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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017
--- | --- | --- | ---
Assets |  |  |  |
Estimated fair value | [1] | $ 114,833,580 | $ 92,623,788 |
Mortgage servicing rights |  | 378,078 | 557,813 | $ 580,860
Assets transferred or pledged to securitization vehicles |  | 7,002,460 | 3,833,200 |
Interest rate swaps |  | 1,199 | 48,114 |
Liabilities |  |  |  |
Interest rate swaps |  | 706,862 | 420,365 |
Residential Mortgage Loans |  |  |  |
Assets |  |  |  |
Residential mortgage loans |  | 4,246,161 | 2,454,637 |
Fair Value, Measurements, Recurring |  |  |  |
Assets |  |  |  |
Agency mortgage-backed securities |  | 112,893,367 | 90,752,995 |
Credit risk transfer securities |  | 531,322 | 552,097 |
Mortgage servicing rights |  | 378,078 | 557,813 |
Assets transferred or pledged to securitization vehicles |  | 6,066,082 | 3,833,200 |
Interest rate swaps |  | 1,199 | 48,114 |
Other derivatives |  | 112,357 | 152,389 |
Total assets |  | 123,039,083 | 98,575,110 |
Liabilities |  |  |  |
Securitized debt of consolidated VIEs |  | 5,622,801 | 3,347,062 |
Interest rate swaps |  | 706,862 | 420,365 |
Other derivatives |  | 97,004 | 469,385 |
Total liabilities |  | 6,426,667 | 4,236,812 |
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities |  |  |  |
Assets |  |  |  |
Estimated fair value |  | 1,135,868 | 1,161,938 |
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities |  |  |  |
Assets |  |  |  |
Estimated fair value |  | 273,023 | 156,758 |
Fair Value, Measurements, Recurring | Residential Mortgage Loans |  |  |  |
Assets |  |  |  |
Residential mortgage loans |  | 1,647,787 | 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 |  | 77,889 | 0 |
Total assets |  | 77,889 | 0 |
Liabilities |  |  |  |
Securitized debt of consolidated VIEs |  | 0 | 0 |
Interest rate swaps |  | 0 | 0 |
Other derivatives |  | 84,781 | 462,309 |
Total liabilities |  | 84,781 | 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 |  | 112,893,367 | 90,752,995 |
Credit risk transfer securities |  | 531,322 | 552,097 |
Mortgage servicing rights |  | 0 | 0 |
Assets transferred or pledged to securitization vehicles |  | 6,066,082 | 3,833,200 |
Interest rate swaps |  | 1,199 | 48,114 |
Other derivatives |  | 34,468 | 152,389 |
Total assets |  | 122,583,116 | 98,017,297 |
Liabilities |  |  |  |
Securitized debt of consolidated VIEs |  | 5,622,801 | 3,347,062 |
Interest rate swaps |  | 706,862 | 420,365 |
Other derivatives |  | 12,223 | 7,076 |
Total liabilities |  | 6,341,886 | 3,774,503 |
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities |  |  |  |
Assets |  |  |  |
Estimated fair value |  | 1,135,868 | 1,161,938 |
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities |  |  |  |
Assets |  |  |  |
Estimated fair value |  | 273,023 | 156,758 |
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans |  |  |  |
Assets |  |  |  |
Residential mortgage loans |  | 1,647,787 | 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 |  | 378,078 | 557,813 |
Assets transferred or pledged to securitization vehicles |  | 0 | 0 |
Interest rate swaps |  | 0 | 0 |
Other derivatives |  | 0 | 0 |
Total assets |  | 378,078 | 557,813 |
Liabilities |  |  |  |
Securitized debt of consolidated VIEs |  | 0 | 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] | Excludes $102.5 million and $0 at December 31, 2019 and 2018, respectively, of agency mortgage-backed securities, $468.0 million and $83.6 million at December 31, 2019 and 2018, respectively, of non-Agency mortgage-backed securities and $500.3 million and $224.3 million at December 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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- 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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