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RESIDENTIAL MORTGAGE INVESTMENTS (Tables)
 12 Months Ended
Dec. 31, 2018
Investments Debt And Equity Securities [Abstract]  
Schedule of Residential Mortgage Investments

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

 

 

 

Unpaid

Principal

Balance

 

 

Investment

Premiums

 

 

Amortized

Cost Basis

 

 

Carrying

Amount (a)

 

 

Net

WAC (b)

 

 

Average

Yield (c)

 

December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae/Freddie Mac:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-rate

 

$

126

 

 

$

–

 

 

$

126

 

 

$

126

 

 

 

6.50

%

 

 

6.01

%

ARMs

 

 

8,691,794

 

 

 

257,999

 

 

 

8,949,793

 

 

 

8,931,558

 

 

 

3.42

 

 

 

2.09

 

Ginnie Mae ARMs

 

 

2,964,531

 

 

 

75,744

 

 

 

3,040,275

 

 

 

3,031,264

 

 

 

3.30

 

 

 

2.23

 

 

 

 

11,656,451

 

 

 

333,743

 

 

 

11,990,194

 

 

 

11,962,948

 

 

 

3.39

 

 

 

2.12

 

Residential mortgage loans:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-rate

 

 

552

 

 

 

1

 

 

 

553

 

 

 

553

 

 

 

6.80

 

 

 

4.24

 

ARMs

 

 

868

 

 

 

4

 

 

 

872

 

 

 

872

 

 

 

3.91

 

 

 

3.22

 

 

 

 

1,420

 

 

 

5

 

 

 

1,425

 

 

 

1,425

 

 

 

5.03

 

 

 

3.58

 

Collateral for structured

   financings

 

 

991

 

 

 

17

 

 

 

1,008

 

 

 

1,008

 

 

 

7.99

 

 

 

8.55

 

 

 

$

11,658,862

 

 

$

333,765

 

 

$

11,992,627

 

 

$

11,965,381

 

 

 

3.39

 

 

 

2.12

 

December 31, 2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae/Freddie Mac:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-rate

 

$

265

 

 

$

1

 

 

$

266

 

 

$

266

 

 

 

6.51

%

 

 

6.31

%

ARMs

 

 

10,216,099

 

 

 

313,547

 

 

 

10,529,646

 

 

 

10,578,364

 

 

 

2.97

 

 

 

1.78

 

Ginnie Mae ARMs

 

 

2,791,340

 

 

 

84,297

 

 

 

2,875,637

 

 

 

2,872,163

 

 

 

2.78

 

 

 

1.54

 

 

 

 

13,007,704

 

 

 

397,845

 

 

 

13,405,549

 

 

 

13,450,793

 

 

 

2.93

 

 

 

1.73

 

Residential mortgage loans:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-rate

 

 

645

 

 

 

1

 

 

 

646

 

 

 

646

 

 

 

6.74

 

 

 

4.48

 

ARMs

 

 

1,211

 

 

 

7

 

 

 

1,218

 

 

 

1,218

 

 

 

4.04

 

 

 

3.20

 

 

 

 

1,856

 

 

 

8

 

 

 

1,864

 

 

 

1,864

 

 

 

4.98

 

 

 

3.59

 

Collateral for structured

   financings

 

 

1,418

 

 

 

23

 

 

 

1,441

 

 

 

1,441

 

 

 

7.94

 

 

 

7.81

 

 

 

$

13,010,978

 

 

$

397,876

 

 

$

13,408,854

 

 

$

13,454,098

 

 

 

2.93

 

 

 

1.73

 

 

(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 year 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.