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Non Agency MBS (Tables) | 9 Months Ended
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Sep. 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 September 30, 2012 and December 31, 2011:
| September 30, 2012
| RMBS |  | CMBS |  | CMBS IO (1) |  | Total
Principal/par value | $ | 2,627,300 |  |  | $ | 289,726 |  |  | $ | — |  |  | $ | 2,917,026 |
Unamortized premium | 145,922 |  |  | 21,898 |  |  | 508,326 |  |  | 676,146 |
Unamortized discount | (14 | ) |  | — |  |  | — |  |  | (14 | )
Amortized cost | 2,773,208 |  |  | 311,624 |  |  | 508,326 |  |  | 3,593,158 |
Available for sale (recognized in statement of comprehensive income): |  |  |  |  |  |  |
Gross unrealized gains | 32,315 |  |  | 20,843 |  |  | 10,880 |  |  | 64,038 |
Gross unrealized losses | (5,428 | ) |  | (2 | ) |  | (3,693 | ) |  | (9,123 | )
Trading (recognized in income statement): |  |  |  |  |  |  |
Gross unrealized gains | — |  |  | 2,599 |  |  | — |  |  | 2,599 |
Total Agency MBS fair value: | $ | 2,800,095 |  |  | $ | 335,064 |  |  | $ | 515,513 |  |  | $ | 3,650,672 |
Weighted average coupon | 3.73 | % |  | 5.20 | % |  | 0.96 | % |  |
(1) | The combined notional balance for the Agency CMBS IO securities is $9,251,338 as of September 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 | % |  |
(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 September 30, 2012 and December 31, 2011:
| September 30, 2012
| RMBS |  | CMBS |  | CMBS IO (1) |  | Total
Principal/par value | $ | 15,007 |  |  | $ | 452,975 |  |  | $ | — |  |  | $ | 467,982 |
Unamortized premium | — |  |  | 2,726 |  |  | 93,096 |  |  | 95,822 |
Unamortized discount | (812 | ) |  | (20,732 | ) |  | — |  |  | (21,544 | )
Amortized cost | 14,195 |  |  | 434,969 |  |  | 93,096 |  |  | 542,260 |
Gross unrealized gains | 470 |  |  | 41,507 |  |  | 4,317 |  |  | 46,294 |
Gross unrealized losses | (424 | ) |  | (1,194 | ) |  | (5 | ) |  | (1,623 | )
Fair value | $ | 14,241 |  |  | $ | 475,282 |  |  | $ | 97,408 |  |  | $ | 586,931 |
Weighted average coupon | 4.38 | % |  | 4.64 | % |  | 0.69 | % |  |
(1) | The combined notional balance for the non-Agency CMBS IO securities is $2,252,064 as of September 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 | % |  |
(1) | The combined notional balance for the non-Agency CMBS IO securities is $906,202 as of December 31, 2011.
Agency MBS, Continuous Unrealized Loss Position, Fair Value [Table Text Block] | The following table presents certain information for those Agency MBS in an unrealized loss position as of September 30, 2012 and December 31, 2011:
| September 30, 2012 |  | December 31, 2011
| Fair Value |  | Unrealized Loss |  | # of Securities |  | Fair Value |  | Unrealized Loss |  | # of Securities
Unrealized loss position for: |  |  |  |  |  |  |  |  |  |  |
Less than one year | $ | 392,903 |  |  | $ | (4,281 | ) |  | 42 |  | $ | 680,101 |  |  | $ | (6,765 | ) |  | 54
One year or more | 323,732 |  |  | (4,832 | ) |  | 35 |  | 160,544 |  |  | (1,684 | ) |  | 27
| $ | 716,635 |  |  | $ | (9,113 | ) |  | 77 |  | $ | 840,645 |  |  | $ | (8,449 | ) |  | 81
The following table presents certain information for those non-Agency MBS that were in an unrealized loss position as of September 30, 2012 and December 31, 2011:
| September 30, 2012 |  | December 31, 2011
| Fair Value |  | Unrealized Loss |  | # of Securities |  | Fair Value |  | Unrealized Loss |  | # of Securities
Unrealized loss position for: |  |  |  |  |  |  |  |  |  |  |
Less than one year: | $ | 4,351 |  |  | $ | (120 | ) |  | 3 |  | $ | 153,974 |  |  | $ | (5,075 | ) |  | 6
One year or more: | 11,700 |  |  | (1,504 | ) |  | 9 |  | 2,993 |  |  | (379 | ) |  | 7
| $ | 16,051 |  |  | $ | (1,624 | ) |  | 12 |  | $ | 156,967 |  |  | $ | (5,454 | ) |  | 13

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