INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Interest income
Residential Securities (1)									$ 3,195,546	$ 2,830,521	$ 2,170,041
Residential mortgage loans									150,066	83,260	30,540
Commercial investment portfolio									378,395	356,981	273,884
U.S. Treasury securities									0	160	0
Reverse repurchase agreements									63,290	61,641	18,661
Total interest income	$ 1,074,214	$ 919,299	$ 927,598	$ 866,186	$ 859,674	$ 816,596	$ 776,806	$ 879,487	3,787,297	3,332,563	2,493,126
Interest expense
Repurchase agreements									2,513,282	1,698,930	891,819
Debt issued by securitization vehicles									141,981	98,013	60,304
Participation sold									0	0	195
Other									129,612	100,917	56,036
Total interest expense	620,058	766,905	750,217	647,695	586,774	500,973	442,692	367,421	2,784,875	1,897,860	1,008,354
Net interest income	$ 454,156	$ 152,394	$ 177,381	$ 218,491	$ 272,900	$ 315,623	$ 334,114	$ 512,066	$ 1,002,422	$ 1,434,703	$ 1,484,772