RESIDENTIAL MORTGAGE INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2019

Investments Debt And Equity Securities [Abstract]

Schedule of Residential Mortgage Investments

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)
March 31, 2019
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	113	$	–	$	113	$	113		6.50	%		5.25	%
ARMs		8,844,800		260,507		9,105,307		9,118,646		3.58			2.69
Ginnie Mae ARMs		3,026,085		78,649		3,104,734		3,107,625		3.43			2.93
		11,870,998		339,156		12,210,154		12,226,384		3.54			2.75
Residential mortgage loans:
Fixed-rate		241		1		242		242		7.12			2.68
ARMs		806		4		810		810		3.90			4.44
		1,047		5		1,052		1,052		4.64			3.80
Collateral for structured    financings		970		16		986		986		8.25			7.57
	$	11,873,015	$	339,177	$	12,212,192	$	12,228,422		3.54			2.75
December 31, 2018
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	126	$	–	$	126	$	126		6.50	%		6.23	%
ARMs		8,691,794		257,999		8,949,793		8,931,558		3.42			2.28
Ginnie Mae ARMs		2,964,531		75,744		3,040,275		3,031,264		3.30			2.54
		11,656,451		333,743		11,990,194		11,962,948		3.39			2.34
Residential mortgage loans:
Fixed-rate		552		1		553		553		6.80			2.44
ARMs		868		4		872		872		3.91			3.24
		1,420		5		1,425		1,425		5.03			2.95
Collateral for structured    financings		991		17		1,008		1,008		7.99			7.43
	$	11,658,862	$	333,765	$	11,992,627	$	11,965,381		3.39			2.34

(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.