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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Dec. 31, 2019
Dec. 31, 2018
Dec. 31, 2017
Assets      
Estimated fair value [1] $ 114,833,580 $ 92,623,788  
Mortgage servicing rights 378,078 557,813 $ 580,860
Assets transferred or pledged to securitization vehicles 7,002,460 3,833,200  
Interest rate swaps 1,199 48,114  
Liabilities      
Interest rate swaps 706,862 420,365  
Residential Mortgage Loans      
Assets      
Residential mortgage loans 4,246,161 2,454,637  
Fair Value, Measurements, Recurring      
Assets      
Agency mortgage-backed securities 112,893,367 90,752,995  
Credit risk transfer securities 531,322 552,097  
Mortgage servicing rights 378,078 557,813  
Assets transferred or pledged to securitization vehicles 6,066,082 3,833,200  
Interest rate swaps 1,199 48,114  
Other derivatives 112,357 152,389  
Total assets 123,039,083 98,575,110  
Liabilities      
Securitized debt of consolidated VIEs 5,622,801 3,347,062  
Interest rate swaps 706,862 420,365  
Other derivatives 97,004 469,385  
Total liabilities 6,426,667 4,236,812  
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities      
Assets      
Estimated fair value 1,135,868 1,161,938  
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities      
Assets      
Estimated fair value 273,023 156,758  
Fair Value, Measurements, Recurring | Residential Mortgage Loans      
Assets      
Residential mortgage loans 1,647,787 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 77,889 0  
Total assets 77,889 0  
Liabilities      
Securitized debt of consolidated VIEs 0 0  
Interest rate swaps 0 0  
Other derivatives 84,781 462,309  
Total liabilities 84,781 462,309  
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 112,893,367 90,752,995  
Credit risk transfer securities 531,322 552,097  
Mortgage servicing rights 0 0  
Assets transferred or pledged to securitization vehicles 6,066,082 3,833,200  
Interest rate swaps 1,199 48,114  
Other derivatives 34,468 152,389  
Total assets 122,583,116 98,017,297  
Liabilities      
Securitized debt of consolidated VIEs 5,622,801 3,347,062  
Interest rate swaps 706,862 420,365  
Other derivatives 12,223 7,076  
Total liabilities 6,341,886 3,774,503  
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities      
Assets      
Estimated fair value 1,135,868 1,161,938  
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities      
Assets      
Estimated fair value 273,023 156,758  
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans      
Assets      
Residential mortgage loans 1,647,787 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 378,078 557,813  
Assets transferred or pledged to securitization vehicles 0 0  
Interest rate swaps 0 0  
Other derivatives 0 0  
Total assets 378,078 557,813  
Liabilities      
Securitized debt of consolidated VIEs 0 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] Excludes $102.5 million and $0 at December 31, 2019 and 2018, respectively, of agency mortgage-backed securities, $468.0 million and $83.6 million at December 31, 2019 and 2018, respectively, of non-Agency mortgage-backed securities and $500.3 million and $224.3 million at December 31, 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.