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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Jun. 30, 2020
Mar. 31, 2020
Dec. 31, 2019
Jun. 30, 2019
Mar. 31, 2019
Dec. 31, 2018
Assets            
Mortgage-backed securities [1] $ 77,805,743   $ 114,833,580 [2]      
Mortgage servicing rights 227,400 $ 280,558 378,078 $ 425,328 $ 500,745 $ 557,813
Assets transferred or pledged to securitization vehicles 7,690,451   7,002,460 [2]      
Interest rate swaps 0   1,199      
Liabilities            
Interest rate swaps 1,198,970   706,862      
Residential Mortgage Loans            
Assets            
Residential mortgage loans 4,001,023   4,246,161      
Fair Value, Measurements, Recurring            
Assets            
Agency mortgage-backed securities 76,761,800   112,893,367      
Credit risk transfer securities 362,901   531,322      
Mortgage servicing rights 227,400   378,078      
Assets transferred or pledged to securitization vehicles 6,815,833   6,066,082      
Interest rate swaps     1,199      
Other derivatives 165,642   112,357      
Total assets 86,183,139   123,039,083      
Liabilities            
Debt issued by securitization vehicles 6,458,130   5,622,801      
Interest rate swaps 1,198,970   706,862      
Other derivatives 58,068   97,004      
Total liabilities 7,715,168   6,426,667      
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 619,840   1,135,868      
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 61,202   273,023      
Fair Value, Measurements, Recurring | Residential Mortgage Loans            
Assets            
Residential mortgage loans 1,168,521   1,647,787      
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      
Other derivatives 0   77,889      
Total assets 0   77,889      
Liabilities            
Debt issued by securitization vehicles 0   0      
Interest rate swaps 0   0      
Other derivatives 17,579   84,781      
Total liabilities 17,579   84,781      
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            
Assets            
Residential mortgage loans 0   0      
Fair Value, Measurements, Recurring | Level 2            
Assets            
Agency mortgage-backed securities 76,761,800   112,893,367      
Credit risk transfer securities 362,901   531,322      
Mortgage servicing rights 0   0      
Assets transferred or pledged to securitization vehicles 6,815,833   6,066,082      
Interest rate swaps     1,199      
Other derivatives 165,642   34,468      
Total assets 85,955,739   122,583,116      
Liabilities            
Debt issued by securitization vehicles 6,458,130   5,622,801      
Interest rate swaps 1,198,970   706,862      
Other derivatives 40,489   12,223      
Total liabilities 7,697,589   6,341,886      
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 619,840   1,135,868      
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 61,202   273,023      
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans            
Assets            
Residential mortgage loans 1,168,521   1,647,787      
Fair Value, Measurements, Recurring | Level 3            
Assets            
Agency mortgage-backed securities 0   0      
Credit risk transfer securities 0   0      
Mortgage servicing rights 227,400   378,078      
Assets transferred or pledged to securitization vehicles 0   0      
Interest rate swaps     0      
Other derivatives 0   0      
Total assets 227,400   378,078      
Liabilities            
Debt issued by securitization vehicles 0   0      
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            
Assets            
Residential mortgage loans $ 0   $ 0      
[1] Excludes $144.2 million and $102.5 million at June 30, 2020 and December 31, 2019, respectively, of Agency mortgage-backed securities, $398.9 million and $468.0 million at June 30, 2020 and December 31, 2019, respectively, of non-Agency mortgage-backed securities and $381.3 million and $500.3 million at June 30, 2020 and December 31, 2019, 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, 2019.