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SECURED FINANCING - Repurchase Agreements - Remaining Maturities, Collateral Types and Weighted Average Rate (Details) - USD ($)
$ in Thousands
 12 Months Ended
Dec. 31, 2020
Sep. 30, 2021
Repurchase Agreements:    
Netted amounts $ 64,825,239 [1] $ 55,475,420
Weighted Average Rate   0.32% 0.15%
Repurchase agreements, remaining maturities, percentage   0.00%
Percent of total repurchase agreements with remaining maturity over 1 year (less than) 1.00%  
CRTs    
Repurchase Agreements:    
Netted amounts $ 245,686 $ 200,744
Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 1,050,439 985,607
Residential Mortgage Loans    
Repurchase Agreements:    
Netted amounts 184,723 317,080
Commercial Loans    
Repurchase Agreements:    
Netted amounts 271,801  
Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 62,744,910 53,769,219
Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 327,680 202,770
1 day    
Repurchase Agreements:    
Netted amounts $ 0 $ 7,926,088
Weighted Average Rate   0.00% 0.07%
1 day | CRTs    
Repurchase Agreements:    
Netted amounts $ 0 $ 0
1 day | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 0 0
1 day | Residential Mortgage Loans    
Repurchase Agreements:    
Netted amounts 0 0
1 day | Commercial Loans    
Repurchase Agreements:    
Netted amounts 0  
1 day | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 0 7,926,088
1 day | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 0 0
2 to 29 days    
Repurchase Agreements:    
Netted amounts $ 30,841,838 $ 16,153,792
Weighted Average Rate   0.29% 0.13%
2 to 29 days | CRTs    
Repurchase Agreements:    
Netted amounts $ 129,993 $ 6,911
2 to 29 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 354,904 228,809
2 to 29 days | Residential Mortgage Loans    
Repurchase Agreements:    
Netted amounts 76,799 0
2 to 29 days | Commercial Loans    
Repurchase Agreements:    
Netted amounts 0  
2 to 29 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 30,151,875 15,853,554
2 to 29 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 128,267 64,518
30 to 59 days    
Repurchase Agreements:    
Netted amounts $ 10,567,655 $ 4,082,709
Weighted Average Rate   0.42% 0.18%
30 to 59 days | CRTs    
Repurchase Agreements:    
Netted amounts $ 16,073 $ 0
30 to 59 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 161,274 117,226
30 to 59 days | Residential Mortgage Loans    
Repurchase Agreements:    
Netted amounts 0 0
30 to 59 days | Commercial Loans    
Repurchase Agreements:    
Netted amounts 0  
30 to 59 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 10,247,972 3,965,483
30 to 59 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 142,336 0
60 to 89 days    
Repurchase Agreements:    
Netted amounts $ 8,568,837 $ 3,226,323
Weighted Average Rate   0.30% 0.17%
60 to 89 days | CRTs    
Repurchase Agreements:    
Netted amounts $ 99,620 $ 0
60 to 89 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 259,401 91,544
60 to 89 days | Residential Mortgage Loans    
Repurchase Agreements:    
Netted amounts 0 0
60 to 89 days | Commercial Loans    
Repurchase Agreements:    
Netted amounts 0  
60 to 89 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 8,181,410 3,134,779
60 to 89 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 28,406 0
90 to 119 days    
Repurchase Agreements:    
Netted amounts $ 2,154,733 $ 10,197,129
Weighted Average Rate   0.23% 0.18%
90 to 119 days | CRTs    
Repurchase Agreements:    
Netted amounts $ 0 $ 136,909
90 to 119 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 0 37,527
90 to 119 days | Residential Mortgage Loans    
Repurchase Agreements:    
Netted amounts 0 0
90 to 119 days | Commercial Loans    
Repurchase Agreements:    
Netted amounts 0  
90 to 119 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 2,154,733 9,884,441
90 to 119 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 0 138,252
Over 119 days    
Repurchase Agreements:    
Netted amounts $ 12,692,176 $ 13,889,379
Weighted Average Rate   0.36% 0.20%
Over 119 days | CRTs    
Repurchase Agreements:    
Netted amounts $ 0 $ 56,924
Over 119 days | Non-Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 274,860 510,501
Over 119 days | Residential Mortgage Loans    
Repurchase Agreements:    
Netted amounts 107,924 317,080
Over 119 days | Commercial Loans    
Repurchase Agreements:    
Netted amounts 271,801  
Over 119 days | Agency Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts 12,008,920 13,004,874
Over 119 days | Commercial Mortgage-Backed Securities    
Repurchase Agreements:    
Netted amounts $ 28,671 $ 0
[1] (1)Derived from the audited consolidated financial statements at December 31, 2020.