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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Sep. 30, 2020
Jun. 30, 2020
Dec. 31, 2019
Sep. 30, 2019
Jun. 30, 2019
Dec. 31, 2018
Assets            
Mortgage-backed securities [1] $ 76,098,985   $ 114,833,580 [2]      
Loans            
Mortgage servicing rights 207,985 $ 227,400 378,078 $ 386,051 $ 425,328 $ 557,813
Assets transferred or pledged to securitization vehicles 7,269,402   7,002,460 [2]      
Interest rate swaps 0   1,199      
Derivative liabilities            
Interest rate swaps 1,126,179   706,862      
Residential Mortgage Loans            
Loans            
Residential mortgage loans 3,741,638   4,246,161      
Fair Value, Measurements, Recurring            
Assets            
Agency mortgage-backed securities 74,915,167   112,893,367      
Credit risk transfer securities 411,538   531,322      
Loans            
Mortgage servicing rights 207,985   378,078      
Assets transferred or pledged to securitization vehicles 6,386,447   6,066,082      
Interest rate swaps     1,199      
Derivative assets            
Other derivatives 103,245   112,357      
Total assets 82,949,621   123,039,083      
Liabilities            
Debt issued by securitization vehicles 6,027,576   5,622,801      
Derivative liabilities            
Interest rate swaps 1,126,179   706,862      
Other derivatives 56,502   97,004      
Total liabilities 7,210,257   6,426,667      
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 717,602   1,135,868      
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 54,678   273,023      
Fair Value, Measurements, Recurring | Residential Mortgage Loans            
Loans            
Residential mortgage loans 152,959   1,647,787      
Fair Value, Measurements, Recurring | Level 1            
Assets            
Agency mortgage-backed securities 0   0      
Credit risk transfer securities 0   0      
Loans            
Mortgage servicing rights 0   0      
Assets transferred or pledged to securitization vehicles 0   0      
Interest rate swaps     0      
Derivative assets            
Other derivatives 550   77,889      
Total assets 550   77,889      
Liabilities            
Debt issued by securitization vehicles 0   0      
Derivative liabilities            
Interest rate swaps 0   0      
Other derivatives 7,792   84,781      
Total liabilities 7,792   84,781      
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 0   0      
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 0   0      
Fair Value, Measurements, Recurring | Level 1 | Residential Mortgage Loans            
Loans            
Residential mortgage loans 0   0      
Fair Value, Measurements, Recurring | Level 2            
Assets            
Agency mortgage-backed securities 74,915,167   112,893,367      
Credit risk transfer securities 411,538   531,322      
Loans            
Mortgage servicing rights 0   0      
Assets transferred or pledged to securitization vehicles 6,386,447   6,066,082      
Interest rate swaps     1,199      
Derivative assets            
Other derivatives 102,695   34,468      
Total assets 82,741,086   122,583,116      
Liabilities            
Debt issued by securitization vehicles 6,027,576   5,622,801      
Derivative liabilities            
Interest rate swaps 1,126,179   706,862      
Other derivatives 48,710   12,223      
Total liabilities 7,202,465   6,341,886      
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 717,602   1,135,868      
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 54,678   273,023      
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans            
Loans            
Residential mortgage loans 152,959   1,647,787      
Fair Value, Measurements, Recurring | Level 3            
Assets            
Agency mortgage-backed securities 0   0      
Credit risk transfer securities 0   0      
Loans            
Mortgage servicing rights 207,985   378,078      
Assets transferred or pledged to securitization vehicles 0   0      
Interest rate swaps     0      
Derivative assets            
Other derivatives 0   0      
Total assets 207,985   378,078      
Liabilities            
Debt issued by securitization vehicles 0   0      
Derivative liabilities            
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            
Mortgage-backed securities 0   0      
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 0   0      
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage Loans            
Loans            
Residential mortgage loans $ 0   $ 0      
[1] Excludes $50.3 million and $102.5 million at September 30, 2020 and December 31, 2019, respectively, of Agency mortgage-backed securities, $544.0 million and $468.0 million at September 30, 2020 and December 31, 2019, respectively, of non-Agency mortgage-backed securities and $392.6 million and $500.3 million at September 30, 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.