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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Mar. 31, 2021
Dec. 31, 2020
Mar. 31, 2020
Dec. 31, 2019
Assets        
Mortgage-backed securities [1] $ 71,849,437 $ 75,652,396 [2]    
Loans        
Mortgage servicing rights 113,080 100,895 $ 280,558 $ 378,078
Assets transferred or pledged to securitization vehicles 3,768,922 6,910,020 [2]    
Liabilities        
Participations issued 180,527 39,198 [2]    
Derivative liabilities        
Interest rate swaps 672,637 1,006,492    
Residential Mortgage Loans        
Loans        
Residential mortgage loans 3,699,672 3,595,061    
Fair Value, Measurements, Recurring        
Assets        
Agency mortgage-backed securities 69,637,229 74,067,059    
Credit risk transfer securities 930,983 532,403    
Loans        
Mortgage servicing rights 113,080 100,895    
Assets transferred or pledged to securitization vehicles 3,768,922 6,035,671    
Derivative assets        
Other derivatives 891,474 171,134    
Total assets 77,151,781 82,305,906    
Liabilities        
Debt issued by securitization vehicles 3,044,725 5,652,982    
Participations issued 180,527 39,198    
Derivative liabilities        
Interest rate swaps 672,637 1,006,492    
Other derivatives 266,985 26,853    
Total liabilities 4,164,874 6,725,525    
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities        
Assets        
Mortgage-backed securities 1,277,104 972,192    
Fair Value, Measurements, Recurring | Commercial Mortgage Backed Securities        
Assets        
Mortgage-backed securities 4,121 80,742    
Fair Value, Measurements, Recurring | Residential Mortgage Loans        
Loans        
Residential mortgage loans 528,868 345,810    
Fair Value, Measurements, Recurring | Level 1        
Assets        
Agency mortgage-backed securities 0 0    
Credit risk transfer securities 0 0    
Loans        
Mortgage servicing rights 0 0    
Assets transferred or pledged to securitization vehicles 0 0    
Derivative assets        
Other derivatives 498,226 506    
Total assets 498,226 506    
Liabilities        
Debt issued by securitization vehicles 0 0    
Participations issued 0 0    
Derivative liabilities        
Interest rate swaps 0 0    
Other derivatives 0 19,413    
Total liabilities 0 19,413    
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-Backed Securities        
Assets        
Mortgage-backed securities 0 0    
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage Backed Securities        
Assets        
Mortgage-backed securities 0 0    
Fair Value, Measurements, Recurring | Level 1 | Residential Mortgage Loans        
Loans        
Residential mortgage loans 0 0    
Fair Value, Measurements, Recurring | Level 2        
Assets        
Agency mortgage-backed securities 69,637,229 74,067,059    
Credit risk transfer securities 930,983 532,403    
Loans        
Mortgage servicing rights 0 0    
Assets transferred or pledged to securitization vehicles 3,768,922 6,035,671    
Derivative assets        
Other derivatives 393,248 170,628    
Total assets 76,540,475 82,204,505    
Liabilities        
Debt issued by securitization vehicles 3,044,725 5,652,982    
Participations issued 180,527 39,198    
Derivative liabilities        
Interest rate swaps 672,637 1,006,492    
Other derivatives 266,985 7,440    
Total liabilities 4,164,874 6,706,112    
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities        
Assets        
Mortgage-backed securities 1,277,104 972,192    
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage Backed Securities        
Assets        
Mortgage-backed securities 4,121 80,742    
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans        
Loans        
Residential mortgage loans 528,868 345,810    
Fair Value, Measurements, Recurring | Level 3        
Assets        
Agency mortgage-backed securities 0 0    
Credit risk transfer securities 0 0    
Loans        
Mortgage servicing rights 113,080 100,895    
Assets transferred or pledged to securitization vehicles 0 0    
Derivative assets        
Other derivatives 0 0    
Total assets 113,080 100,895    
Liabilities        
Debt issued by securitization vehicles 0 0    
Participations issued 0 0    
Derivative liabilities        
Interest rate swaps 0 0    
Other derivatives 0 0    
Total liabilities 0 0    
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-Backed Securities        
Assets        
Mortgage-backed securities 0 0    
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage Backed Securities        
Assets        
Mortgage-backed securities 0 0    
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage Loans        
Loans        
Residential mortgage loans $ 0 $ 0    
[1] Excludes $78.3 million and $81.5 million at March 31, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $357.6 million and $576.6 million at March 31, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at March 31, 2021 and December 31, 2020, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
[2] Derived from the audited consolidated financial statements at December 31, 2020.