Quarterly report pursuant to Section 13 or 15(d)

INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Schedule of Residential Mortgage Loan Transactions (Details)

v3.5.0.2
INVESTMENTS IN RESIDENTIAL MORTGAGE LOANS - Schedule of Residential Mortgage Loan Transactions (Details) - Residential Mortgage Loans [Member]
$ in Millions
Aug. 25, 2016
USD ($)
trust
May 25, 2016
USD ($)
trust
Dec. 23, 2015
USD ($)
trust
Sep. 30, 2016
USD ($)
Mar. 25, 2016
USD ($)
trust
Investment [Line Items]          
Number of Trusts Called | trust [1] 11 12 14   13
Securities Owned Prior [Member]          
Investment [Line Items]          
Face Amount [1] $ 6.2 $ 60.0 $ 61.4   $ 58.4
Amortized Cost Basis [1] 1.4 44.0 48.0   41.0
Assets Acquired [Member]          
Investment [Line Items]          
Unpaid Principal Balance [1] 312.3 290.6 309.1   167.2
Loan Price [1],[2] 319.2 298.7 315.1   173.3
REO & Other Price [1],[2] 1.7 0.6 3.1   3.1
Loans Sold [Member]          
Investment [Line Items]          
Carrying Value       $ 42.2  
Unpaid Principal Balance [1],[3] 308.0 306.9 261.3    
Gain (Loss) [1],[3] 8.1 (3.5) 2.2    
Bonds Retained [Member]          
Investment [Line Items]          
Basis [1] 45.7 40.0 36.6    
Retained Assets [Member]          
Investment [Line Items]          
Unpaid Principal Balance [1],[3] 45.6 85.9 35.8   65.0
Loan Price [1],[3] 41.1 78.2 26.6   61.8
REO & Other Price [1],[3] $ 2.3 $ 1.1 $ 2.9   $ 3.4
[1] Any related securitization may occur on the same or a subsequent date, depending on market conditions and other factors. Except as otherwise noted in (C) below, there was one securitization associated with each call.
[2] Price includes par amount paid for all underlying mortgage loans of the trusts, plus the basis of the exercised call rights, plus advances and costs incurred (including MSR Fund Payments, as defined in Note 15) in exercising such call rights.
[3] Loans were sold through a securitization which was treated as a sale for accounting purposes. Retained assets are reflected as of the date of the relevant securitization. The securitization that occurred in March 2016 primarily included loans from the December 23, 2015 call, but also included previously acquired loans. The retained assets disclosed for the December 23, 2015 call are net of the related loans sold in the March 2016 securitization. The securitization that occurred in May 2016 primarily included loans from the March 25, 2016 and May 25, 2016 calls. The retained assets disclosed for the March 25, 2016 call are net of the related loans sold in the May 2016 securitization. The securitization that occurred in September 2016 primarily included loans from the August 25, 2016 call, but also included $42.2 million of previously acquired loans.