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RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - USD ($)
$ in Thousands
9 Months Ended 12 Months Ended
Sep. 30, 2020
Dec. 31, 2019
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 7,911,280 $ 10,844,719
Investment Premiums 264,772 332,196
Amortized Cost Basis 8,176,052 11,176,915
Carrying Amount [1] $ 8,274,509 $ 11,222,182
Net WAC [2] 2.91% 3.46%
Average Yield [3] 1.85% 2.67%
Agency Securities [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 7,909,977 $ 10,843,186
Investment Premiums 264,755 332,177
Amortized Cost Basis 8,174,732 11,175,363
Carrying Amount [1] $ 8,273,189 $ 11,220,630
Net WAC [2] 2.91% 3.46%
Average Yield [3] 1.85% 2.67%
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | Fixed-Rate [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 56 $ 83
Amortized Cost Basis 56 83
Carrying Amount [1] $ 56 $ 83
Net WAC [2] 6.50% 6.50%
Average Yield [3] 6.26% 6.34%
Agency Securities [Member] | Fannie Mae/Freddie Mac [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 7,209,369 $ 8,628,656
Investment Premiums 245,134 262,293
Amortized Cost Basis 7,454,503 8,890,949
Carrying Amount [1] $ 7,540,104 $ 8,931,789
Net WAC [2] 2.86% 3.45%
Average Yield [3] 1.82% 2.66%
Agency Securities [Member] | Ginnie Mae [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 700,552 $ 2,214,447
Investment Premiums 19,621 69,884
Amortized Cost Basis 720,173 2,284,331
Carrying Amount [1] $ 733,029 $ 2,288,758
Net WAC [2] 3.48% 3.53%
Average Yield [3] 2.14% 2.71%
Residential Mortgage Loans [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 484 $ 633
Investment Premiums 3 4
Amortized Cost Basis 487 637
Carrying Amount [1] $ 487 $ 637
Net WAC [2] 4.28% 4.26%
Average Yield [3] 3.92% 2.94%
Residential Mortgage Loans [Member] | Fixed-Rate [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 89 $ 106
Investment Premiums   1
Amortized Cost Basis 89 107
Carrying Amount [1] $ 89 $ 107
Net WAC [2] 4.84% 4.84%
Average Yield [3] 5.08% 2.07%
Residential Mortgage Loans [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 395 $ 527
Investment Premiums 3 3
Amortized Cost Basis 398 530
Carrying Amount [1] $ 398 $ 530
Net WAC [2] 4.16% 4.15%
Average Yield [3] 3.68% 3.11%
Collateral for Structured Financings [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 819 $ 900
Investment Premiums 14 15
Amortized Cost Basis 833 915
Carrying Amount [1] $ 833 $ 915
Net WAC [2] 7.94% 7.99%
Average Yield [3] 7.50% 7.51%
[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 quarter 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.