XML 39 R27.htm IDEA: XBRL DOCUMENT v3.10.0.1
RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - USD ($)
$ in Thousands
9 Months Ended 12 Months Ended
Sep. 30, 2018
Dec. 31, 2017
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 12,367,068 $ 13,010,978
Investment Premiums 356,815 397,876
Amortized Cost Basis 12,723,883 13,408,854
Carrying Amount [1] $ 12,681,791 $ 13,454,098
Net WAC [2] 3.26% 2.93%
Average Yield [3] 2.08% 1.91%
Agency Securities [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 12,364,410 $ 13,007,704
Investment Premiums 356,791 397,845
Amortized Cost Basis 12,721,201 13,405,549
Carrying Amount [1] $ 12,679,109 $ 13,450,793
Net WAC [2] 3.26% 2.93%
Average Yield [3] 2.08% 1.91%
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | Fixed-Rate [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 138 $ 265
Investment Premiums   1
Amortized Cost Basis 138 266
Carrying Amount [1] $ 138 $ 266
Net WAC [2] 6.50% 6.51%
Average Yield [3] 5.65% 6.22%
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 9,305,702 $ 10,216,099
Investment Premiums 277,403 313,547
Amortized Cost Basis 9,583,105 10,529,646
Carrying Amount [1] $ 9,561,713 $ 10,578,364
Net WAC [2] 3.29% 2.97%
Average Yield [3] 2.01% 1.93%
Agency Securities [Member] | Ginnie Mae [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 3,058,570 $ 2,791,340
Investment Premiums 79,388 84,297
Amortized Cost Basis 3,137,958 2,875,637
Carrying Amount [1] $ 3,117,258 $ 2,872,163
Net WAC [2] 3.17% 2.78%
Average Yield [3] 2.30% 1.83%
Residential Mortgage Loans [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 1,621 $ 1,856
Investment Premiums 7 8
Amortized Cost Basis 1,628 1,864
Carrying Amount [1] $ 1,628 $ 1,864
Net WAC [2] 5.01% 4.98%
Average Yield [3] 3.81% 3.91%
Residential Mortgage Loans [Member] | Fixed-Rate [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 576 $ 645
Investment Premiums 1 1
Amortized Cost Basis 577 646
Carrying Amount [1] $ 577 $ 646
Net WAC [2] 6.79% 6.74%
Average Yield [3] 4.99% 5.32%
Residential Mortgage Loans [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 1,045 $ 1,211
Investment Premiums 6 7
Amortized Cost Basis 1,051 1,218
Carrying Amount [1] $ 1,051 $ 1,218
Net WAC [2] 4.04% 4.04%
Average Yield [3] 3.18% 3.19%
Collateral for Structured Financings [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 1,037 $ 1,418
Investment Premiums 17 23
Amortized Cost Basis 1,054 1,441
Carrying Amount [1] $ 1,054 $ 1,441
Net WAC [2] 8.02% 7.94%
Average Yield [3] 9.42% 7.67%
[1] Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale.
[2] 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.
[3] 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.