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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($)
$ in Thousands
Sep. 30, 2021
Jun. 30, 2021
Dec. 31, 2020
Sep. 30, 2020
Jun. 30, 2020
Dec. 31, 2019
Assets            
Mortgage-backed securities [1] $ 65,622,352   $ 75,652,396 [2]      
Loans            
Mortgage servicing rights 572,259 $ 202,616 100,895 $ 207,985 $ 227,400 $ 378,078
Assets transferred or pledged to securitization vehicles 4,738,481   6,910,020 [2]      
Liabilities            
Participations issued 641,006   39,198 [2]      
Derivative liabilities            
Interest rate swaps 754,248   1,006,492      
Residential Mortgage Loans            
Loans            
Residential mortgage loans 5,826,826   3,595,061      
Fair Value, Measurements, Recurring            
Assets            
Agency mortgage-backed securities 62,818,079   74,067,059      
Credit risk transfer securities 787,235   532,403      
Loans            
Mortgage servicing rights 572,259   100,895      
Interests in MSR 57,530          
Assets transferred or pledged to securitization vehicles 4,738,481   6,035,671      
Derivative assets            
Other derivatives 331,395   171,134      
Total assets 73,009,716   82,305,906      
Liabilities            
Debt issued by securitization vehicles 3,935,410   5,652,982      
Participations issued 641,006   39,198      
Derivative liabilities            
Interest rate swaps 754,248   1,006,492      
Other derivatives 157,886   26,853      
Total liabilities 5,488,550   6,725,525      
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 1,747,932   972,192      
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 269,106   80,742      
Fair Value, Measurements, Recurring | Residential Mortgage Loans            
Loans            
Residential mortgage loans 1,686,268   345,810      
Residential mortgage loan warehouse facility 1,431          
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      
Interests in MSR 0          
Assets transferred or pledged to securitization vehicles 0   0      
Derivative assets            
Other derivatives 199,728   506      
Total assets 199,728   506      
Liabilities            
Debt issued by securitization vehicles 0   0      
Participations issued 0   0      
Derivative liabilities            
Interest rate swaps 0   0      
Other derivatives 108   19,413      
Total liabilities 108   19,413      
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      
Residential mortgage loan warehouse facility 0          
Fair Value, Measurements, Recurring | Level 2            
Assets            
Agency mortgage-backed securities 62,818,079   74,067,059      
Credit risk transfer securities 787,235   532,403      
Loans            
Mortgage servicing rights 0   0      
Interests in MSR 0          
Assets transferred or pledged to securitization vehicles 4,738,481   6,035,671      
Derivative assets            
Other derivatives 131,667   170,628      
Total assets 72,180,199   82,204,505      
Liabilities            
Debt issued by securitization vehicles 3,935,410   5,652,982      
Participations issued 641,006   39,198      
Derivative liabilities            
Interest rate swaps 754,248   1,006,492      
Other derivatives 157,778   7,440      
Total liabilities 5,488,442   6,706,112      
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 1,747,932   972,192      
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities            
Assets            
Mortgage-backed securities 269,106   80,742      
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans            
Loans            
Residential mortgage loans 1,686,268   345,810      
Residential mortgage loan warehouse facility 1,431          
Fair Value, Measurements, Recurring | Level 3            
Assets            
Agency mortgage-backed securities 0   0      
Credit risk transfer securities 0   0      
Loans            
Mortgage servicing rights 572,259   100,895      
Interests in MSR 57,530          
Assets transferred or pledged to securitization vehicles 0   0      
Derivative assets            
Other derivatives 0   0      
Total assets 629,789   100,895      
Liabilities            
Debt issued by securitization vehicles 0   0      
Participations issued 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      
Residential mortgage loan warehouse facility $ 0          
[1] (3)Excludes $46.4 million and $81.5 million at September 30, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $245.8 million and $576.6 million at September 30, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at September 30, 2021 and December 31, 2020, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition. 
[2] (1)Derived from the audited consolidated financial statements at December 31, 2020.