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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Sep. 30, 2022
Jun. 30, 2022
Dec. 31, 2021
Sep. 30, 2021
Jun. 30, 2021
Dec. 31, 2020
Assets            
Mortgage-backed securities [1] $ 66,839,353   $ 63,655,674 [2]      
Loans            
Mortgage servicing rights 1,705,254 $ 1,421,420 544,562 $ 572,259 $ 202,616 $ 100,895
Derivative assets            
Derivative assets 1,949,530   170,370 [2]      
Liabilities            
Participations issued 745,729   1,049,066 [2]      
Derivative liabilities            
Interest rate swaps 108,071   747,036      
Residential Mortgage Loans            
Loans            
Residential mortgage loans 10,322,263   7,768,507      
Fair Value, Measurements, Recurring            
Assets            
Agency mortgage-backed securities 63,037,241   60,525,605      
Credit risk transfer securities 1,056,906   936,228      
Loans            
Mortgage servicing rights 1,705,254   544,562      
Interests in MSR     69,316      
Assets transferred or pledged to securitization vehicles     6,086,308      
Derivative assets            
Other derivatives 1,912,669   170,370      
Total assets 81,247,858   72,799,282      
Liabilities            
Debt issued by securitization vehicles 7,844,518   5,155,633      
Participations issued 745,729   1,049,066      
Derivative liabilities            
Interest rate swaps 108,071   747,036      
Other derivatives 656,464   134,501      
Total liabilities 9,354,782   7,086,236      
Fair Value, Measurements, Recurring | Asset Transferred or Pledged            
Loans            
Assets transferred or pledged to securitization vehicles 9,202,014          
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 2,156,706   1,663,336      
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 588,500   530,505      
Fair Value, Measurements, Recurring | Residential Mortgage Loans            
Loans            
Residential mortgage loans 1,551,637   2,272,072      
Residential mortgage loan warehouse facility 70   980      
Fair Value, Measurements, Recurring | Interest rate swaps            
Derivative assets            
Derivative assets 36,861          
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      
Derivative assets            
Other derivatives 1,539,298   9,028      
Total assets 1,539,298   9,028      
Liabilities            
Debt issued by securitization vehicles 0   0      
Participations issued 0   0      
Derivative liabilities            
Interest rate swaps 0   0      
Other derivatives 2,946   129,134      
Total liabilities 2,946   129,134      
Fair Value, Measurements, Recurring | Level 1 | Asset Transferred or Pledged            
Loans            
Assets transferred or pledged to securitization vehicles 0   0      
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      
Residential mortgage loan warehouse facility 0   0      
Fair Value, Measurements, Recurring | Level 1 | Interest rate swaps            
Derivative assets            
Derivative assets 0          
Fair Value, Measurements, Recurring | Level 2            
Assets            
Agency mortgage-backed securities 63,037,241   60,525,605      
Credit risk transfer securities 1,056,906   936,228      
Loans            
Mortgage servicing rights 0   0      
Interests in MSR     0      
Assets transferred or pledged to securitization vehicles     6,086,308      
Derivative assets            
Other derivatives 373,371   161,342      
Total assets 78,003,306   72,176,376      
Liabilities            
Debt issued by securitization vehicles 7,844,518   5,155,633      
Participations issued 745,729   1,049,066      
Derivative liabilities            
Interest rate swaps 108,071   747,036      
Other derivatives 653,518   5,367      
Total liabilities 9,351,836   6,957,102      
Fair Value, Measurements, Recurring | Level 2 | Asset Transferred or Pledged            
Loans            
Assets transferred or pledged to securitization vehicles 9,202,014          
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 2,156,706   1,663,336      
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 588,500   530,505      
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans            
Loans            
Residential mortgage loans 1,551,637   2,272,072      
Residential mortgage loan warehouse facility 70   980      
Fair Value, Measurements, Recurring | Level 2 | Interest rate swaps            
Derivative assets            
Derivative assets 36,861          
Fair Value, Measurements, Recurring | Level 3            
Assets            
Agency mortgage-backed securities 0   0      
Credit risk transfer securities 0   0      
Loans            
Mortgage servicing rights 1,705,254   544,562      
Interests in MSR     69,316      
Assets transferred or pledged to securitization vehicles     0      
Derivative assets            
Other derivatives 0   0      
Total assets 1,705,254   613,878      
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 | Asset Transferred or Pledged            
Loans            
Assets transferred or pledged to securitization vehicles 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      
Residential mortgage loan warehouse facility 0   $ 0      
Fair Value, Measurements, Recurring | Level 3 | Interest rate swaps            
Derivative assets            
Derivative assets $ 0          
[1] (3)Excludes $27.3 million and $44.2 million at September 30, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $1.0 billion and $350.4 million at September 30, 2022 and December 31, 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
[2] (1)Derived from the audited consolidated financial statements at December 31, 2021.