INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Interest income
Residential Securities	$ 1,718,960	$ 3,195,546	$ 2,830,521
Residential mortgage loans	170,259	150,066	83,260
Commercial investment portfolio	338,763	378,395	356,981
U.S. Treasury securities	0	0	160
Reverse repurchase agreements	1,643	63,290	61,641
Total interest income	2,229,625	3,787,297	3,332,563
Interest expense
Repurchase agreements	705,218	2,513,282	1,698,930
Debt issued by securitization vehicles	142,602	141,981	98,013
Participations issued	78	0	0
Other	51,214	129,612	100,917
Total interest expense	899,112	2,784,875	1,897,860
Net interest income	$ 1,330,513	$ 1,002,422	$ 1,434,703