FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands		Sep. 30, 2019	Jun. 30, 2019	Dec. 31, 2018		Sep. 30, 2018	Jun. 30, 2018	Dec. 31, 2017
Assets
Estimated Fair Value	[1]	$ 116,094,061		$ 92,623,788	[2]
Mortgage servicing rights		386,051	$ 425,328	557,813		$ 588,833	$ 599,014	$ 580,860
Assets transferred or pledged to securitization vehicles		4,688,144		3,833,200	[2]
Interest rate swaps		2,556		48,114
Liabilities
Interest rate swaps		861,067		420,365
Residential mortgage loans
Assets
Residential mortgage loans		3,596,133		2,454,637
Level 1
Liabilities
Debt issued by securitization vehicles				0
Level 2
Liabilities
Debt issued by securitization vehicles				3,347,062
Level 3
Liabilities
Debt issued by securitization vehicles				0
Fair Value, Measurements, Recurring
Assets
Agency mortgage-backed securities		114,462,524		90,752,995
Credit risk transfer securities		474,765		552,097
Mortgage servicing rights		386,051		557,813
Assets transferred or pledged to securitization vehicles		3,878,139		3,833,200
Interest rate swaps		2,556		48,114
Other derivatives		166,199		152,389
Total assets		121,746,408		98,575,110
Liabilities
Debt issued by securitization vehicles		3,856,082		3,347,062
Interest rate swaps		861,067		420,365
Other derivatives		111,348		469,385
Total liabilities		4,828,497		4,236,812
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities
Assets
Estimated Fair Value		1,015,921		1,161,938
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities
Assets
Estimated Fair Value		140,851		156,758
Fair Value, Measurements, Recurring | Residential mortgage loans
Assets
Residential mortgage loans		1,219,402		1,359,806
Fair Value, Measurements, Recurring | Level 1
Assets
Agency mortgage-backed securities		0		0
Credit risk transfer securities		0		0
Mortgage servicing rights		0		0
Assets transferred or pledged to securitization vehicles		0		0
Interest rate swaps		0		0
Other derivatives		102,400		0
Total assets		102,400		0
Liabilities
Debt issued by securitization vehicles		0
Interest rate swaps		0		0
Other derivatives		80,563		462,309
Total liabilities		80,563		462,309
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-backed Securities
Assets
Estimated Fair Value		0		0
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage-Backed Securities
Assets
Estimated Fair Value		0		0
Fair Value, Measurements, Recurring | Level 1 | Residential mortgage loans
Assets
Residential mortgage loans		0		0
Fair Value, Measurements, Recurring | Level 2
Assets
Agency mortgage-backed securities		114,462,524		90,752,995
Credit risk transfer securities		474,765		552,097
Mortgage servicing rights		0		0
Assets transferred or pledged to securitization vehicles		3,878,139		3,833,200
Interest rate swaps		2,556		48,114
Other derivatives		63,799		152,389
Total assets		121,257,957		98,017,297
Liabilities
Debt issued by securitization vehicles		3,856,082
Interest rate swaps		861,067		420,365
Other derivatives		30,785		7,076
Total liabilities		4,747,934		3,774,503
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities
Assets
Estimated Fair Value		1,015,921		1,161,938
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities
Assets
Estimated Fair Value		140,851		156,758
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans
Assets
Residential mortgage loans		1,219,402		1,359,806
Fair Value, Measurements, Recurring | Level 3
Assets
Agency mortgage-backed securities		0		0
Credit risk transfer securities		0		0
Mortgage servicing rights		386,051		557,813
Assets transferred or pledged to securitization vehicles		0		0
Interest rate swaps		0		0
Other derivatives		0		0
Total assets		386,051		557,813
Liabilities
Debt issued by securitization vehicles		0
Interest rate swaps		0		0
Other derivatives		0		0
Total liabilities		0		0
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-backed Securities
Assets
Estimated Fair Value		0		0
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage-Backed Securities
Assets
Estimated Fair Value		0		0
Fair Value, Measurements, Recurring | Level 3 | Residential mortgage loans
Assets
Residential mortgage loans		$ 0		$ 0

[1] ⁽³⁾  Excludes $429.1 million and $83.6 million at September 30, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $182.3 million and $224.3 million at September 30, 2019 and December 31, 2018, respectively, of commercial 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, 2018.