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Non Agency MBS (Tables)
 9 Months Ended
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