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 ^(b⁾
March 31, 2016
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	599	$	2	$	601	$	601		6.62	%		5.82	%
ARMs		9,815,446		311,049		10,126,495		10,285,165		2.60			1.78
Ginnie Mae ARMs		3,421,518		114,475		3,535,993		3,544,335		2.59			1.55
		13,237,563		425,526		13,663,089		13,830,101		2.60			1.72
Residential mortgage loans:
Fixed-rate		857		1		858		858		6.77			3.42
ARMs		2,322		10		2,332		2,332		3.81			3.21
		3,179		11		3,190		3,190		4.60			3.27
Collateral for structured financings		1,811		29		1,840		1,840		8.12			7.94
	$	13,242,553	$	425,566	$	13,668,119	$	13,835,131		2.60			1.72
December 31, 2015
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	796	$	2	$	798	$	799		6.61	%		6.17	%
ARMs		10,014,401		317,545		10,331,946		10,487,785		2.55			1.68
Ginnie Mae ARMs		3,542,541		119,225		3,661,766		3,660,455		2.61			1.49
		13,557,738		436,772		13,994,510		14,149,039		2.57			1.63
Residential mortgage loans:
Fixed-rate		1,155		1		1,156		1,156		6.76			5.02
ARMs		2,650		11		2,661		2,661		3.73			3.15
		3,805		12		3,817		3,817		4.65			3.71
Collateral for structured financings		1,850		31		1,881		1,881		8.12			7.82
	$	13,563,393	$	436,815	$	14,000,208	$	14,154,737		2.57			1.63

(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. 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.