FAIR VALUE MEASUREMENTS - Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands		Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2017		Jun. 30, 2017	Mar. 31, 2017	Dec. 31, 2016
Assets:
Agency mortgage-backed securities		$ 86,593,058		$ 90,551,763
Credit risk transfer securities		563,796		651,764	[1]
Mortgage servicing rights		599,014	$ 596,378	580,860		$ 605,653	$ 632,166	$ 652,216
Commercial real estate debt investments	[2]	2,857,463		3,089,108	[1]
Interest rate swaps		82,458		30,272	[1]
Other derivatives		129,680		283,613
Total assets		93,498,411		97,722,996
Liabilities:
Securitized debt of consolidated VIEs		2,728,692		2,971,771
Interest rate swaps		376,106		569,129	[1]
Other derivatives		117,931		38,725
Total liabilities		3,222,729		3,579,625
Residential Mortgage
Assets:
Residential mortgage loans		1,666,157		1,438,322
Non-Agency Mortgage-backed Securities
Assets:
Non-Agency mortgage-backed securities	[3]	1,006,785		1,097,294	[1]
Level 1
Assets:
Agency mortgage-backed securities		0		0
Credit risk transfer securities		0		0
Mortgage servicing rights		0		0
Commercial real estate debt investments		0		0
Interest rate swaps		0		0
Other derivatives		4,857		218,361
Total assets		4,857		218,361
Liabilities:
Securitized debt of consolidated VIEs		0		0
Interest rate swaps		0		0
Other derivatives		111,610		12,285
Total liabilities		111,610		12,285
Level 1 | Residential Mortgage
Assets:
Residential mortgage loans		0		0
Level 1 | Non-Agency Mortgage-backed Securities
Assets:
Non-Agency mortgage-backed securities		0		0
Level 2
Assets:
Agency mortgage-backed securities		86,593,058		90,551,763
Credit risk transfer securities		563,796		651,764
Mortgage servicing rights		0		0
Commercial real estate debt investments		2,857,463		3,089,108
Interest rate swaps		82,458		30,272
Other derivatives		124,823		65,252
Total assets		92,894,540		96,923,775
Liabilities:
Securitized debt of consolidated VIEs		2,728,692		2,971,771
Interest rate swaps		376,106		569,129
Other derivatives		6,321		26,440
Total liabilities		3,111,119		3,567,340
Level 2 | Residential Mortgage
Assets:
Residential mortgage loans		1,666,157		1,438,322
Level 2 | Non-Agency Mortgage-backed Securities
Assets:
Non-Agency mortgage-backed securities		1,006,785		1,097,294
Level 3
Assets:
Agency mortgage-backed securities		0		0
Credit risk transfer securities		0		0
Mortgage servicing rights		599,014		580,860
Commercial real estate debt investments		0		0
Interest rate swaps		0		0
Other derivatives		0		0
Total assets		599,014		580,860
Liabilities:
Securitized debt of consolidated VIEs		0		0
Interest rate swaps		0		0
Other derivatives		0		0
Total liabilities		0		0
Level 3 | Residential Mortgage
Assets:
Residential mortgage loans		0		0
Level 3 | Non-Agency Mortgage-backed Securities
Assets:
Non-Agency mortgage-backed securities		$ 0		$ 0

[1] Derived from the audited consolidated financial statements at December 31, 2017.

[2] Includes senior securitized commercial mortgage loans of consolidated VIEs carried at fair value of $2.5 billion and $2.8 billion at June 30, 2018 and December 31, 2017, respectively.

[3] $57.7 million and $66.3 million at June 30, 2018 and December 31, 2017, respectively, of non-Agency mortgage-backed securities in a consolidated VIE pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.