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Mortgage Backed Securities Mortgage backed securities (Notes) | 9 Months Ended
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Sep. 30, 2013
Schedule of Available-for-sale Securities [Line Items] |
Mortgage-backed securities | MORTGAGE-BACKED SECURITIES The following table presents the components of the Company’s MBS designated as AFS as of September 30, 2013 and December 31, 2012:
| September 30, 2013
| Par |  | Net Premium (Discount) |  | Amortized Cost |  | Net Unrealized Gain (Loss) |  | Fair Value |  | Weighted average coupon
Agency: |  |  |  |  |  |  |  |  |  |  |
RMBS | $ | 2,723,084 |  |  | $ | 162,370 |  |  | $ | 2,885,454 |  |  | $ | (56,407 | ) |  | $ | 2,829,047 |  |  | 3.26 | %
CMBS | 261,440 |  |  | 19,844 |  |  | 281,284 |  |  | 11,941 |  |  | 293,225 |  |  | 4.82 | %
CMBS IO (1) | — |  |  | 466,494 |  |  | 466,494 |  |  | 9,114 |  |  | 475,608 |  |  | 0.89 | %
Total Agency AFS: | 2,984,524 |  |  | 648,708 |  |  | 3,633,232 |  |  | (35,352 | ) |  | 3,597,880 |  |  |
Non-Agency: |  |  |  |  |  |  |  |  |  |  |
RMBS | 14,972 |  |  | (351 | ) |  | 14,621 |  |  | (33 | ) |  | 14,588 |  |  | 4.58 | %
CMBS | 381,342 |  |  | (17,213 | ) |  | 364,129 |  |  | 10,620 |  |  | 374,749 |  |  | 5.52 | %
CMBS IO (1) | — |  |  | 123,172 |  |  | 123,172 |  |  | 2,377 |  |  | 125,549 |  |  | 0.87 | %
Total non-Agency AFS: | 396,314 |  |  | 105,608 |  |  | 501,922 |  |  | 12,964 |  |  | 514,886 |  |  |
Total AFS securities | $ | 3,380,838 |  |  | $ | 754,316 |  |  | $ | 4,135,154 |  |  | $ | (22,388 | ) |  | $ | 4,112,766 |  |  |
(1) | The notional balance for Agency CMBS IO and non-Agency CMBS IO is $9,682,065 and $2,857,343, respectively, as of September 30, 2013.
| December 31, 2012
| Par |  | Net Premium (Discount) |  | Amortized Cost |  | Net Unrealized Gain (Loss) |  | Fair Value |  | Weighted average coupon
Agency: |  |  |  |  |  |  |  |  |  |  |
RMBS | $ | 2,425,826 |  |  | $ | 137,168 |  |  | $ | 2,562,994 |  |  | $ | 8,343 |  |  | $ | 2,571,337 |  |  | 3.67 | %
CMBS | 280,602 |  |  | 21,907 |  |  | 302,509 |  |  | 21,564 |  |  | 324,073 |  |  | 5.19 | %
CMBS IO (1) | — |  |  | 550,171 |  |  | 550,171 |  |  | 17,009 |  |  | 567,180 |  |  | 0.95 | %
Total Agency AFS: | 2,706,428 |  |  | 709,246 |  |  | 3,415,674 |  |  | 46,916 |  |  | 3,462,590 |  |  |
Non-Agency: |  |  |  |  |  |  |  |  |  |  |
RMBS | 11,411 |  |  | (781 | ) |  | 10,630 |  |  | 408 |  |  | 11,038 |  |  | 4.28 | %
CMBS | 463,747 |  |  | (17,313 | ) |  | 446,434 |  |  | 39,908 |  |  | 486,342 |  |  | 5.31 | %
CMBS IO (1) | — |  |  | 108,928 |  |  | 108,928 |  |  | 5,014 |  |  | 113,942 |  |  | 0.86 | %
Total non-Agency AFS: | 475,158 |  |  | 90,834 |  |  | 565,992 |  |  | 45,330 |  |  | 611,322 |  |  |
Total AFS securities | $ | 3,181,586 |  |  | $ | 800,080 |  |  | $ | 3,981,666 |  |  | $ | 92,246 |  |  | $ | 4,073,912 |  |  |
(1) | The notional balance for the Agency CMBS IO and non-Agency CMBS IO is $10,059,495 and $2,393,614, respectively, as of December 31, 2012.
The Company has investments in additional Agency CMBS not included in the tables above that are designated as trading securities by the Company with fair values of $28,978 and $30,069 as of September 30, 2013 and December 31, 2012, respectively. Changes in the fair value of these Agency CMBS are recognized each reporting period within "fair value adjustments, net" in the Company's consolidated statements of income. As of September 30, 2013 and December 31, 2012, the amortized cost of these Agency CMBS designated as trading securities was $27,078 and $27,535, respectively. The Company recognized a net unrealized gain (loss) for the three and nine months ended September 30, 2013 of $96 and $(634), respectively, compared to a net unrealized gain of $283 and $716 for the three and nine months ended September 30, 2012, respectively, related to changes in fair value. The following table presents certain information for those Agency MBS in an unrealized loss position as of September 30, 2013 and December 31, 2012:
| September 30, 2013 |  | December 31, 2012
| Fair Value |  | Gross Unrealized Losses |  | # of Securities |  | Fair Value |  | Gross Unrealized Losses |  | # of Securities
Continuous unrealized loss position for less than 12 months: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 2,129,694 |  |  | $ | (48,337 | ) |  | 164 |  | $ | 1,026,277 |  |  | $ | (6,552 | ) |  | 83
Non-Agency MBS | 126,846 |  |  | (5,902 | ) |  | 23 |  | 13,877 |  |  | (76 | ) |  | 3
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 558,070 |  |  | $ | (17,718 | ) |  | 67 |  | $ | 271,719 |  |  | $ | (5,797 | ) |  | 34
Non-Agency MBS | 1,820 |  |  | (100 | ) |  | 6 |  | 2,701 |  |  | (198 | ) |  | 8
Because the principal and interest related to Agency MBS are guaranteed by the government-sponsored entities Fannie Mae and Freddie Mac who have the implicit guarantee of the U.S. government, the Company does not consider any of the unrealized losses on its Agency MBS to be credit related. Although the unrealized losses are not credit related, the Company assesses its ability and intent to hold any Agency MBS with an unrealized loss until the recovery in its value. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s current leverage and anticipated liquidity. Based on this analysis, the Company has determined that the unrealized losses on its Agency MBS as of September 30, 2013 and December 31, 2012 were temporary. The Company also reviews any non-Agency MBS in an unrealized loss position to evaluate whether any decline in fair value represents an other-than-temporary impairment. The evaluation includes a review of the credit ratings of these non-Agency MBS and the seasoning of the mortgage loans collateralizing these securities as well as the estimated future cash flows which include projected losses. The Company performed this evaluation for the non-Agency MBS in an unrealized loss position and has determined that there have not been any adverse changes in the timing or amount of estimated future cash flows that necessitate a recognition of other-than-temporary impairment amounts as of September 30, 2013 or December 31, 2012.

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