RESIDENTIAL MORTGAGE INVESTMENTS, Schedule of Residential Mortgage Investments (Details) - USD ($)
$ in Thousands
 9 Months Ended 12 Months Ended
Sep. 30, 2016
Dec. 31, 2015
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 12,999,862 $ 13,563,393
Investment Premiums 417,687 436,815
Amortized Cost Basis 13,417,549 14,000,208
Carrying Amount [1] $ 13,582,323 $ 14,154,737
Net WAC [2] 2.66% 2.57%
Average Yield [2] 1.46% 1.63%
Agency Securities [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 12,995,538 $ 13,557,738
Investment Premiums 417,650 436,772
Amortized Cost Basis 13,413,188 13,994,510
Carrying Amount [1] $ 13,577,962 $ 14,149,039
Net WAC [2] 2.66% 2.57%
Average Yield [2] 1.46% 1.63%
Fannie Mae/Freddie Mac [Member] | Fixed-Rate [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 416 $ 796
Investment Premiums 1 2
Amortized Cost Basis 417 798
Carrying Amount [1] $ 417 $ 799
Net WAC [2] 6.68% 6.61%
Average Yield [2] 6.50% 6.17%
Fannie Mae/Freddie Mac [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 10,030,859 $ 10,014,401
Investment Premiums 319,319 317,545
Amortized Cost Basis 10,350,178 10,331,946
Carrying Amount [1] $ 10,506,371 $ 10,487,785
Net WAC [2] 2.69% 2.55%
Average Yield [2] 1.56% 1.68%
Ginnie Mae [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 2,964,263 $ 3,542,541
Investment Premiums 98,330 119,225
Amortized Cost Basis 3,062,593 3,661,766
Carrying Amount [1] $ 3,071,174 $ 3,660,455
Net WAC [2] 2.55% 2.61%
Average Yield [2] 1.16% 1.49%
Residential Mortgage Loans [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 2,665 $ 3,805
Investment Premiums 9 12
Amortized Cost Basis 2,674 3,817
Carrying Amount [1] $ 2,674 $ 3,817
Net WAC [2] 4.63% 4.65%
Average Yield [2] 3.29% 3.71%
Residential Mortgage Loans [Member] | Fixed-Rate [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 761 $ 1,155
Investment Premiums 0 1
Amortized Cost Basis 761 1,156
Carrying Amount [1] $ 761 $ 1,156
Net WAC [2] 6.73% 6.76%
Average Yield [2] 4.09% 5.02%
Residential Mortgage Loans [Member] | ARMs [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 1,904 $ 2,650
Investment Premiums 9 11
Amortized Cost Basis 1,913 2,661
Carrying Amount [1] $ 1,913 $ 2,661
Net WAC [2] 3.80% 3.73%
Average Yield [2] 2.97% 3.15%
Collateral for Structured Financings [Member]    
Financing Receivable, Recorded Investment [Line Items]    
Unpaid Principal Balance $ 1,659 $ 1,850
Investment Premiums 28 31
Amortized Cost Basis 1,687 1,881
Carrying Amount [1] $ 1,687 $ 1,881
Net WAC [2] 8.16% 8.12%
Average Yield [2] 7.59% 7.82%
[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 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.