RESIDENTIAL MORTGAGE INVESTMENTS (Tables)

12 Months Ended

Dec. 31, 2020

Investments Debt And Equity Securities [Abstract]

Schedule of Residential Mortgage Investments

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, 2020
Agency Securities:
Fannie Mae/Freddie Mac    ARMs	$	6,982,650	$	252,921	$	7,235,571	$	7,310,089		2.67	%		2.14	%
Ginnie Mae ARMs		599,726		17,704		617,430		627,463		3.39			1.80
	$	7,582,376	$	270,625	$	7,853,001	$	7,937,552		2.73			2.10
December 31, 2019
Agency Securities:
Fannie Mae/Freddie Mac    ARMs	$	8,628,739	$	262,293	$	8,891,032	$	8,931,872		3.45	%		2.72	%
Ginnie Mae ARMs		2,214,447		69,884		2,284,331		2,288,758		3.53			2.85
	$	10,843,186	$	332,177	$	11,175,363	$	11,220,630		3.46			2.75

(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 year then ended, and is based on the cash component of interest income expressed as a percentage 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.