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INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2020
Jun. 30, 2019
Jun. 30, 2020
Jun. 30, 2019
Interest income        
Residential securities $ 457,684 $ 777,891 $ 868,064 $ 1,487,665
Residential mortgage loans 42,871 35,025 90,428 65,016
Commercial investment portfolio 84,208 92,131 179,884 193,083
Reverse repurchase agreements 49 22,551 1,462 48,020
Total interest income 584,812 927,598 1,139,838 1,793,784
Interest expense        
Repurchase agreements 136,962 683,647 570,983 1,263,161
Debt issued by securitization vehicles 38,757 34,151 80,876 68,358
Other 10,313 32,419 37,646 66,393
Total interest expense 186,032 750,217 689,505 1,397,912
Net interest income $ 398,780 $ 177,381 $ 450,333 $ 395,872