RESIDENTIAL MORTGAGE INVESTMENTS (Tables)

6 Months Ended

Jun. 30, 2020

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, 2020
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	66	$	–	$	66	$	66		6.50	%		6.29	%
ARMs		7,198,558		224,809		7,423,367		7,519,108		3.12			2.31
Ginnie Mae ARMs		772,392		19,668		792,060		807,339		3.60			2.53
		7,971,016		244,477		8,215,493		8,326,513		3.16			2.33
Residential mortgage loans:
Fixed-rate		95	–			95		95		4.84			5.16
ARMs		433		3		436		436		4.17			3.80
		528		3		531		531		4.29			4.03
Collateral for structured    financings		842		14		856		856		7.97			7.28
	$	7,972,386	$	244,494	$	8,216,880	$	8,327,900		3.16			2.33
December 31, 2019
Agency Securities:
Fannie Mae/Freddie Mac:
Fixed-rate	$	83	$	–	$	83	$	83		6.50	%		6.34	%
ARMs		8,628,656		262,293		8,890,949		8,931,789		3.45			2.66
Ginnie Mae ARMs		2,214,447		69,884		2,284,331		2,288,758		3.53			2.71
		10,843,186		332,177		11,175,363		11,220,630		3.46			2.67
Residential mortgage loans:
Fixed-rate		106		1		107		107		4.84			2.07
ARMs		527		3		530		530		4.15			3.11
		633		4		637		637		4.26			2.94
Collateral for structured    financings		900		15		915		915		7.99			7.51
	$	10,844,719	$	332,196	$	11,176,915	$	11,222,182		3.46			2.67

(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.