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, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Interest income
Residential Securities	$ 784,228	$ 680,037	$ 2,271,893	$ 2,122,375
Residential mortgage loans	37,673	21,184	102,689	55,557
Commercial investment portfolio	87,946	97,531	281,029	249,331
U.S. Treasury securities	0	160	0	160
Reverse repurchase agreements	9,452	17,684	57,472	45,466
Total interest income	919,299	816,596	2,713,083	2,472,889
Interest expense
Repurchase agreements	699,838	445,535	1,962,999	1,177,384
Debt issued by securitization vehicles	34,524	29,391	102,882	63,244
Other	32,543	26,047	98,936	70,458
Total interest expense	766,905	500,973	2,164,817	1,311,086
Net interest income	$ 152,394	$ 315,623	$ 548,266	$ 1,161,803