Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES - Schedule of Derivatives - Notional Amount (Details)

v3.4.0.3
DERIVATIVES - Schedule of Derivatives - Notional Amount (Details) - Not Designated as Hedging Instrument [Member] - USD ($)
$ in Thousands
Mar. 31, 2016
Dec. 31, 2015
TBAs [Member] | Short [Member]    
Derivative [Line Items]    
Derivative liability, notional amount [1] $ 2,418,000 $ 1,450,000
TBAs [Member] | Long [Member]    
Derivative [Line Items]    
Derivative liability, notional amount [1] 1,143,000 750,000
Interest Rate Caps [Member]    
Derivative [Line Items]    
Derivative asset, notional amount [2] 2,565,000 3,400,000
Interest Rate Swap [Member]    
Derivative [Line Items]    
Derivative liability, notional amount [3] $ 2,444,000 $ 2,444,000
[1] Represents the notional amount of Agency RMBS, classified as derivatives.
[2] Caps LIBOR at 0.50% for $765.0 million of notional, at 0.75% for $1,650.0 million of notional, and at 4.00% for $150.0 million of notional. The weighted average maturity of the interest rate caps as of March 31, 2016 was 14 months.
[3] Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of March 31, 2016 was 22 months and the weighted average fixed pay rate was 1.20%.