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FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details)
$ in Thousands
3 Months Ended
Mar. 31, 2018
USD ($)
source
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Outstanding Face Amount $ 14,778,190
Amortized Cost Basis 7,164,388
Total Fair Value $ 7,585,323
Number of broker quotation sources | source 2
Percent of securities 81.80%
Multiple Quotes  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value $ 7,578,235
Single Quote  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 7,088
Single Quote | Seller  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 6,700
Agency RMBS  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Outstanding Face Amount 1,221,259
Amortized Cost Basis 1,217,176
Agency RMBS | Level 2  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 1,214,115
Agency RMBS | Level 2 | Multiple Quotes  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 1,214,115
Agency RMBS | Level 2 | Single Quote  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 0
Non-Agency RMBS  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Outstanding Face Amount 13,556,931
Amortized Cost Basis 5,947,212
Fair Value 5,210,885
Non-Agency RMBS | Level 3  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 6,371,208
Non-Agency RMBS | Level 3 | Multiple Quotes  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value 6,364,120
Non-Agency RMBS | Level 3 | Single Quote  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Total Fair Value $ 7,088
Minimum | Non-Agency RMBS  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Discount Rate 2.66%
Prepayment Speed 0.25%
Delinquency 0.15%
Loss Severity 5.00%
Maximum | Non-Agency RMBS  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]  
Discount Rate 28.00%
Prepayment Speed 22.00%
Delinquency 9.00%
Loss Severity 100.00%