INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2022	Mar. 31, 2021
Interest income
Agency Securities	$ 522,951	$ 627,654
Residential credit securities	22,122	16,980
Residential mortgage loans	73,488	37,109
Commercial investment portfolio	37,283	81,601
Reverse repurchase agreements	6	34
Total interest income	655,850	763,378
Interest expense
Repurchase agreements	26,879	42,585
Debt issued by securitization vehicles	34,625	26,276
Participations issued	5,852	597
Other	7,566	6,515
Total interest expense	74,922	75,973
Net interest income	$ 580,928	$ 687,405