Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES - Schedule of Derivatives - Notional Amount (Details)

v3.5.0.2
DERIVATIVES - Schedule of Derivatives - Notional Amount (Details) - Not Designated as Hedging Instrument [Member] - USD ($)
9 Months Ended
Sep. 30, 2016
Dec. 31, 2015
TBAs [Member] | Short [Member]    
Derivative [Line Items]    
Derivative liability, notional amount [1] $ 2,645,300,000 $ 1,450,000,000
TBAs [Member] | Long [Member]    
Derivative [Line Items]    
Derivative liability, notional amount [1] 1,441,000,000 750,000,000
Interest Rate Caps [Member]    
Derivative [Line Items]    
Derivative asset, notional amount [2] $ 2,435,000,000 3,400,000,000
Weighted average maturity (in months) 12 months  
Interest Rate Swap [Member]    
Derivative [Line Items]    
Derivative liability, notional amount [3] $ 2,044,000,000 $ 2,444,000,000
Weighted average maturity (in months) 19 months  
Weighted average fixed pay rate 1.28%  
Interest Rate Cap, Contract One [Member]    
Derivative [Line Items]    
Derivative, cap interest rate 0.50%  
Notional amount of derivatives $ 950,000,000  
Interest Rate Cap, Contract Two [Member]    
Derivative [Line Items]    
Derivative, cap interest rate 0.75%  
Notional amount of derivatives $ 1,150,000,000  
Interest Rate Cap, Contract Three [Member]    
Derivative [Line Items]    
Derivative, cap interest rate 2.00%  
Notional amount of derivatives $ 185,000,000  
Interest Rate Cap, Contract Four [Member]    
Derivative [Line Items]    
Derivative, cap interest rate 4.00%  
Notional amount of derivatives $ 150,000,000  
[1] Represents the notional amount of Agency RMBS, classified as derivatives.
[2] Caps LIBOR at 0.50% for $950.0 million of notional, at 0.75% for $1,150.0 million of notional, at 2.00% for $185.0 million of notional, and at 4.00% for $150.0 million of notional. The weighted average maturity of the interest rate caps as of September 30, 2016 was 12 months.
[3] Receive LIBOR and pay a fixed rate. The weighted average maturity of the interest rate swaps as of September 30, 2016 was 19 months and the weighted average fixed pay rate was 1.28%.