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Non Agency MBS (Tables) | 6 Months Ended
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Jun. 30, 2012
NON AGENCY MBS [Abstract] |
Non - 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.

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