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RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - USD ($)
$ in Thousands
12 Months Ended
Dec. 31, 2019
Dec. 31, 2018
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 10,844,719 $ 11,658,862
Investment Premiums 332,196 333,765
Amortized Cost Basis 11,176,915 11,992,627
Carrying Amount [1] $ 11,222,182 $ 11,965,381
Net WAC [2] 3.46% 3.39%
Average Yield [3] 2.75% 2.12%
Agency Securities [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 10,843,186 $ 11,656,451
Investment Premiums 332,177 333,743
Amortized Cost Basis 11,175,363 11,990,194
Carrying Amount [1] $ 11,220,630 $ 11,962,948
Net WAC [2] 3.46% 3.39%
Average Yield [3] 2.75% 2.12%
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | Fixed-Rate [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 83 $ 126
Amortized Cost Basis 83 126
Carrying Amount [1] $ 83 $ 126
Net WAC [2] 6.50% 6.50%
Average Yield [3] 6.02% 6.01%
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 8,628,656 $ 8,691,794
Investment Premiums 262,293 257,999
Amortized Cost Basis 8,890,949 8,949,793
Carrying Amount [1] $ 8,931,789 $ 8,931,558
Net WAC [2] 3.45% 3.42%
Average Yield [3] 2.72% 2.09%
Agency Securities [Member] | Ginnie Mae [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 2,214,447 $ 2,964,531
Investment Premiums 69,884 75,744
Amortized Cost Basis 2,284,331 3,040,275
Carrying Amount [1] $ 2,288,758 $ 3,031,264
Net WAC [2] 3.53% 3.30%
Average Yield [3] 2.85% 2.23%
Residential Mortgage Loans [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 633 $ 1,420
Investment Premiums 4 5
Amortized Cost Basis 637 1,425
Carrying Amount [1] $ 637 $ 1,425
Net WAC [2] 4.26% 5.03%
Average Yield [3] 3.63% 3.58%
Residential Mortgage Loans [Member] | Fixed-Rate [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 106 $ 552
Investment Premiums 1 1
Amortized Cost Basis 107 553
Carrying Amount [1] $ 107 $ 553
Net WAC [2] 4.84% 6.80%
Average Yield [3] 2.42% 4.24%
Residential Mortgage Loans [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 527 $ 868
Investment Premiums 3 4
Amortized Cost Basis 530 872
Carrying Amount [1] $ 530 $ 872
Net WAC [2] 4.15% 3.91%
Average Yield [3] 4.02% 3.22%
Collateral for Structured Financings [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 900 $ 991
Investment Premiums 15 17
Amortized Cost Basis 915 1,008
Carrying Amount [1] $ 915 $ 1,008
Net WAC [2] 7.99% 7.99%
Average Yield [3] 7.58% 8.55%
[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.
[3] 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.