Quarterly report pursuant to Section 13 or 15(d)

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

v3.19.3
FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details)
$ in Thousands
9 Months Ended
Sep. 30, 2019
USD ($)
source
Dec. 31, 2018
USD ($)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount $ 30,643,013  
Amortized Cost Basis 16,126,466  
Real estate and other securities, available-for-sale $ 16,853,910 $ 11,636,581
Number of broker quotation sources | source 2  
Percent of securities 67.00%  
Multiple Quotes    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale $ 16,852,021  
Single Quote    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 1,889  
Agency RMBS    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount 8,797,199  
Amortized Cost Basis 8,950,763  
Real estate and other securities, available-for-sale 8,998,066 2,665,618
Agency RMBS | Level 2    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 8,998,066  
Agency RMBS | Level 2 | Multiple Quotes    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 8,998,066  
Agency RMBS | Level 2 | Single Quote    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 0  
Non-Agency RMBS    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount 21,845,814  
Amortized Cost Basis 7,175,703  
Real estate and other securities, available-for-sale 7,855,844 $ 8,970,963
Fair Value 5,262,801  
Non-Agency RMBS | Level 3    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 7,855,844  
Non-Agency RMBS | Level 3 | Multiple Quotes    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 7,853,955  
Non-Agency RMBS | Level 3 | Single Quote    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale $ 1,889  
Minimum | Non-Agency RMBS | Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.0103  
Minimum | Non-Agency RMBS | Prepayment Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.0050  
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 0.2744  
Maximum | Non-Agency RMBS | Prepayment Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.2300  
Maximum | Non-Agency RMBS | Delinquency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.0700  
Maximum | Non-Agency RMBS | Loss Severity    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 1