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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 9 Months Ended
Sep. 30, 2020
Sep. 30, 2019
Sep. 30, 2020
Sep. 30, 2019
Interest income        
Residential securities $ 439,502 $ 784,228 $ 1,307,566 $ 2,271,893
Residential mortgage loans 42,508 37,673 132,936 102,689
Commercial investment portfolio 80,324 87,946 260,208 281,029
Reverse repurchase agreements 109 9,452 1,571 57,472
Total interest income 562,443 919,299 1,702,281 2,713,083
Interest expense        
Repurchase agreements 75,386 699,838 646,369 1,962,999
Debt issued by securitization vehicles 32,491 34,524 113,367 102,882
Other 7,249 32,543 44,895 98,936
Total interest expense 115,126 766,905 804,631 2,164,817
Net interest income $ 447,317 $ 152,394 $ 897,650 $ 548,266