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Agency MBS | 6 Months Ended
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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.

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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). + References No definition available. + Details
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