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INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($)
$ in Thousands
 12 Months Ended
Dec. 31, 2021
Dec. 31, 2020
Dec. 31, 2019
Interest income      
Agency Securities $ 1,484,354 $ 1,661,566 $ 3,105,035
Residential credit securities 78,681 57,394 90,511
Residential mortgage loans 182,359 170,259 150,066
Commercial investment portfolio 237,597 338,763 378,395
Reverse repurchase agreements 45 1,643 63,290
Total interest income 1,983,036 2,229,625 3,787,297
Interest expense      
Repurchase agreements 116,974 705,218 2,513,282
Debt issued by securitization vehicles 93,006 142,602 141,981
Participations issued 12,071 78 0
Other 27,192 51,214 129,612
Total interest expense 249,243 899,112 2,784,875
Net interest income $ 1,733,793 $ 1,330,513 $ 1,002,422