Quarterly report pursuant to Section 13 or 15(d)

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

v3.20.1
FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details)
$ in Thousands
3 Months Ended
Mar. 31, 2020
USD ($)
source
Dec. 31, 2019
USD ($)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount $ 20,834,705  
Amortized Cost Basis 2,547,507  
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020) $ 2,479,603 $ 19,477,728
Number of broker quotation sources | source 2  
Percent of securities 75.80%  
Multiple Quotes    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020) $ 2,458,147  
Single Quote    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020) 21,456  
Agency RMBS    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount 306,566  
Amortized Cost Basis 308,486  
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020) 318,568 11,519,943
Agency RMBS | Level 3    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020) 318,568  
Agency RMBS | Level 3 | Multiple Quotes    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020) 318,568  
Agency RMBS | Level 3 | Single Quote    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020) 0  
Non-Agency RMBS    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount 20,528,139  
Amortized Cost Basis 2,239,021  
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020) 2,161,035 $ 7,957,785
Fair Value 1,637,017  
Non-Agency RMBS | Level 3    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020) 2,161,035  
Non-Agency RMBS | Level 3 | Multiple Quotes    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020) 2,139,579  
Non-Agency RMBS | Level 3 | Single Quote    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale (amortized cost $2,591,656 and $18,782,175 at March 31, 2020 and December 31, 2019, respectively; allowance for credit losses $44,149 at March 31, 2020) $ 21,456  
Minimum | Non-Agency RMBS | Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.0158  
Minimum | Non-Agency RMBS | Prepayment Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.023  
Minimum | Non-Agency RMBS | Delinquency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0  
Minimum | Non-Agency RMBS | Loss Severity    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.129  
Maximum | Non-Agency RMBS | Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.1178  
Maximum | Non-Agency RMBS | Prepayment Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.271  
Maximum | Non-Agency RMBS | Delinquency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.030  
Maximum | Non-Agency RMBS | Loss Severity    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.856  
Weighted Average | Non-Agency RMBS | Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.051  
Weighted Average | Non-Agency RMBS | Prepayment Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.105  
Weighted Average | Non-Agency RMBS | Delinquency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.010  
Weighted Average | Non-Agency RMBS | Loss Severity    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.438