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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Jun. 30, 2021
Mar. 31, 2021
Dec. 31, 2020
Jun. 30, 2020
Mar. 31, 2020
Dec. 31, 2019
Assets            
Mortgage-backed securities [1] $ 69,032,335   $ 75,652,396 [2]      
Loans            
Mortgage servicing rights 202,616 $ 113,080 100,895 $ 227,400 $ 280,558 $ 378,078
Assets transferred or pledged to securitization vehicles 4,073,156   6,910,020 [2]      
Liabilities            
Participations issued 315,810   39,198 [2]      
Derivative liabilities            
Interest rate swaps 806,952   1,006,492      
Residential Mortgage Loans            
Loans            
Residential mortgage loans 4,497,922   3,595,061      
Fair Value, Measurements, Recurring            
Assets            
Agency mortgage-backed securities 66,468,519   74,067,059      
Credit risk transfer securities 827,328   532,403      
Loans            
Mortgage servicing rights 202,616   100,895      
Interests in MSR 49,035          
Assets transferred or pledged to securitization vehicles 4,073,156   6,035,671      
Derivative assets            
Other derivatives 181,889   171,134      
Total assets 74,568,959   82,305,906      
Liabilities            
Debt issued by securitization vehicles 3,315,087   5,652,982      
Participations issued 315,810   39,198      
Derivative liabilities            
Interest rate swaps 806,952   1,006,492      
Other derivatives 93,307   26,853      
Total liabilities 4,531,156   6,725,525      
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 1,582,323   972,192      
Fair Value, Measurements, Recurring | Commercial Mortgage Backed Securities            
Assets            
Mortgage-backed securities 154,165   80,742      
Fair Value, Measurements, Recurring | Residential Mortgage Loans            
Loans            
Residential mortgage loans 1,029,928   345,810      
Fair Value, Measurements, Recurring | Level 1            
Assets            
Agency mortgage-backed securities 0   0      
Credit risk transfer securities 0   0      
Loans            
Mortgage servicing rights 0   0      
Interests in MSR 0          
Assets transferred or pledged to securitization vehicles 0   0      
Derivative assets            
Other derivatives 8,141   506      
Total assets 8,141   506      
Liabilities            
Debt issued by securitization vehicles 0   0      
Participations issued 0   0      
Derivative liabilities            
Interest rate swaps 0   0      
Other derivatives 87,814   19,413      
Total liabilities 87,814   19,413      
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            
Loans            
Residential mortgage loans 0   0      
Fair Value, Measurements, Recurring | Level 2            
Assets            
Agency mortgage-backed securities 66,468,519   74,067,059      
Credit risk transfer securities 827,328   532,403      
Loans            
Mortgage servicing rights 0   0      
Interests in MSR 0          
Assets transferred or pledged to securitization vehicles 4,073,156   6,035,671      
Derivative assets            
Other derivatives 173,748   170,628      
Total assets 74,309,167   82,204,505      
Liabilities            
Debt issued by securitization vehicles 3,315,087   5,652,982      
Participations issued 315,810   39,198      
Derivative liabilities            
Interest rate swaps 806,952   1,006,492      
Other derivatives 5,493   7,440      
Total liabilities 4,443,342   6,706,112      
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 1,582,323   972,192      
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage Backed Securities            
Assets            
Mortgage-backed securities 154,165   80,742      
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans            
Loans            
Residential mortgage loans 1,029,928   345,810      
Fair Value, Measurements, Recurring | Level 3            
Assets            
Agency mortgage-backed securities 0   0      
Credit risk transfer securities 0   0      
Loans            
Mortgage servicing rights 202,616   100,895      
Interests in MSR 49,035          
Assets transferred or pledged to securitization vehicles 0   0      
Derivative assets            
Other derivatives 0   0      
Total assets 251,651   100,895      
Liabilities            
Debt issued by securitization vehicles 0   0      
Participations issued 0   0      
Derivative liabilities            
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            
Loans            
Residential mortgage loans $ 0   $ 0      
[1] Excludes $48.4 million and $81.5 million at June 30, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $191.8 million and $576.6 million at June 30, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at June 30, 2021 and December 31, 2020, 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, 2020.