Residential mortgage investments classified by collateral type and interest rate characteristics as of the indicated dates were as follows (dollars in thousands):

	Unpaid Principal Balance		Investment Premiums		Amortized Cost Basis		Carrying Amount ^(a)		Net WAC ^(b)			Average Yield ⁽^c⁾
June 30, 2018
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	189	$	1	$	190	$	190		6.50	%		6.21	%
ARMs		9,762,776		295,010		10,057,786		10,053,674		3.15			1.98
Ginnie Mae ARMs		2,892,545		79,082		2,971,627		2,960,418		3.02			2.06
		12,655,510		374,093		13,029,603		13,014,282		3.12			2.00
Residential mortgage loans:
Fixed-rate		600		1		601		601		6.77			5.44
ARMs		1,101		7		1,108		1,108		4.04			3.52
		1,701		8		1,709		1,709		5.00			4.19
Collateral for structured financings		1,098		18		1,116		1,116		8.24			7.43
	$	12,658,309	$	374,119	$	13,032,428	$	13,017,107		3.12			2.00
December 31, 2017
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	265	$	1	$	266	$	266		6.51	%		6.22	%
ARMs		10,216,099		313,547		10,529,646		10,578,364		2.97			1.93
Ginnie Mae ARMs		2,791,340		84,297		2,875,637		2,872,163		2.78			1.83
		13,007,704		397,845		13,405,549		13,450,793		2.93			1.91
Residential mortgage loans:
Fixed-rate		645		1		646		646		6.74			5.32
ARMs		1,211		7		1,218		1,218		4.04			3.19
		1,856		8		1,864		1,864		4.98			3.91
Collateral for structured financings		1,418		23		1,441		1,441		7.94			7.67
	$	13,010,978	$	397,876	$	13,408,854	$	13,454,098		2.93			1.91

(a)	Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale.

(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.

(c)

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.