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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Mar. 31, 2019
Dec. 31, 2018
Mar. 31, 2018
Dec. 31, 2017
Assets        
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) [1] $ 104,993,271 $ 92,623,788 [2]    
Mortgage servicing rights 500,745 557,813 $ 596,378 $ 580,860
Assets transferred or pledged to securitization vehicles 4,365,300 3,833,200 [2]    
Interest rate swaps 26,020 48,114    
Liabilities        
Interest rate swaps 509,485 420,365    
Residential Mortgage        
Assets        
Residential mortgage loans 2,737,388 2,454,637    
Level 1        
Liabilities        
Securitized debt of consolidated VIEs   0    
Level 2        
Liabilities        
Securitized debt of consolidated VIEs   3,347,062    
Level 3        
Liabilities        
Securitized debt of consolidated VIEs   0    
Fair Value, Measurements, Recurring        
Assets        
Agency mortgage-backed securities 103,093,526 90,752,995    
Credit risk transfer securities 607,945 552,097    
Mortgage servicing rights 500,745 557,813    
Assets transferred or pledged to securitization vehicles 4,365,300 3,833,200    
Interest rate swaps 26,020 48,114    
Other derivatives 122,158 152,389    
Total assets 111,319,214 98,575,110    
Liabilities        
Securitized debt of consolidated VIEs 3,693,766 3,347,062    
Interest rate swaps 509,485 420,365    
Other derivatives 266,495 469,385    
Total liabilities 4,469,746 4,236,812    
Fair Value, Measurements, Recurring | Commercial Securities        
Assets        
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) 175,231 156,758    
Fair Value, Measurements, Recurring | Residential Mortgage        
Assets        
Residential mortgage loans 1,311,720 1,359,806    
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities        
Assets        
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) 1,116,569 1,161,938    
Fair Value, Measurements, Recurring | Level 1        
Assets        
Agency mortgage-backed securities 0 0    
Credit risk transfer securities 0 0    
Mortgage servicing rights 0 0    
Assets transferred or pledged to securitization vehicles 0 0    
Interest rate swaps 0 0    
Other derivatives 357 0    
Total assets 357 0    
Liabilities        
Securitized debt of consolidated VIEs 0      
Interest rate swaps 0 0    
Other derivatives 260,354 462,309    
Total liabilities 260,354 462,309    
Fair Value, Measurements, Recurring | Level 1 | Commercial Securities        
Assets        
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) 0 0    
Fair Value, Measurements, Recurring | Level 1 | Residential Mortgage        
Assets        
Residential mortgage loans 0 0    
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-backed Securities        
Assets        
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) 0 0    
Fair Value, Measurements, Recurring | Level 2        
Assets        
Agency mortgage-backed securities 103,093,526 90,752,995    
Credit risk transfer securities 607,945 552,097    
Mortgage servicing rights 0 0    
Assets transferred or pledged to securitization vehicles 4,365,300 3,833,200    
Interest rate swaps 26,020 48,114    
Other derivatives 121,801 152,389    
Total assets 110,818,112 98,017,297    
Liabilities        
Securitized debt of consolidated VIEs 3,693,766      
Interest rate swaps 509,485 420,365    
Other derivatives 6,141 7,076    
Total liabilities 4,209,392 3,774,503    
Fair Value, Measurements, Recurring | Level 2 | Commercial Securities        
Assets        
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) 175,231 156,758    
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage        
Assets        
Residential mortgage loans 1,311,720 1,359,806    
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities        
Assets        
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) 1,116,569 1,161,938    
Fair Value, Measurements, Recurring | Level 3        
Assets        
Agency mortgage-backed securities 0 0    
Credit risk transfer securities 0 0    
Mortgage servicing rights 500,745 557,813    
Assets transferred or pledged to securitization vehicles 0 0    
Interest rate swaps 0 0    
Other derivatives 0 0    
Total assets 500,745 557,813    
Liabilities        
Securitized debt of consolidated VIEs 0      
Interest rate swaps 0 0    
Other derivatives 0 0    
Total liabilities 0 0    
Fair Value, Measurements, Recurring | Level 3 | Commercial Securities        
Assets        
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) 0 0    
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage        
Assets        
Residential mortgage loans 0 0    
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-backed Securities        
Assets        
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) $ 0 $ 0    
[1] (3) Excludes $273.4 million and $83.6 million at March 31, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $246.6 million and $224.3 million at March 31, 2019 and December 31, 2018, respectively, of commercial 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, 2018.