| 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. |
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| 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 |
|