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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017
--- | --- | --- | --- | ---
Assets |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | [1] | $ 104,993,271 | $ 92,623,788 | [2] |  |
Mortgage servicing rights |  | 500,745 | 557,813 |  | $ 596,378 | $ 580,860
Assets transferred or pledged to securitization vehicles |  | 4,365,300 | 3,833,200 | [2] |  |
Interest rate swaps |  | 26,020 | 48,114 |  |  |
Liabilities |  |  |  |  |  |
Interest rate swaps |  | 509,485 | 420,365 |  |  |
Residential Mortgage |  |  |  |  |  |
Assets |  |  |  |  |  |
Residential mortgage loans |  | 2,737,388 | 2,454,637 |  |  |
Level 1 |  |  |  |  |  |
Liabilities |  |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | 0 |  |  |
Level 2 |  |  |  |  |  |
Liabilities |  |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | 3,347,062 |  |  |
Level 3 |  |  |  |  |  |
Liabilities |  |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | 0 |  |  |
Fair Value, Measurements, Recurring |  |  |  |  |  |
Assets |  |  |  |  |  |
Agency mortgage-backed securities |  | 103,093,526 | 90,752,995 |  |  |
Credit risk transfer securities |  | 607,945 | 552,097 |  |  |
Mortgage servicing rights |  | 500,745 | 557,813 |  |  |
Assets transferred or pledged to securitization vehicles |  | 4,365,300 | 3,833,200 |  |  |
Interest rate swaps |  | 26,020 | 48,114 |  |  |
Other derivatives |  | 122,158 | 152,389 |  |  |
Total assets |  | 111,319,214 | 98,575,110 |  |  |
Liabilities |  |  |  |  |  |
Securitized debt of consolidated VIEs |  | 3,693,766 | 3,347,062 |  |  |
Interest rate swaps |  | 509,485 | 420,365 |  |  |
Other derivatives |  | 266,495 | 469,385 |  |  |
Total liabilities |  | 4,469,746 | 4,236,812 |  |  |
Fair Value, Measurements, Recurring | Commercial Securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) |  | 175,231 | 156,758 |  |  |
Fair Value, Measurements, Recurring | Residential Mortgage |  |  |  |  |  |
Assets |  |  |  |  |  |
Residential mortgage loans |  | 1,311,720 | 1,359,806 |  |  |
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) |  | 1,116,569 | 1,161,938 |  |  |
Fair Value, Measurements, Recurring | Level 1 |  |  |  |  |  |
Assets |  |  |  |  |  |
Agency mortgage-backed securities |  | 0 | 0 |  |  |
Credit risk transfer securities |  | 0 | 0 |  |  |
Mortgage servicing rights |  | 0 | 0 |  |  |
Assets transferred or pledged to securitization vehicles |  | 0 | 0 |  |  |
Interest rate swaps |  | 0 | 0 |  |  |
Other derivatives |  | 357 | 0 |  |  |
Total assets |  | 357 | 0 |  |  |
Liabilities |  |  |  |  |  |
Securitized debt of consolidated VIEs |  | 0 |  |  |  |
Interest rate swaps |  | 0 | 0 |  |  |
Other derivatives |  | 260,354 | 462,309 |  |  |
Total liabilities |  | 260,354 | 462,309 |  |  |
Fair Value, Measurements, Recurring | Level 1 | Commercial Securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) |  | 0 | 0 |  |  |
Fair Value, Measurements, Recurring | Level 1 | Residential Mortgage |  |  |  |  |  |
Assets |  |  |  |  |  |
Residential mortgage loans |  | 0 | 0 |  |  |
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-backed Securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) |  | 0 | 0 |  |  |
Fair Value, Measurements, Recurring | Level 2 |  |  |  |  |  |
Assets |  |  |  |  |  |
Agency mortgage-backed securities |  | 103,093,526 | 90,752,995 |  |  |
Credit risk transfer securities |  | 607,945 | 552,097 |  |  |
Mortgage servicing rights |  | 0 | 0 |  |  |
Assets transferred or pledged to securitization vehicles |  | 4,365,300 | 3,833,200 |  |  |
Interest rate swaps |  | 26,020 | 48,114 |  |  |
Other derivatives |  | 121,801 | 152,389 |  |  |
Total assets |  | 110,818,112 | 98,017,297 |  |  |
Liabilities |  |  |  |  |  |
Securitized debt of consolidated VIEs |  | 3,693,766 |  |  |  |
Interest rate swaps |  | 509,485 | 420,365 |  |  |
Other derivatives |  | 6,141 | 7,076 |  |  |
Total liabilities |  | 4,209,392 | 3,774,503 |  |  |
Fair Value, Measurements, Recurring | Level 2 | Commercial Securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) |  | 175,231 | 156,758 |  |  |
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage |  |  |  |  |  |
Assets |  |  |  |  |  |
Residential mortgage loans |  | 1,311,720 | 1,359,806 |  |  |
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) |  | 1,116,569 | 1,161,938 |  |  |
Fair Value, Measurements, Recurring | Level 3 |  |  |  |  |  |
Assets |  |  |  |  |  |
Agency mortgage-backed securities |  | 0 | 0 |  |  |
Credit risk transfer securities |  | 0 | 0 |  |  |
Mortgage servicing rights |  | 500,745 | 557,813 |  |  |
Assets transferred or pledged to securitization vehicles |  | 0 | 0 |  |  |
Interest rate swaps |  | 0 | 0 |  |  |
Other derivatives |  | 0 | 0 |  |  |
Total assets |  | 500,745 | 557,813 |  |  |
Liabilities |  |  |  |  |  |
Securitized debt of consolidated VIEs |  | 0 |  |  |  |
Interest rate swaps |  | 0 | 0 |  |  |
Other derivatives |  | 0 | 0 |  |  |
Total liabilities |  | 0 | 0 |  |  |
Fair Value, Measurements, Recurring | Level 3 | Commercial Securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) |  | 0 | 0 |  |  |
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage |  |  |  |  |  |
Assets |  |  |  |  |  |
Residential mortgage loans |  | 0 | 0 |  |  |
Fair Value, Measurements, Recurring | Level 3 | Non-Agency Mortgage-backed Securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) |  | $ 0 | $ 0 |  |  |
[1] | (3) Excludes $273.4 million and $83.6 million at March 31, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $246.6 million and $224.3 million at March 31, 2019 and December 31, 2018, 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, 2018.

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- Definition The fair value as of the balance sheet date of financial instruments and other positions owned by the entity and pledged to counterparties as collateral, including: (1) mortgages, mortgage-backed and asset backed securities; (2) US government and agency obligations; (3) state and municipal government obligations; (4) other sovereign government debt; (5) corporate obligations; (6) corporate equities; (7) principal investments; (8) derivative contracts; and (9) physical commodities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 45 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66007379&loc=d3e113888-111728 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 1A -Subparagraph (c)(2) -URI http://asc.fasb.org/extlink&oid=64858031&loc=SL6224234-111729 + Details
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