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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017
--- | --- | --- | --- | --- | --- | ---
Assets |  |  |  |  |  |  |  |
Estimated Fair Value | [1] | $ 116,094,061 |  | $ 92,623,788 | [2] |  |  |
Mortgage servicing rights |  | 386,051 | $ 425,328 | 557,813 |  | $ 588,833 | $ 599,014 | $ 580,860
Assets transferred or pledged to securitization vehicles |  | 4,688,144 |  | 3,833,200 | [2] |  |  |
Interest rate swaps |  | 2,556 |  | 48,114 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Interest rate swaps |  | 861,067 |  | 420,365 |  |  |  |
Residential mortgage loans |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | 3,596,133 |  | 2,454,637 |  |  |  |
Level 1 |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  |  |  | 0 |  |  |  |
Level 2 |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  |  |  | 3,347,062 |  |  |  |
Level 3 |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  |  |  | 0 |  |  |  |
Fair Value, Measurements, Recurring |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 114,462,524 |  | 90,752,995 |  |  |  |
Credit risk transfer securities |  | 474,765 |  | 552,097 |  |  |  |
Mortgage servicing rights |  | 386,051 |  | 557,813 |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 3,878,139 |  | 3,833,200 |  |  |  |
Interest rate swaps |  | 2,556 |  | 48,114 |  |  |  |
Other derivatives |  | 166,199 |  | 152,389 |  |  |  |
Total assets |  | 121,746,408 |  | 98,575,110 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 3,856,082 |  | 3,347,062 |  |  |  |
Interest rate swaps |  | 861,067 |  | 420,365 |  |  |  |
Other derivatives |  | 111,348 |  | 469,385 |  |  |  |
Total liabilities |  | 4,828,497 |  | 4,236,812 |  |  |  |
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Estimated Fair Value |  | 1,015,921 |  | 1,161,938 |  |  |  |
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Estimated Fair Value |  | 140,851 |  | 156,758 |  |  |  |
Fair Value, Measurements, Recurring | Residential mortgage loans |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | 1,219,402 |  | 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 |  | 102,400 |  | 0 |  |  |  |
Total assets |  | 102,400 |  | 0 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 0 |  |  |  |  |  |
Interest rate swaps |  | 0 |  | 0 |  |  |  |
Other derivatives |  | 80,563 |  | 462,309 |  |  |  |
Total liabilities |  | 80,563 |  | 462,309 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Estimated Fair Value |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Estimated Fair Value |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Residential mortgage loans |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 114,462,524 |  | 90,752,995 |  |  |  |
Credit risk transfer securities |  | 474,765 |  | 552,097 |  |  |  |
Mortgage servicing rights |  | 0 |  | 0 |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 3,878,139 |  | 3,833,200 |  |  |  |
Interest rate swaps |  | 2,556 |  | 48,114 |  |  |  |
Other derivatives |  | 63,799 |  | 152,389 |  |  |  |
Total assets |  | 121,257,957 |  | 98,017,297 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 3,856,082 |  |  |  |  |  |
Interest rate swaps |  | 861,067 |  | 420,365 |  |  |  |
Other derivatives |  | 30,785 |  | 7,076 |  |  |  |
Total liabilities |  | 4,747,934 |  | 3,774,503 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Estimated Fair Value |  | 1,015,921 |  | 1,161,938 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Estimated Fair Value |  | 140,851 |  | 156,758 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | 1,219,402 |  | 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 |  | 386,051 |  | 557,813 |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 0 |  | 0 |  |  |  |
Interest rate swaps |  | 0 |  | 0 |  |  |  |
Other derivatives |  | 0 |  | 0 |  |  |  |
Total assets |  | 386,051 |  | 557,813 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 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 |  |  |  |  |  |  |  |
Estimated Fair Value |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Estimated Fair Value |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Residential mortgage loans |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans |  | $ 0 |  | $ 0 |  |  |  |
[1] | (3) Excludes $429.1 million and $83.6 million at September 30, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $182.3 million and $224.3 million at September 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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- 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://fasb.org/us-gaap/role/ref/legacyRef -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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 1A -Subparagraph (c)(2) -URI http://asc.fasb.org/extlink&oid=109249958&loc=SL6224234-111729 + Details
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- Definition The fair value as of the balance sheet date of firm holdings in mortgages, mortgage backed securities (investment instruments that represent ownership of an undivided interest in a group of mortgages, where principal and interest from the individual mortgages are used to pay investors' principal and interest on the mortgage backed security) and asset-backed securities that are primarily paid from the cash flows of a discrete pool of receivables or other financial assets (such as credit-card receivables), either fixed or revolving, that by their terms convert into cash within a finite time period. Includes both pledged (to counterparties as collateral for financing transactions) and unpledged holdings. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=35711157&loc=d3e42546-110969 + Details
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