Quarterly report pursuant to Section 13 or 15(d)

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

v3.10.0.1
FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details)
$ in Thousands
6 Months Ended
Jun. 30, 2018
USD ($)
source
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Outstanding Face Amount $ 16,753,696
Amortized Cost Basis 7,619,444
Total Fair Value $ 8,084,927
Number of broker quotation sources | source 2
Percent of securities 80.20%
Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value $ 8,078,893
Single Quote  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 6,034
Single Quote | Seller  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 6,000
Agency RMBS  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Outstanding Face Amount 1,205,334
Amortized Cost Basis 1,231,112
Agency RMBS | Level 2  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 1,231,519
Agency RMBS | Level 2 | Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 1,231,519
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 15,548,362
Amortized Cost Basis 6,388,332
Fair Value 5,496,584
Non-Agency RMBS | Level 3  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 6,853,408
Non-Agency RMBS | Level 3 | Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 6,847,374
Non-Agency RMBS | Level 3 | Single Quote  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value $ 6,034
Minimum | Non-Agency RMBS | Discount Rate  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.0266
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 0.0015
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 0.3000
Maximum | Non-Agency RMBS | Prepayment Rate  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.2000
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