| 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):
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Unpaid
Principal
Balance |
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Investment Premiums |
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|
Amortized Cost Basis |
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|
Carrying
Amount (a) |
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|
Net
WAC (b) |
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|
Average
Yield (b) |
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|
March 31, 2018 |
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Agency Securities: |
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Fannie Mae/Freddie Mac: |
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Fixed-rate |
|
$ |
209 |
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|
$ |
1 |
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|
$ |
210 |
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|
$ |
210 |
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|
|
6.50 |
% |
|
|
5.94 |
% |
|
ARMs |
|
|
9,904,243 |
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|
|
303,393 |
|
|
|
10,207,636 |
|
|
|
10,218,600 |
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|
3.02 |
|
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|
2.10 |
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|
Ginnie Mae ARMs |
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|
2,759,328 |
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|
|
80,738 |
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|
2,840,066 |
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|
2,830,293 |
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|
2.88 |
|
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|
2.00 |
|
|
|
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|
12,663,780 |
|
|
|
384,132 |
|
|
|
13,047,912 |
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|
13,049,103 |
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|
2.99 |
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|
2.08 |
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|
Residential mortgage loans: |
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Fixed-rate |
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|
623 |
|
|
|
1 |
|
|
|
624 |
|
|
|
624 |
|
|
|
6.76 |
|
|
|
4.96 |
|
|
ARMs |
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|
1,155 |
|
|
|
7 |
|
|
|
1,162 |
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|
|
1,162 |
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|
|
4.04 |
|
|
|
3.04 |
|
|
|
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|
1,778 |
|
|
|
8 |
|
|
|
1,786 |
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|
|
1,786 |
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|
4.99 |
|
|
|
3.70 |
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|
Collateral for structured
financings |
|
|
1,163 |
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|
|
19 |
|
|
|
1,182 |
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|
|
1,182 |
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|
|
8.17 |
|
|
|
9.72 |
|
|
|
|
$ |
12,666,721 |
|
|
$ |
384,159 |
|
|
$ |
13,050,880 |
|
|
$ |
13,052,071 |
|
|
|
2.99 |
|
|
|
2.08 |
|
|
December 31, 2017 |
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Agency Securities: |
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Fannie Mae/Freddie Mac: |
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|
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|
|
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|
Fixed-rate |
|
$ |
265 |
|
|
$ |
1 |
|
|
$ |
266 |
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|
$ |
266 |
|
|
|
6.51 |
% |
|
|
6.22 |
% |
|
ARMs |
|
|
10,216,099 |
|
|
|
313,547 |
|
|
|
10,529,646 |
|
|
|
10,578,364 |
|
|
|
2.97 |
|
|
|
1.93 |
|
|
Ginnie Mae ARMs |
|
|
2,791,340 |
|
|
|
84,297 |
|
|
|
2,875,637 |
|
|
|
2,872,163 |
|
|
|
2.78 |
|
|
|
1.83 |
|
|
|
|
|
13,007,704 |
|
|
|
397,845 |
|
|
|
13,405,549 |
|
|
|
13,450,793 |
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|
|
2.93 |
|
|
|
1.91 |
|
|
Residential mortgage loans: |
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|
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Fixed-rate |
|
|
645 |
|
|
|
1 |
|
|
|
646 |
|
|
|
646 |
|
|
|
6.74 |
|
|
|
5.32 |
|
|
ARMs |
|
|
1,211 |
|
|
|
7 |
|
|
|
1,218 |
|
|
|
1,218 |
|
|
|
4.04 |
|
|
|
3.19 |
|
|
|
|
|
1,856 |
|
|
|
8 |
|
|
|
1,864 |
|
|
|
1,864 |
|
|
|
4.98 |
|
|
|
3.91 |
|
|
Collateral for structured
financings |
|
|
1,418 |
|
|
|
23 |
|
|
|
1,441 |
|
|
|
1,441 |
|
|
|
7.94 |
|
|
|
7.67 |
|
|
|
|
$ |
13,010,978 |
|
|
$ |
397,876 |
|
|
$ |
13,408,854 |
|
|
$ |
13,454,098 |
|
|
|
2.93 |
|
|
|
1.91 |
|
|
(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. 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. |
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