FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Details) - USD ($) $ in Thousands		Mar. 31, 2018	Dec. 31, 2017
Financial assets:
Agency mortgage-backed securities		$ 88,579,097	$ 90,551,763
Credit risk transfer securities		628,942	651,764	[1]
Residential mortgage loans	[2]	1,535,685	1,438,322	[1]
Mortgage servicing rights		596,378	580,860	[1]
Commercial real estate debt investments	[3]	2,960,323	3,089,108	[1]
Interest rate swaps		69,109	30,272	[1]
Other derivatives		161,193	283,613
Reverse repurchase agreements		200,459	0	[1]
Financial liabilities:
Other secured financing		3,830,075	3,837,528	[1]
Securitized debt of consolidated VIEs	[4]	2,904,873	2,971,771	[1]
Interest rate swaps		427,838	569,129	[1]
Other derivatives		153,103	38,725
Level 1
Financial assets:
Agency mortgage-backed securities		0	0
Credit risk transfer securities		0	0
Commercial real estate debt investments		0	0
Interest rate swaps		0	0
Other derivatives		0	218,361
Financial liabilities:
Interest rate swaps		0	0
Other derivatives		122,436	12,285
Level 2
Financial assets:
Agency mortgage-backed securities		88,579,097	90,551,763
Credit risk transfer securities		628,942	651,764
Commercial real estate debt investments		2,960,323	3,089,108
Interest rate swaps		69,109	30,272
Other derivatives		161,193	65,252
Financial liabilities:
Interest rate swaps		427,838	569,129
Other derivatives		30,667	26,440
Level 3
Financial assets:
Agency mortgage-backed securities		0	0
Credit risk transfer securities		0	0
Commercial real estate debt investments		0	0
Interest rate swaps		0	0
Other derivatives		0	0
Financial liabilities:
Interest rate swaps		0	0
Other derivatives		0	0
Carrying Value | Level 1
Financial assets:
Cash and cash equivalents		984,275	706,589
Reverse repurchase agreements		200,459	0
Carrying Value | Level 2
Financial assets:
Agency mortgage-backed securities		88,579,097	90,551,763
Credit risk transfer securities		628,942	651,764
Non-Agency mortgage-backed securities		1,066,343	1,097,294
Residential mortgage loans		1,535,685	1,438,322
Commercial real estate debt investments		2,960,323	3,089,108
Corporate debt		1,152,745	1,011,275
Interest rate swaps		69,109	30,272
Other derivatives		161,193	283,613
Financial liabilities:
Repurchase agreements		78,015,431	77,696,343
Other secured financing		3,830,075	3,837,528
Securitized debt of consolidated VIEs		2,904,873	2,971,771
Interest rate swaps		427,838	569,129
Other derivatives		153,103	38,725
Carrying Value | Level 3
Financial assets:
Mortgage servicing rights		596,378	580,860
Commercial real estate debt and preferred equity, held for investment		1,081,295	1,029,327
Financial liabilities:
Mortgage payable		309,794	309,686
Fair Value | Level 1
Financial assets:
Cash and cash equivalents		984,275	706,589
Reverse repurchase agreements		200,459	0
Fair Value | Level 2
Financial assets:
Agency mortgage-backed securities		88,579,097	90,551,763
Credit risk transfer securities		628,942	651,764
Non-Agency mortgage-backed securities		1,066,343	1,097,294
Residential mortgage loans		1,535,685	1,438,322
Commercial real estate debt investments		2,960,323	3,089,108
Corporate debt		1,159,443	1,014,139
Interest rate swaps		69,109	30,272
Other derivatives		161,193	283,613
Financial liabilities:
Repurchase agreements		78,015,431	77,697,828
Other secured financing		3,829,693	3,837,595
Securitized debt of consolidated VIEs		2,904,873	2,971,771
Interest rate swaps		427,838	569,129
Other derivatives		153,103	38,725
Fair Value | Level 3
Financial assets:
Mortgage servicing rights		596,378	580,860
Commercial real estate debt and preferred equity, held for investment		1,086,872	1,035,095
Financial liabilities:
Mortgage payable		$ 304,179	$ 310,218

[1] Derived from the audited consolidated financial statements at December 31, 2017.

[2] Includes securitized residential mortgage loans transferred or pledged to a consolidated VIE carried at fair value of $560.2 million and $478.8 million at March 31, 2018 and December 31, 2017, respectively.

[3] Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.7 billion and $2.8 billion at March 31, 2018 and December 31, 2017, respectively.

[4] Includes securitized debt of consolidated VIEs carried at fair value of $2.9 billion and $3.0 billion at March 31, 2018 and December 31, 2017, respectively.