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, 2018
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	209	$	1	$	210	$	210		6.50	%		5.94	%
ARMs		9,904,243		303,393		10,207,636		10,218,600		3.02			2.10
Ginnie Mae ARMs		2,759,328		80,738		2,840,066		2,830,293		2.88			2.00
		12,663,780		384,132		13,047,912		13,049,103		2.99			2.08
Residential mortgage loans:
Fixed-rate		623		1		624		624		6.76			4.96
ARMs		1,155		7		1,162		1,162		4.04			3.04
		1,778		8		1,786		1,786		4.99			3.70
Collateral for structured financings		1,163		19		1,182		1,182		8.17			9.72
	$	12,666,721	$	384,159	$	13,050,880	$	13,052,071		2.99			2.08
December 31, 2017
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	265	$	1	$	266	$	266		6.51	%		6.22	%
ARMs		10,216,099		313,547		10,529,646		10,578,364		2.97			1.93
Ginnie Mae ARMs		2,791,340		84,297		2,875,637		2,872,163		2.78			1.83
		13,007,704		397,845		13,405,549		13,450,793		2.93			1.91
Residential mortgage loans:
Fixed-rate		645		1		646		646		6.74			5.32
ARMs		1,211		7		1,218		1,218		4.04			3.19
		1,856		8		1,864		1,864		4.98			3.91
Collateral for structured financings		1,418		23		1,441		1,441		7.94			7.67
	$	13,010,978	$	397,876	$	13,408,854	$	13,454,098		2.93			1.91

(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.