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RESIDENTIAL MORTGAGE INVESTMENTS - Schedule of Residential Mortgage Investments (Details) - Agency Securities [Member] - USD ($)
$ in Thousands
3 Months Ended 12 Months Ended
Mar. 31, 2021
Dec. 31, 2020
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 7,076,209 $ 7,582,376
Investment Premiums 266,134 270,625
Amortized Cost Basis 7,342,343 7,853,001
Carrying Amount [1] $ 7,405,411 $ 7,937,552
Net WAC [2] 2.61% 2.73%
Average Yield [3] 1.38% 1.55%
Fannie Mae/Freddie Mac [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 6,538,592 $ 6,982,650
Investment Premiums 250,015 252,921
Amortized Cost Basis 6,788,607 7,235,571
Carrying Amount [1] $ 6,843,364 $ 7,310,089
Net WAC [2] 2.56% 2.67%
Average Yield [3] 1.40% 1.51%
Ginnie Mae [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 537,617 $ 599,726
Investment Premiums 16,119 17,704
Amortized Cost Basis 553,736 617,430
Carrying Amount [1] $ 562,047 $ 627,463
Net WAC [2] 3.25% 3.39%
Average Yield [3] 1.16% 2.05%
[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.