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Non Agency MBS | 6 Months Ended
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Jun. 30, 2012
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 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.
All of the Company’s non-Agency MBS are designated as available-for-sale and are comprised primarily of investment-grade rated securities. The Company purchased $120,697 of non-Agency CMBS since December 31, 2011. In addition, the Company paid premiums of $16,000 for non-Agency CMBS IO securities.

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