY MBS [Abstract] + Details
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- Definition Tabular disclosure of investments in certain debt securities that are guaranteed by a government-sponsored entity such as Fannie Mae or Freddie Mac and which have readily determinable fair values. These securities have an accounting designation of either available-for-sale (changes in fair value are recorded as unrealized gains/losses in other comprehensive income until sold or otherwise disposed of) or trading (changes in fair value are recorded as recognized but unrealized gains/losses in the current period's statement of income). + Details
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