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VARIABLE INTEREST ENTITIES - Additional Information (Details) - USD ($) | 1 Months Ended | 3 Months Ended |  |  |  |  |  |
--- | --- | --- | --- | --- | --- | --- | --- | ---
Aug. 31, 2017 | Mar. 31, 2019 | Mar. 31, 2018 | Feb. 28, 2019 | Jan. 31, 2019 | Dec. 31, 2018 | Oct. 31, 2018 | Jul. 31, 2018 | Jul. 31, 2017
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Residential mortgages loans | [1] |  | $ 3,879,324,000 |  |  |  | $ 4,585,975,000 | [2] |  |  |
Other secured financings |  |  | 4,144,623,000 |  |  |  | 4,183,311,000 | [2] |  |  |
Securitized debt of consolidated VIEs |  |  | 3,693,766,000 |  |  |  | 3,347,062,000 | [2] |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) | [3] |  | 104,993,271,000 |  |  |  | 92,623,788,000 | [2] |  |  |
Costs incurred in connection with securitization |  |  | 83,737,000 | $ 62,510,000 |  |  |  |  |  |  |
Pingora |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Variable interest entity, ownership percentage |  | 100.00% |  |  |  |  |  |  |  |  |
Consolidated VIEs |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Exposure to obligations of VIEs |  |  | 2,100,000,000 |  |  |  |  |  |  |  |
Consolidated VIEs | Consolidation, Eliminations |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) |  |  | 246,600,000 |  |  |  | 224,300,000 |  |  |  |
Consolidated VIEs | NLY 2019-FL2 |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Mortgage loans, unpaid principal balance |  |  | 739,100,000 |  |  |  |  |  |  |  |
Residential mortgages loans |  |  |  |  | $ 857,300,000 |  |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | 629,000,000 |  |  |  |  |  |  |  |
Contractual principal amount of debt held by third parties |  |  | 628,900,000 |  |  |  |  |  |  |  |
Costs incurred in connection with securitization |  |  | 8,300,000 |  |  |  |  |  |  |  |
Consolidated VIEs | NLY 2019-FL2 | Consolidation, Eliminations |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) |  |  | 0 |  |  |  |  |  |  |  |
Consolidated VIEs | OBX Trust |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Residential mortgages loans |  |  |  | 327,500,000 |  | $ 394,000,000 |  |  | $ 384,000,000 | $ 383,400,000 |
Securitized debt of consolidated VIEs |  |  | 966,400,000 |  |  |  |  |  |  |  |
Contractual principal amount of debt held by third parties |  |  | 963,400,000 |  |  |  |  |  |  |  |
Costs incurred in connection with securitization |  |  | 1,700,000 | $ 1,500,000 |  |  |  |  |  |  |
Consolidated VIEs | OBX Trust | Consolidation, Eliminations |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Securities (includes pledged assets of $95,845,559 and $87,193,316, respectively) (3) |  |  | 363,000,000 |  |  |  |  |  |  |  |
CMBS Securitization Trust | Consolidated VIEs | Collateralized Mortgage Backed Securities |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Commitments to purchase subordinated tranche in securitization trust |  |  | 94,000,000 |  |  |  |  |  |  |  |
Commercial Trusts | Consolidated VIEs |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Mortgage loans, unpaid principal balance |  |  | 2,200,000,000 |  |  |  |  |  |  |  |
Residential mortgages loans |  |  | 0 |  |  |  | 0 |  |  |  |
Gain (Loss) attributable to instrument- specific credit risk |  |  | 0 |  |  |  |  |  |  |  |
Other secured financings |  |  | 0 |  |  |  | 0 |  |  |  |
Commercial Trusts | Consolidated VIEs | Financing Receivables, Equal to Greater than 90 Days Past Due |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Loans 90 days or more past due or on nonaccrual status |  |  | 0 |  |  |  |  |  |  |  |
Residential Trusts | Consolidated VIEs |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Residential mortgages loans |  |  | 0 |  |  |  | 0 |  |  |  |
Other secured financings |  |  | 0 |  |  |  | $ 0 |  |  |  |
Contractual principal amount of debt held by third parties |  |  | 82,800,000 |  |  |  |  |  |  |  |
Borrower |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Credit facility, maximum borrowing capacity |  |  | 400,000,000 |  |  |  |  |  |  |  |
Other secured financings |  |  | 350,100,000 |  |  |  |  |  |  |  |
Borrower | Consolidation, Eliminations |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Intercompany receivable |  |  | 350,100,000 |  |  |  |  |  |  |  |
Borrower | Corporate debt held for sale, net |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Transferred loans pledged as collateral for credit facility |  |  | 555,400,000 |  |  |  |  |  |  |  |
Borrower | July 2017 Credit Facility | Consolidated VIEs |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Credit facility, maximum borrowing capacity |  |  |  |  |  |  |  |  |  |  | $ 150,000,000
Borrower | July 2017 Credit Facility | Consolidated VIEs | Corporate debt held for sale, net |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Transferred loans pledged as collateral for credit facility |  |  | 233,800,000 |  |  |  |  |  |  |  |
Other secured financings |  |  | $ 148,500,000 |  |  |  |  |  |  |  |
Borrower | January 2019 Credit Facility | Consolidated VIEs |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |
Credit facility, maximum borrowing capacity |  |  |  |  |  | $ 200,000,000 |  |  |  |  |
[1] | (4) Includes $101.3 million and $97.5 million of residential mortgage loans held for sale, $42.0 million and $42.2 million of commercial mortgage loans held for sale and $44.5 million and $0 of corporate loans held for sale at March 31, 2019 and December 31, 2018, respectively.
[2] | (1) Derived from the audited consolidated financial statements at December 31, 2018.
[3] | (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.

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