FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands		Dec. 31, 2017		Sep. 30, 2017	Dec. 31, 2016	Dec. 31, 2015
Assets:
Agency mortgage-backed securities		$ 90,551,763			$ 75,589,873
Credit risk transfer securities		651,764	[1]		724,722
Mortgage servicing rights		580,860		$ 580,860	652,216	$ 0
Commercial real estate debt investments	[2]	3,089,108	[1]		4,321,739
Interest rate swaps		30,272	[1]		68,194
Other derivatives		283,613			171,266
Total assets		97,722,996			83,271,606
Liabilities:
Securitized debt of consolidated VIEs		2,971,771			3,655,802
Interest rate swaps		569,129	[1]		1,443,765
Other derivatives		38,725			86,437
Total liabilities		3,579,625			5,186,004
Residential Mortgage
Assets:
Residential mortgage loans		1,438,322			342,289
Non-Agency Mortgage-backed Securities
Assets:
Mortgage-backed securities, including pledged assets	[3]	1,097,294	[1]		1,401,307
Level 1
Assets:
Agency mortgage-backed securities		0			0
Credit risk transfer securities		0			0
Mortgage servicing rights		0			0
Commercial real estate debt investments		0			0
Interest rate swaps		0			0
Other derivatives		218,361			168,209
Total assets		218,361			168,209
Liabilities:
Securitized debt of consolidated VIEs		0			0
Interest rate swaps		0			0
Other derivatives		12,285			24,912
Total liabilities		12,285			24,912
Level 1 | Residential Mortgage
Assets:
Residential mortgage loans		0			0
Level 1 | Non-Agency Mortgage-backed Securities
Assets:
Mortgage-backed securities, including pledged assets		0			0
Level 2
Assets:
Agency mortgage-backed securities		90,551,763			75,589,873
Credit risk transfer securities		651,764			724,722
Mortgage servicing rights		0			0
Commercial real estate debt investments		3,089,108			4,321,739
Interest rate swaps		30,272			68,194
Other derivatives		65,252			3,057
Total assets		96,923,775			82,451,181
Liabilities:
Securitized debt of consolidated VIEs		2,971,771			3,655,802
Interest rate swaps		569,129			1,443,765
Other derivatives		26,440			61,525
Total liabilities		3,567,340			5,161,092
Level 2 | Residential Mortgage
Assets:
Residential mortgage loans		1,438,322			342,289
Level 2 | Non-Agency Mortgage-backed Securities
Assets:
Mortgage-backed securities, including pledged assets		1,097,294			1,401,307
Level 3
Assets:
Agency mortgage-backed securities		0			0
Credit risk transfer securities		0			0
Mortgage servicing rights		580,860			652,216
Commercial real estate debt investments		0			0
Interest rate swaps		0			0
Other derivatives		0			0
Total assets		580,860			652,216
Liabilities:
Securitized debt of consolidated VIEs		0			0
Interest rate swaps		0			0
Other derivatives		0			0
Total liabilities		0			0
Level 3 | Residential Mortgage
Assets:
Residential mortgage loans		0			0
Level 3 | Non-Agency Mortgage-backed Securities
Assets:
Mortgage-backed securities, including pledged assets		$ 0			$ 0

[1] As a result of a change to a clearing organization’s rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Balances reported prior to the effective date will not be adjusted.

[2] Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.8 billion and $3.9 billion at December 31, 2017 and 2016, respectively.

[3] Includes $66.3 million and $88.6 million at December 31, 2017 and 2016, respectively, of non-Agency mortgage-backed securities in a consolidated VIE pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.