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Non Agency MBS
 9 Months Ended
Sep. 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 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.

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 has purchased $7,500 on non-Agency RMBS, $120,697 of non-Agency CMBS since December 31, 2011. In addition, the Company paid premiums of $48,812 for non-Agency CMBS IO securities.

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


The Company 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 as of September 30, 2012 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, 2012.