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RESIDENTIAL MORTGAGE INVESTMENTS (Tables)
 6 Months Ended
Jun. 30, 2021
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)

 

June 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae/Freddie Mac ARMs

 

$

6,663,751

 

 

$

262,349

 

 

$

6,926,100

 

 

$

6,961,924

 

 

 

2.42

%

 

 

1.12

%

Ginnie Mae ARMs

 

 

448,420

 

 

 

14,085

 

 

 

462,505

 

 

 

467,868

 

 

 

3.19

 

 

 

1.40

 

 

 

$

7,112,171

 

 

$

276,434

 

 

$

7,388,605

 

 

$

7,429,792

 

 

 

2.47

 

 

 

1.14

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae/Freddie Mac ARMs

 

$

6,982,650

 

 

$

252,921

 

 

$

7,235,571

 

 

$

7,310,089

 

 

 

2.67

%

 

 

1.51

%

Ginnie Mae ARMs

 

 

599,726

 

 

 

17,704

 

 

 

617,430

 

 

 

627,463

 

 

 

3.39

 

 

 

2.05

 

 

 

$

7,582,376

 

 

$

270,625

 

 

$

7,853,001

 

 

$

7,937,552

 

 

 

2.73

 

 

 

1.55

 

 

(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.