INTEREST INCOME AND INTEREST EXPENSE - Components of Company's Interest Income and Interest Expense (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Interest income
Agency Securities	$ 299,898	$ 428,088	$ 1,183,353	$ 1,264,171
Residential credit securities	20,774	11,414	57,231	43,395
Residential mortgage loans	45,801	42,508	121,873	132,936
Commercial investment portfolio	46,494	80,324	197,758	260,208
Reverse repurchase agreements	5	109	41	1,571
Total interest income	412,972	562,443	1,560,256	1,702,281
Interest expense
Repurchase agreements	22,397	75,386	94,122	646,369
Debt issued by securitization vehicles	18,740	32,491	68,232	113,367
Participations issued	2,578	0	4,914	0
Other	6,723	7,249	20,190	44,895
Total interest expense	50,438	115,126	187,458	804,631
Net interest income	$ 362,534	$ 447,317	$ 1,372,798	$ 897,650