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
9 Months Ended
Sep. 30, 2018
USD ($)
source
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Outstanding Face Amount $ 20,633,278
Amortized Cost Basis 11,170,089
Total Fair Value $ 11,650,257
Number of broker quotation sources | source 2
Percent of securities 61.80%
Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value $ 11,631,732
Single Quote  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 18,525
Single Quote | Seller  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 7,300
Agency RMBS  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Outstanding Face Amount 2,653,034
Amortized Cost Basis 2,678,375
Agency RMBS | Level 2  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 2,673,863
Agency RMBS | Level 2 | Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 2,673,863
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 17,980,244
Amortized Cost Basis 8,491,714
Fair Value 5,550,819
Non-Agency RMBS | Level 3  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 8,976,394
Non-Agency RMBS | Level 3 | Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 8,957,869
Non-Agency RMBS | Level 3 | Single Quote  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value $ 18,525
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 0.0025
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 0.3000
Maximum | Non-Agency RMBS | Prepayment Rate  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.2140
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