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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Mar. 31, 2019
Dec. 31, 2018
Assets        
Estimated fair value [1] $ 79,357,596 $ 114,833,580 [2]    
Mortgage servicing rights 280,558 378,078 $ 500,745 $ 557,813
Assets transferred or pledged to securitization vehicles 7,671,662 7,002,460 [2]    
Interest rate swaps 0 1,199    
Liabilities        
Interest rate swaps 1,244,309 706,862    
Residential mortgage loans        
Assets        
Residential mortgage loans 4,295,271 4,246,161    
Fair Value, Measurements, Recurring        
Assets        
Agency mortgage-backed securities 78,456,846 112,893,367    
Credit risk transfer securities 222,871 531,322    
Mortgage servicing rights 280,558 378,078    
Assets transferred or pledged to securitization vehicles 6,758,371 6,066,082    
Interest rate swaps   1,199    
Other derivatives 238,776 112,357    
Total assets 87,903,384 123,039,083    
Liabilities        
Debt issued by securitization vehicles 6,364,949 5,622,801    
Interest rate swaps 1,244,309 706,862    
Other derivatives 86,879 97,004    
Total liabilities 7,696,137 6,426,667    
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities        
Assets        
Estimated fair value 585,954 1,135,868    
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities        
Assets        
Estimated fair value 91,925 273,023    
Fair Value, Measurements, Recurring | Residential mortgage loans        
Assets        
Residential mortgage loans 1,268,083 1,647,787    
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    
Other derivatives 0 77,889    
Total assets 0 77,889    
Liabilities        
Debt issued by securitization vehicles 0 0    
Interest rate swaps 0 0    
Other derivatives 0 84,781    
Total liabilities 0 84,781    
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 78,456,846 112,893,367    
Credit risk transfer securities 222,871 531,322    
Mortgage servicing rights 0 0    
Assets transferred or pledged to securitization vehicles 6,758,371 6,066,082    
Interest rate swaps   1,199    
Other derivatives 238,776 34,468    
Total assets 87,622,826 122,583,116    
Liabilities        
Debt issued by securitization vehicles 6,364,949 5,622,801    
Interest rate swaps 1,244,309 706,862    
Other derivatives 86,879 12,223    
Total liabilities 7,696,137 6,341,886    
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities        
Assets        
Estimated fair value 585,954 1,135,868    
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities        
Assets        
Estimated fair value 91,925 273,023    
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans        
Assets        
Residential mortgage loans 1,268,083 1,647,787    
Fair Value, Measurements, Recurring | Level 3        
Assets        
Agency mortgage-backed securities 0 0    
Credit risk transfer securities 0 0    
Mortgage servicing rights 280,558 378,078    
Assets transferred or pledged to securitization vehicles 0 0    
Interest rate swaps   0    
Other derivatives 0 0    
Total assets 280,558 378,078    
Liabilities        
Debt issued by securitization vehicles 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 $127.7 million and $102.5 million at March 31, 2020 and December 31, 2019, respectively, of Agency mortgage-backed securities, $412.0 million and $468.0 million at March 31, 2020 and December 31, 2019, respectively, of non-Agency mortgage-backed securities and $367.6 million and $500.3 million at March 31, 2020 and December 31, 2019, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
[2]
Derived from the audited consolidated financial statements at December 31, 2019.