Annual report pursuant to Section 13 and 15(d)

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

v3.20.4
FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details)
$ in Thousands
12 Months Ended
Dec. 31, 2020
USD ($)
source
Dec. 31, 2019
USD ($)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount $ 31,869,682 $ 36,159,591
Amortized Cost Basis 14,105,251 18,782,175
Real estate and other securities $ 14,244,558 19,477,728
Number of broker quotation sources | source 2  
Percentage of instruments with ranges of assumptions used available 99.00%  
Agency RMBS    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount $ 12,491,152 11,301,603
Amortized Cost Basis 12,951,608 11,474,338
Real estate and other securities 13,063,634 11,519,943
Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount 19,378,530 24,857,988
Amortized Cost Basis 1,153,643 7,307,837
Real estate and other securities 1,180,924 7,957,785
Fair Value 1,168,765  
Multiple Quotes    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 14,234,843 19,473,516
Single Quote    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 9,715 4,212
Single Quote | Seller    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 0 700
Level 2 | Agency RMBS    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 13,063,634 11,519,943
Level 2 | Multiple Quotes | Agency RMBS    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 13,063,634 11,519,943
Level 2 | Single Quote | Agency RMBS    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 0 0
Level 3 | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 1,180,924 7,957,785
Level 3 | Multiple Quotes | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 1,171,209 7,953,573
Level 3 | Single Quote | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities $ 9,715 $ 4,212
Discount Rate | Minimum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.035  
Discount Rate | Maximum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.150  
Discount Rate | Weighted Average | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.043  
Prepayment Rate | Minimum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.070  
Prepayment Rate | Maximum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.250  
Prepayment Rate | Weighted Average | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.143  
CDR | Minimum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.005  
CDR | Maximum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.120  
CDR | Weighted Average | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.014  
Loss Severity | Minimum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.200  
Loss Severity | Maximum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.880  
Loss Severity | Weighted Average | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non-Agency RMBS, Measurement Input 0.300