Quarterly report pursuant to Section 13 or 15(d)

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

v3.19.2
FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details)
$ in Thousands
6 Months Ended
Jun. 30, 2019
USD ($)
source
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Outstanding Face Amount $ 24,980,167
Amortized Cost Basis 11,416,625
Total Fair Value $ 12,125,826
Number of broker quotation sources | source 2
Percent of securities 69.80%
Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value $ 12,125,400
Single Quote  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 426
Agency RMBS  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Outstanding Face Amount 3,237,064
Amortized Cost Basis 3,263,710
Agency RMBS | Level 2  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 3,307,858
Agency RMBS | Level 2 | Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 3,307,858
Agency RMBS | Level 2 | Single Quote  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 0
Non-Agency RMBS  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Outstanding Face Amount 21,743,103
Amortized Cost Basis 8,152,915
Fair Value 6,156,136
Non-Agency RMBS | Level 3  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 8,817,968
Non-Agency RMBS | Level 3 | Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 8,817,542
Non-Agency RMBS | Level 3 | Single Quote  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value $ 426
Minimum | Non-Agency RMBS | Discount Rate  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.0198
Minimum | Non-Agency RMBS | Prepayment Rate  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.0025
Minimum | Non-Agency RMBS | Delinquency  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.0025
Minimum | Non-Agency RMBS | Loss Severity  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.050
Maximum | Non-Agency RMBS | Discount Rate  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.2800
Maximum | Non-Agency RMBS | Prepayment Rate  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.2180
Maximum | Non-Agency RMBS | Delinquency  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.0900
Maximum | Non-Agency RMBS | Loss Severity  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 1.00