RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2016	Dec. 31, 2015
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance		$ 12,805,510	$ 13,563,393
Investment Premiums		405,137	436,815
Amortized Cost Basis		13,210,647	14,000,208
Carrying Amount	[1]	$ 13,316,282	$ 14,154,737
Net WAC	[2]	2.69%	2.57%
Average Yield	[2]	1.56%	1.55%
Agency Securities [Member]
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance		$ 12,801,306	$ 13,557,738
Investment Premiums		405,100	436,772
Amortized Cost Basis		13,206,406	13,994,510
Carrying Amount	[1]	$ 13,312,041	$ 14,149,039
Net WAC	[2]	2.69%	2.57%
Average Yield	[2]	1.56%	1.55%
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | Fixed-Rate [Member]
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance		$ 385	$ 796
Investment Premiums		1	2
Amortized Cost Basis		386	798
Carrying Amount	[1]	$ 386	$ 799
Net WAC	[2]	6.65%	6.61%
Average Yield	[2]	6.07%	6.11%
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | ARMs [Member]
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance		$ 10,057,761	$ 10,014,401
Investment Premiums		314,799	317,545
Amortized Cost Basis		10,372,560	10,331,946
Carrying Amount	[1]	$ 10,483,367	$ 10,487,785
Net WAC	[2]	2.74%	2.55%
Average Yield	[2]	1.64%	1.63%
Agency Securities [Member] | Ginnie Mae [Member] | ARMs [Member]
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance		$ 2,743,160	$ 3,542,541
Investment Premiums		90,300	119,225
Amortized Cost Basis		2,833,460	3,661,766
Carrying Amount	[1]	$ 2,828,288	$ 3,660,455
Net WAC	[2]	2.51%	2.61%
Average Yield	[2]	1.29%	1.30%
Residential Mortgage Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance		$ 2,574	$ 3,805
Investment Premiums		10	12
Amortized Cost Basis		2,584	3,817
Carrying Amount	[1]	$ 2,584	$ 3,817
Net WAC	[2]	4.63%	4.65%
Average Yield	[2]	3.24%	3.83%
Residential Mortgage Loans [Member] | Fixed-Rate [Member]
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance		$ 735	$ 1,155
Investment Premiums		1	1
Amortized Cost Basis		736	1,156
Carrying Amount	[1]	$ 736	$ 1,156
Net WAC	[2]	6.72%	6.76%
Average Yield	[2]	3.87%	5.12%
Residential Mortgage Loans [Member] | ARMs [Member]
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance		$ 1,839	$ 2,650
Investment Premiums		9	11
Amortized Cost Basis		1,848	2,661
Carrying Amount	[1]	$ 1,848	$ 2,661
Net WAC	[2]	3.80%	3.73%
Average Yield	[2]	3.00%	3.20%
Collateral for Structured Financings [Member]
Financing Receivable, Recorded Investment [Line Items]
Unpaid Principal Balance		$ 1,630	$ 1,850
Investment Premiums		27	31
Amortized Cost Basis		1,657	1,881
Carrying Amount	[1]	$ 1,657	$ 1,881
Net WAC	[2]	7.98%	8.12%
Average Yield	[2]	7.78%	7.81%

[1] Includes unrealized gains and losses for residential mortgage investments classified as available-for-sale.

[2] Net WAC, or weighted average coupon, is the weighted average interest rate of the mortgage loans underlying the indicated investments net of servicing and other fees as of the indicated balance sheet date. Net WAC is expressed as a percentage calculated on an annualized basis on the unpaid principal balances of the mortgage loans underlying these investments. Average yield is presented for the year then ended, and is based on the cash component of interest income expressed as a percentage calculated on an annualized basis on average amortized cost basis (the “cash yield”) less the effects of amortizing investment premiums. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments.