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FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details)
$ in Thousands
12 Months Ended
Dec. 31, 2019
USD ($)
source
Dec. 31, 2018
USD ($)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount $ 36,159,591 $ 22,152,845
Amortized Cost Basis 18,782,175 11,212,428
Real estate and other securities, available-for-sale $ 19,477,728 11,636,581
Number of broker quotation sources | source 2  
Percentage of instruments with ranges of assumptions used available 67.70%  
Fair Value $ 659,738  
Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount 11,301,603 2,613,395
Amortized Cost Basis 11,474,338 2,657,917
Real estate and other securities, available-for-sale 11,519,943 2,665,618
Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Outstanding Face Amount 24,857,988 19,539,450
Amortized Cost Basis 7,307,837 8,554,511
Real estate and other securities, available-for-sale 7,957,785 8,970,963
Fair Value 5,389,502  
Multiple Quotes    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 19,473,516 11,625,463
Single Quote    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 4,212 11,118
Single Quote | Seller    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 700 11,100
Level 2 | Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 11,519,943 2,665,618
Level 2 | Multiple Quotes | Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 11,519,943 2,665,618
Level 2 | Single Quote | Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 0 0
Level 3 | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 7,957,785 8,970,963
Level 3 | Multiple Quotes | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale 7,953,573 8,959,845
Level 3 | Single Quote | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Real estate and other securities, available-for-sale $ 4,212 $ 11,118
Discount Rate | Minimum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Measurement Input 0.0182  
Discount Rate | Maximum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Measurement Input 0.1784  
Prepayment Rate | Minimum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Measurement Input 0.005  
Prepayment Rate | Maximum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Measurement Input 0.230  
CDR | Minimum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Measurement Input 0.002  
CDR | Maximum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Measurement Input 0.0700  
Loss Severity | Minimum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Measurement Input 0.150  
Loss Severity | Maximum | Non-Agency    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Measurement Input 1