INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Interest income
Residential securities	$ 410,380	$ 709,774
Residential mortgage loans	47,557	29,991
Commercial investment portfolio	95,676	100,952
Reverse repurchase agreements	1,413	25,469
Total interest income	555,026	866,186
Interest expense
Repurchase agreements	434,021	579,514
Debt issued by securitization vehicles	42,119	34,207
Other	27,333	33,974
Total interest expense	503,473	647,695
Net interest income	$ 51,553	$ 218,491