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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Mar. 31, 2022
Dec. 31, 2021
Mar. 31, 2021
Dec. 31, 2020
Assets        
Mortgage-backed securities [1] $ 60,727,637 $ 63,655,674 [2]    
Loans        
Mortgage servicing rights 1,108,937 544,562 $ 113,080 $ 100,895
Assets transferred or pledged to securitization vehicles 7,809,307 6,086,308 [2]    
Liabilities        
Participations issued 775,432 1,049,066 [2]    
Derivative liabilities        
Interest rate swaps 481,696 747,036    
Residential Mortgage Loans        
Loans        
Residential mortgage loans 8,914,467 7,768,507    
Fair Value, Measurements, Recurring        
Assets        
Agency mortgage-backed securities 57,787,141 60,525,605    
Credit risk transfer securities 845,809 936,228    
Loans        
Mortgage servicing rights 1,108,937 544,562    
Interests in MSR 85,653 69,316    
Assets transferred or pledged to securitization vehicles 7,809,307 6,086,308    
Derivative assets        
Other derivatives 964,075 170,370    
Total assets 72,345,760 72,799,282    
Liabilities        
Debt issued by securitization vehicles 6,711,953 5,155,633    
Participations issued 775,432 1,049,066    
Derivative liabilities        
Interest rate swaps 481,696 747,036    
Other derivatives 345,276 134,501    
Total liabilities 8,314,357 7,086,236    
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities        
Assets        
Mortgage-backed securities 1,737,333 1,663,336    
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities        
Assets        
Mortgage-backed securities 357,354 530,505    
Fair Value, Measurements, Recurring | Residential Mortgage Loans        
Loans        
Residential mortgage loans 1,650,151 2,272,072    
Residential mortgage loan warehouse facility   980    
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    
Interests in MSR 0 0    
Assets transferred or pledged to securitization vehicles 0 0    
Derivative assets        
Other derivatives 724,696 9,028    
Total assets 724,696 9,028    
Liabilities        
Debt issued by securitization vehicles 0 0    
Participations issued 0 0    
Derivative liabilities        
Interest rate swaps 0 0    
Other derivatives 5,850 129,134    
Total liabilities 5,850 129,134    
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    
Residential mortgage loan warehouse facility   0    
Fair Value, Measurements, Recurring | Level 2        
Assets        
Agency mortgage-backed securities 57,787,141 60,525,605    
Credit risk transfer securities 845,809 936,228    
Loans        
Mortgage servicing rights 0 0    
Interests in MSR 0 0    
Assets transferred or pledged to securitization vehicles 7,809,307 6,086,308    
Derivative assets        
Other derivatives 239,379 161,342    
Total assets 70,426,474 72,176,376    
Liabilities        
Debt issued by securitization vehicles 6,711,953 5,155,633    
Participations issued 775,432 1,049,066    
Derivative liabilities        
Interest rate swaps 481,696 747,036    
Other derivatives 339,426 5,367    
Total liabilities 8,308,507 6,957,102    
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities        
Assets        
Mortgage-backed securities 1,737,333 1,663,336    
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities        
Assets        
Mortgage-backed securities 357,354 530,505    
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans        
Loans        
Residential mortgage loans 1,650,151 2,272,072    
Residential mortgage loan warehouse facility   980    
Fair Value, Measurements, Recurring | Level 3        
Assets        
Agency mortgage-backed securities 0 0    
Credit risk transfer securities 0 0    
Loans        
Mortgage servicing rights 1,108,937 544,562    
Interests in MSR 85,653 69,316    
Assets transferred or pledged to securitization vehicles 0 0    
Derivative assets        
Other derivatives 0 0    
Total assets 1,194,590 613,878    
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    
Residential mortgage loan warehouse facility   $ 0    
[1] (3)Excludes $38.5 million and $44.2 million at March 31, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $709.0 million and $350.4 million at March 31, 2022 and December 31, 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
[2] (1)Derived from the audited consolidated financial statements at December 31, 2021.