Quarterly report pursuant to Section 13 or 15(d)

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

v3.19.1
FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details)
$ in Thousands
3 Months Ended
Mar. 31, 2019
USD ($)
source
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Outstanding Face Amount $ 21,825,616
Amortized Cost Basis 9,180,162
Total Fair Value $ 9,747,450
Number of broker quotation sources | source 2
Percent of securities 71.10%
Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value $ 9,724,197
Single Quote  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 23,253
Single Quote | Seller  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 900
Agency RMBS  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Outstanding Face Amount 789,841
Amortized Cost Basis 799,010
Agency RMBS | Level 2  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 810,124
Agency RMBS | Level 2 | Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 810,124
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 21,035,775
Amortized Cost Basis 8,381,152
Fair Value 6,353,978
Non-Agency RMBS | Level 3  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 8,937,326
Non-Agency RMBS | Level 3 | Multiple Quotes  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value 8,914,073
Non-Agency RMBS | Level 3 | Single Quote  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Total Fair Value $ 23,253
Minimum | Non-Agency RMBS | Discount Rate  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.0230
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 0.2807
Maximum | Non-Agency RMBS | Prepayment Rate  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Non agency RMBS, measurement input 0.2500
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