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RESIDENTIAL MORTGAGE INVESTMENTS (Tables)
 9 Months Ended
Sep. 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)

 

September 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae/Freddie Mac:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-rate

 

$

56

 

 

$

–

 

 

$

56

 

 

$

56

 

 

 

6.50

%

 

 

6.26

%

ARMs

 

 

7,209,369

 

 

 

245,134

 

 

 

7,454,503

 

 

 

7,540,104

 

 

 

2.86

 

 

 

1.82

 

Ginnie Mae ARMs

 

 

700,552

 

 

 

19,621

 

 

 

720,173

 

 

 

733,029

 

 

 

3.48

 

 

 

2.14

 

 

 

 

7,909,977

 

 

 

264,755

 

 

 

8,174,732

 

 

 

8,273,189

 

 

 

2.91

 

 

 

1.85

 

Residential mortgage loans:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed-rate

 

 

89

 

 

–

 

 

 

89

 

 

 

89

 

 

 

4.84

 

 

 

5.08

 

ARMs

 

 

395

 

 

 

3

 

 

 

398

 

 

 

398

 

 

 

4.16

 

 

 

3.68

 

 

 

 

484

 

 

 

3

 

 

 

487

 

 

 

487

 

 

 

4.28

 

 

 

3.92

 

Collateral for structured

   financings

 

 

819

 

 

 

14

 

 

 

833

 

 

 

833

 

 

 

7.94

 

 

 

7.50

 

 

 

$

7,911,280

 

 

$

264,772

 

 

$

8,176,052

 

 

$

8,274,509

 

 

 

2.91

 

 

 

1.85

 

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.