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 ^(b)
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
December 31, 2016
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	385	$	1	$	386	$	386		6.65	%		6.07	%
ARMs		10,057,761		314,799		10,372,560		10,483,367		2.74			1.64
Ginnie Mae ARMs		2,743,160		90,300		2,833,460		2,828,288		2.51			1.29
		12,801,306		405,100		13,206,406		13,312,041		2.69			1.56
Residential mortgage loans:
Fixed-rate		735		1		736		736		6.72			3.87
ARMs		1,839		9		1,848		1,848		3.80			3.00
		2,574		10		2,584		2,584		4.63			3.24
Collateral for structured financings		1,630		27		1,657		1,657		7.98			7.78
	$	12,805,510	$	405,137	$	13,210,647	$	13,316,282		2.69			1.56

(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 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.