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RESIDENTIAL MORTGAGE INVESTMENTS (Tables)
 9 Months Ended
Sep. 30, 2013
RESIDENTIAL MORTGAGE INVESTMENTS [Abstract]  
Schedule of Residential Mortgage Investments
Residential mortgage investments classified by collateral type and interest rate characteristics were as follows (dollars in thousands):
 
 
 
Unpaid
Principal
Balance
  
Investment
 Premiums
  
Amortized
Cost Basis
  
Carrying
Amount(a)
  
Net
WAC(b)
  
Average
Yield(b)
 
September 30, 2013
 
  
  
  
  
  
 
Agency Securities:
 
  
  
  
  
  
 
Fannie Mae/Freddie Mac:
 
  
  
  
  
  
 
Fixed-rate
 
$
2,307
  
$
6
  
$
2,313
  
$
2,316
   
6.68
%
  
6.41
%
ARMs
  
11,020,341
   
354,718
   
11,375,059
   
11,586,806
   
2.61
   
1.38
 
Ginnie Mae ARMs
  
2,058,086
   
70,904
   
2,128,990
   
2,139,652
   
2.64
   
1.19
 
 
  
13,080,734
   
425,628
   
13,506,362
   
13,728,774
   
2.62
   
1.36
 
Residential mortgage loans:
                        
Fixed-rate
  
2,693
   
3
   
2,696
   
2,696
   
7.00
   
5.67
 
ARMs
  
4,528
   
18
   
4,546
   
4,546
   
3.85
   
3.46
 
 
  
7,221
   
21
   
7,242
   
7,242
   
5.02
   
4.28
 
Collateral for structured financings
  
2,258
   
37
   
2,295
   
2,295
   
8.08
   
7.57
 
 
 
$
13,090,213
  
$
425,686
  
$
13,515,899
  
$
13,738,311
   
2.62
   
1.36
 
December 31, 2012
                        
Agency Securities:
                        
Fannie Mae/Freddie Mac:
                        
Fixed-rate
 
$
3,194
  
$
9
  
$
3,203
  
$
3,208
   
6.70
   
6.47
 
ARMs
  
11,547,954
   
356,646
   
11,904,600
   
12,198,922
   
2.69
   
1.72
 
Ginnie Mae ARMs
  
1,566,749
   
48,248
   
1,614,997
   
1,647,119
   
2.77
   
1.95
 
 
  
13,117,897
   
404,903
   
13,522,800
   
13,849,249
   
2.70
   
1.75
 
Residential mortgage loans:
                        
Fixed-rate
  
3,007
   
5
   
3,012
   
3,012
   
7.01
   
6.15
 
ARMs
  
5,031
   
20
   
5,051
   
5,051
   
3.87
   
3.85
 
 
  
8,038
   
25
   
8,063
   
8,063
   
5.04
   
4.71
 
Collateral for structured financings
  
2,799
   
47
   
2,846
   
2,846
   
8.12
   
7.57
 
 
 
$
13,128,734
  
$
404,975
  
$
13,533,709
  
$
13,860,158
   
2.71
   
1.76
 

(a)Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale (see NOTE 10).
(b)Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date.  Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments.  Average yield is presented for the quarter then ended, and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums.  Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments.