Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENT - Schedule of Securities Valuation Methodology and Results (Details)

v3.7.0.1
FAIR VALUE MEASUREMENT - Schedule of Securities Valuation Methodology and Results (Details)
$ in Thousands
6 Months Ended
Jun. 30, 2017
USD ($)
source
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Outstanding Face Amount $ 13,787,789
Amortized Cost Basis 7,110,792
Total Fair Value $ 7,423,273
Number of broker quotation sources | source 2
Percent of securities 81.90%
Multiple Quotes [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value $ 7,415,050
Single Quote [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 8,223
Single Quote [Member] | Seller [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 7,600
Agency RMBS [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Outstanding Face Amount 1,880,434
Amortized Cost Basis 1,941,558
Agency RMBS [Member] | Level 2 [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 1,936,193
Agency RMBS [Member] | Level 2 [Member] | Multiple Quotes [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 1,936,193
Agency RMBS [Member] | Level 2 [Member] | Single Quote [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 0
Non-Agency RMBS [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Outstanding Face Amount 11,907,355
Amortized Cost Basis 5,169,234
Fair Value $ 4,496,415
Non-Agency RMBS [Member] | Minimum [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Discount Rate 2.00%
Prepayment Rate 0.25%
Delinquency 0.00%
Loss Severity 5.00%
Non-Agency RMBS [Member] | Maximum [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Discount Rate 40.00%
Prepayment Rate 20.00%
Delinquency 10.38%
Loss Severity 100.00%
Non-Agency RMBS [Member] | Level 3 [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value $ 5,487,080
Non-Agency RMBS [Member] | Level 3 [Member] | Multiple Quotes [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 5,478,857
Non-Agency RMBS [Member] | Level 3 [Member] | Single Quote [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value $ 8,223