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RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - Agency Securities [Member] - USD ($)
$ in Thousands
12 Months Ended
Dec. 31, 2020
Dec. 31, 2019
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 7,582,376 $ 10,843,186
Investment Premiums 270,625 332,177
Amortized Cost Basis 7,853,001 11,175,363
Carrying Amount [1] $ 7,937,552 $ 11,220,630
Net WAC [2] 2.73% 3.46%
Average Yield [3] 2.10% 2.75%
Fannie Mae/Freddie Mac [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 6,982,650 $ 8,628,739
Investment Premiums 252,921 262,293
Amortized Cost Basis 7,235,571 8,891,032
Carrying Amount [1] $ 7,310,089 $ 8,931,872
Net WAC [2] 2.67% 3.45%
Average Yield [3] 2.14% 2.72%
Ginnie Mae [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 599,726 $ 2,214,447
Investment Premiums 17,704 69,884
Amortized Cost Basis 617,430 2,284,331
Carrying Amount [1] $ 627,463 $ 2,288,758
Net WAC [2] 3.39% 3.53%
Average Yield [3] 1.80% 2.85%
[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 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.