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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017
--- | --- | --- | --- | --- | --- | ---
Assets |  |  |  |  |  |  |  |
Securities (includes pledged assets of $113,624,573 and $87,193,316, respectively) (3) | [1] | $ 119,926,869 |  | $ 92,623,788 | [2] |  |  |
Mortgage servicing rights |  | 425,328 | $ 500,745 | 557,813 |  | $ 599,014 | $ 596,378 | $ 580,860
Assets transferred or pledged to securitization vehicles |  | 4,211,582 |  | 3,833,200 | [2] |  |  |
Interest rate swaps |  | 5,440 |  | 48,114 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Interest rate swaps |  | 677,295 |  | 420,365 |  |  |  |
Residential Mortgage |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | 3,168,105 |  | 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 |  | 118,202,040 |  | 90,752,995 |  |  |  |
Credit risk transfer securities |  | 491,969 |  | 552,097 |  |  |  |
Mortgage servicing rights |  | 425,328 |  | 557,813 |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 3,421,682 |  | 3,833,200 |  |  |  |
Interest rate swaps |  | 5,440 |  | 48,114 |  |  |  |
Other derivatives |  | 69,702 |  | 152,389 |  |  |  |
Total assets |  | 124,910,145 |  | 98,575,110 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Securitized debt of consolidated VIEs |  | 3,470,168 |  | 3,347,062 |  |  |  |
Interest rate swaps |  | 677,295 |  | 420,365 |  |  |  |
Other derivatives |  | 365,902 |  | 469,385 |  |  |  |
Total liabilities |  | 4,513,365 |  | 4,236,812 |  |  |  |
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Securities (includes pledged assets of $113,624,573 and $87,193,316, respectively) (3) |  | 1,097,752 |  | 1,161,938 |  |  |  |
Fair Value, Measurements, Recurring | Commercial Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Securities (includes pledged assets of $113,624,573 and $87,193,316, respectively) (3) |  | 135,108 |  | 156,758 |  |  |  |
Fair Value, Measurements, Recurring | Residential Mortgage |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | 1,061,124 |  | 1,359,806 |  |  |  |
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 |  | 20,388 |  | 0 |  |  |  |
Total assets |  | 20,388 |  | 0 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Securitized debt of consolidated VIEs |  | 0 |  |  |  |  |  |
Interest rate swaps |  | 0 |  | 0 |  |  |  |
Other derivatives |  | 363,165 |  | 462,309 |  |  |  |
Total liabilities |  | 363,165 |  | 462,309 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Securities (includes pledged assets of $113,624,573 and $87,193,316, respectively) (3) |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Commercial Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Securities (includes pledged assets of $113,624,573 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 2 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 118,202,040 |  | 90,752,995 |  |  |  |
Credit risk transfer securities |  | 491,969 |  | 552,097 |  |  |  |
Mortgage servicing rights |  | 0 |  | 0 |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 3,421,682 |  | 3,833,200 |  |  |  |
Interest rate swaps |  | 5,440 |  | 48,114 |  |  |  |
Other derivatives |  | 49,314 |  | 152,389 |  |  |  |
Total assets |  | 124,464,429 |  | 98,017,297 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Securitized debt of consolidated VIEs |  | 3,470,168 |  |  |  |  |  |
Interest rate swaps |  | 677,295 |  | 420,365 |  |  |  |
Other derivatives |  | 2,737 |  | 7,076 |  |  |  |
Total liabilities |  | 4,150,200 |  | 3,774,503 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Securities (includes pledged assets of $113,624,573 and $87,193,316, respectively) (3) |  | 1,097,752 |  | 1,161,938 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Commercial Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Securities (includes pledged assets of $113,624,573 and $87,193,316, respectively) (3) |  | 135,108 |  | 156,758 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | 1,061,124 |  | 1,359,806 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 0 |  | 0 |  |  |  |
Credit risk transfer securities |  | 0 |  | 0 |  |  |  |
Mortgage servicing rights |  | 425,328 |  | 557,813 |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 0 |  | 0 |  |  |  |
Interest rate swaps |  | 0 |  | 0 |  |  |  |
Other derivatives |  | 0 |  | 0 |  |  |  |
Total assets |  | 425,328 |  | 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 | Non-Agency Mortgage-backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Securities (includes pledged assets of $113,624,573 and $87,193,316, respectively) (3) |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Commercial Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Securities (includes pledged assets of $113,624,573 and $87,193,316, respectively) (3) |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | $ 0 |  | $ 0 |  |  |  |
[1] | (3) Excludes $327.9 million and $83.6 million at June 30, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $168.0 million and $224.3 million at June 30, 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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