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FINANCIAL INSTRUMENTS - Summary of Characteristics of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021
--- | --- | ---
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | $ 73,637,249 | $ 76,764,064 | [1]
Liabilities | 62,547,349 | 63,568,739 | [1]
Total securities |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 59,042,734 | 63,655,674 |
Agency mortgage-backed securities, recognized through comprehensive income |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 55,059,932 | 59,939,383 |
Agency mortgage-backed securities, recognized through earnings |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 533,404 | 586,222 |
Residential credit risk transfer securities |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 965,714 | 936,228 |
Non-agency mortgage-backed securities |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 2,026,658 | 1,663,336 |
Commercial real estate debt investments - CMBS |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 439,301 | 521,440 |
Commercial real estate debt investments - credit risk transfer securities |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 17,725 | 9,065 |
Total loans, net |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 1,487,133 | 4,242,043 |
Residential mortgage loans |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 1,486,811 | 2,272,072 |
Residential mortgage loan warehouse facility |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 322 | 980 |
Corporate debt, held for investment |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 0 | 1,968,991 |
Total assets transferred or pledged to securitization vehicles |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 8,877,247 | 6,086,308 |
Interest in net servicing cash flows |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 83,622 | 69,316 |
Agency mortgage-backed securities |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 458,268 | 589,873 |
Residential mortgage loans |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Assets | 8,418,979 | 5,496,435 |
Repurchase agreements |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Liabilities | 51,364,097 | 54,769,643 |
Other secured financing |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Liabilities | 0 | 903,255 |
Debt issued by securitization vehicles |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Liabilities | 7,502,483 | 5,155,633 |
Participations issued |  |  |
SEC Schedule, 12-15, Insurance Companies, Summary of Investments, Other than Investments in Related Parties [Line Items] |  |  |
Liabilities | $ 696,944 | $ 1,049,066 |
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2021.

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