Quarterly report pursuant to Section 13 or 15(d)

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

v3.21.2
FAIR VALUE MEASUREMENTS - Securities Valuation Methodology and Results (Details)
$ in Thousands
9 Months Ended
Sep. 30, 2021
USD ($)
source
Dec. 31, 2020
USD ($)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount $ 25,494,437  
Amortized Cost Basis 10,083,279  
Real estate and other securities $ 9,973,795 $ 14,244,558
Number of broker quotation sources | source 2  
Percent of securities 99.30%  
Multiple Quotes    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities $ 9,973,795  
Single Quote    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 0  
RMBS Designated as AFS    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount 8,879,217  
Amortized Cost Basis 9,161,405  
RMBS Designated as AFS | Level 2    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 8,982,687  
RMBS Designated as AFS | Level 2 | Multiple Quotes    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 8,982,687  
RMBS Designated as AFS | Level 2 | Single Quote    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 0  
Non-Agency RMBS    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount 16,615,220  
Amortized Cost Basis 921,874  
Fair Value 984,616  
Non-Agency RMBS | Level 3    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 991,108  
Non-Agency RMBS | Level 3 | Multiple Quotes    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities 991,108  
Non-Agency RMBS | Level 3 | Single Quote    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities $ 0  
Non-Agency RMBS | Minimum | Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.000  
Non-Agency RMBS | Minimum | Prepayment Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.000  
Non-Agency RMBS | Minimum | Delinquency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.000  
Non-Agency RMBS | Minimum | Loss Severity    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.000  
Non-Agency RMBS | Maximum | Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.150  
Non-Agency RMBS | Maximum | Prepayment Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.250  
Non-Agency RMBS | Maximum | Delinquency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.120  
Non-Agency RMBS | Maximum | Loss Severity    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 1.000  
Non-Agency RMBS | Weighted Average | Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.047  
Non-Agency RMBS | Weighted Average | Prepayment Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.101  
Non-Agency RMBS | Weighted Average | Delinquency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.008  
Non-Agency RMBS | Weighted Average | Loss Severity    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Non agency RMBS, measurement input 0.137