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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, 2023
Sep. 30, 2022
Sep. 30, 2023
Sep. 30, 2022
Interest income        
Agency securities $ 753,007 $ 517,528 $ 2,043,021 $ 1,537,614
Residential credit securities 57,229 41,388 167,451 93,547
Residential mortgage loans 181,965 109,977 491,398 275,113
Commercial investment portfolio 5,812 8,853 24,009 72,711
Reverse repurchase agreements 3,472 742 15,350 968
Total interest income 1,001,485 678,488 2,741,229 1,979,953
Interest expense        
Repurchase agreements 917,997 324,573 2,457,996 457,060
Debt issued by securitization vehicles 116,962 64,593 307,715 149,521
Participations issued 11,860 9,727 33,352 24,958
Other 0 1,598 0 14,349
Total interest expense 1,046,819 400,491 2,799,063 645,888
Net interest income $ (45,334) $ 277,997 $ (57,834) $ 1,334,065