FAIR VALUE MEASUREMENTS - Estimated Fair Values for All Financial Assets and Liabilities (Details) - USD ($) $ in Thousands		Jun. 30, 2018	Dec. 31, 2017
Financial assets:
Agency mortgage-backed securities		$ 86,593,058	$ 90,551,763
Credit risk transfer securities		563,796	651,764	[1]
Residential mortgage loans	[2]	1,666,157	1,438,322	[1]
Mortgage servicing rights		599,014	580,860	[1]
Commercial real estate debt investments	[3]	2,857,463	3,089,108	[1]
Loans held for sale, net		42,458	0	[1]
Interest rate swaps		82,458	30,272	[1]
Other derivatives		129,680	283,613
Reverse repurchase agreements		259,762	0	[1]
Financial liabilities:
Other secured financing		3,760,487	3,837,528	[1]
Securitized debt of consolidated VIEs	[4]	2,728,692	2,971,771	[1]
Interest rate swaps		376,106	569,129	[1]
Other derivatives		117,931	38,725
Level 1
Financial assets:
Agency mortgage-backed securities		0	0
Credit risk transfer securities		0	0
Commercial real estate debt investments		0	0
Interest rate swaps		0	0
Other derivatives		4,857	218,361
Financial liabilities:
Interest rate swaps		0	0
Other derivatives		111,610	12,285
Level 2
Financial assets:
Agency mortgage-backed securities		86,593,058	90,551,763
Credit risk transfer securities		563,796	651,764
Commercial real estate debt investments		2,857,463	3,089,108
Interest rate swaps		82,458	30,272
Other derivatives		124,823	65,252
Financial liabilities:
Interest rate swaps		376,106	569,129
Other derivatives		6,321	26,440
Level 3
Financial assets:
Agency mortgage-backed securities		0	0
Credit risk transfer securities		0	0
Commercial real estate debt investments		0	0
Interest rate swaps		0	0
Other derivatives		0	0
Financial liabilities:
Interest rate swaps		0	0
Other derivatives		0	0
Carrying Value | Level 1
Financial assets:
Cash and cash equivalents		1,135,329	706,589
Reverse repurchase agreements		259,762	0
Carrying Value | Level 2
Financial assets:
Agency mortgage-backed securities		86,593,058	90,551,763
Credit risk transfer securities		563,796	651,764
Non-Agency mortgage-backed securities		1,006,785	1,097,294
Residential mortgage loans		1,666,157	1,438,322
Commercial real estate debt investments		2,857,463	3,089,108
Corporate debt		1,256,276	1,011,275
Interest rate swaps		82,458	30,272
Other derivatives		129,680	283,613
Financial liabilities:
Repurchase agreements		75,760,655	77,696,343
Other secured financing		3,760,487	3,837,528
Securitized debt of consolidated VIEs		2,728,692	2,971,771
Interest rate swaps		376,106	569,129
Other derivatives		117,931	38,725
Carrying Value | Level 3
Financial assets:
Mortgage servicing rights		599,014	580,860
Commercial real estate debt and preferred equity, held for investment		1,251,138	1,029,327
Loans held for sale, net		42,458	0
Financial liabilities:
Mortgage payable		309,878	309,686
Fair Value | Level 1
Financial assets:
Cash and cash equivalents		1,135,329	706,589
Reverse repurchase agreements		259,762	0
Fair Value | Level 2
Financial assets:
Agency mortgage-backed securities		86,593,058	90,551,763
Credit risk transfer securities		563,796	651,764
Non-Agency mortgage-backed securities		1,006,785	1,097,294
Residential mortgage loans		1,666,157	1,438,322
Commercial real estate debt investments		2,857,463	3,089,108
Corporate debt		1,254,072	1,014,139
Interest rate swaps		82,458	30,272
Other derivatives		129,680	283,613
Financial liabilities:
Repurchase agreements		75,760,655	77,697,828
Other secured financing		3,759,980	3,837,595
Securitized debt of consolidated VIEs		2,728,692	2,971,771
Interest rate swaps		376,106	569,129
Other derivatives		117,931	38,725
Fair Value | Level 3
Financial assets:
Mortgage servicing rights		599,014	580,860
Commercial real estate debt and preferred equity, held for investment		1,258,236	1,035,095
Loans held for sale, net		42,495	0
Financial liabilities:
Mortgage payable		$ 302,149	$ 310,218

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

[2] Includes securitized residential mortgage loans transferred or pledged to a consolidated VIE carried at fair value of $523.0 million and $478.8 million at June 30, 2018 and December 31, 2017, respectively.

[3] 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.

[4] Includes securitized debt of consolidated VIEs carried at fair value of $2.7 billion and $3.0 billion at June 30, 2018 and December 31, 2017, respectively.