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VARIABLE INTEREST ENTITIES - Additional Information (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended |  |  |  |  |  |  |  |  |  |  |  |  |
--- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | ---
Aug. 31, 2017 | Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | Mar. 31, 2020 | Feb. 29, 2020 | Jan. 31, 2020 | Nov. 30, 2019 | Oct. 31, 2019 | Jul. 31, 2019 | Apr. 30, 2019 | Feb. 28, 2019 | Jan. 31, 2019 | Dec. 31, 2018 | Oct. 31, 2018 | Aug. 31, 2018 | Mar. 31, 2018
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal receivable | [1] |  | $ 3,972,671,000 |  | $ 3,972,671,000 |  | $ 4,462,350,000 | [2] |  |  |  |  |  |  |  |  |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | 6,458,130,000 |  | 6,458,130,000 |  | 5,622,801,000 | [2] |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities | [3] |  | 77,805,743,000 |  | 77,805,743,000 |  | 114,833,580,000 | [2] |  |  |  |  |  |  |  |  |  |  |  |  |
Costs incurred in connection with securitization |  |  | 67,666,000 | $ 78,408,000 | 145,295,000 | $ 162,145,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other secured financings |  |  | 1,538,996,000 |  | 1,538,996,000 |  | 4,455,700,000 | [2] |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate Loans |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans 90 days or more past due or on nonaccrual status |  |  | 0 |  | 0 |  | 12,200,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans |  |  | 2,185,264,000 |  | 2,185,264,000 |  | 2,144,850,000 |  |  |  |  |  |  |  |  |  |  | $ 1,887,182,000 |  |  |
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 |  |  | 2,600,000,000 |  | 2,600,000,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | Commercial Trusts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal receivable |  |  | 2,300,000,000 |  | 2,300,000,000 |  | 2,300,000,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gain (loss) attributable to instrument- specific credit risk |  |  |  |  | 0 | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans |  |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other secured financings |  |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | Residential Trusts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans |  |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contractual principal amount of debt held by third parties |  |  | 43,200,000 |  | 43,200,000 |  | 57,300,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other secured financings |  |  | 0 |  | 0 |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | Borrower |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit facility, maximum borrowing capacity |  |  | 625,000,000.0 |  | 625,000,000.0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other secured financings |  |  | 426,400,000 |  | 426,400,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | Consolidation, Eliminations | Borrower |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal receivable |  |  | 426,400,000 |  | 426,400,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | Corporate Loans | Borrower |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Transferred loans pledged as collateral for credit facility |  |  | 741,300,000 |  | 741,300,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | NLY 2019-FL2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal receivable |  |  | 857,300,000 |  | 857,300,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ 857,300,000 |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | 610,100,000 |  | 610,100,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Costs incurred in connection with securitization |  |  |  |  |  |  | 8,300,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contractual principal amount of debt held by third parties |  |  | 633,900,000 |  | 633,900,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | NLY 2019-FL2 | Consolidation, Eliminations |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  | 196,600,000 |  | 196,600,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | OBX Trust |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans |  |  |  | 383,760,000 |  | 383,760,000 |  |  |  | $ 467,511,000 | $ 374,609,000 |  | $ 465,492,000 | $ 463,405,000 | $ 388,156,000 |  | $ 393,961,000 |  | $ 384,027,000 | $ 383,451,000 | $ 327,162,000
Securitized debt of consolidated VIEs |  |  | 2,300,000,000 |  | 2,300,000,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Costs incurred in connection with securitization |  |  | 0.0 | $ 3,000,000.0 | 3,700,000 | $ 4,700,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contractual principal amount of debt held by third parties |  |  | 2,300,000,000 |  | 2,300,000,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | OBX Trust | Consolidation, Eliminations |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  | 526,300,000 |  | 526,300,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | Financing Receivables, Equal to Greater than 90 Days Past Due | Commercial Trusts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans 90 days or more past due or on nonaccrual status |  |  | 0 |  | 0 |  | $ 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | July 2017 Credit Facility | Borrower |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit facility, maximum borrowing capacity |  |  | 320,000,000.0 |  | 320,000,000.0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | July 2017 Credit Facility | Corporate Loans | Borrower |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Transferred loans pledged as collateral for credit facility |  |  | 454,900,000 |  | 454,900,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other secured financings |  |  | 257,800,000 |  | 257,800,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consolidated VIEs | January 2019 Credit Facility | Borrower |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit facility, maximum borrowing capacity |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ 300,000,000.0 |  |  |  |
Consolidated VIEs | January 2019 Credit Facility | Corporate Loans | Borrower |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Transferred loans pledged as collateral for credit facility |  |  | 336,800,000 |  | 336,800,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other secured financings |  |  | $ 211,600,000 |  | 211,600,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Multifamily | Consolidated VIEs |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cut-off date principal balance |  |  |  |  |  |  |  |  | $ 500,000,000 |  |  | $ 1,000,000,000.0 |  |  |  |  |  |  |  |  |
Costs incurred |  |  |  |  | $ 1,100,000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Retained Interest | Multifamily | Consolidated VIEs |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Retained interest notional balance |  |  |  |  |  |  |  |  | $ 500,000,000 |  |  | 1,000,000,000.0 |  |  |  |  |  |  |  |  |
Senior Loans | Multifamily | Consolidated VIEs |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal receivable |  |  |  |  |  |  |  |  |  |  |  | $ 28,500,000 |  |  |  |  |  |  |  |  |
[1] | Includes $61.1 million and $66.7 million of residential mortgage loans held for sale at June 30, 2020 and December 31, 2019, respectively.
[2] | Derived from the audited consolidated financial statements at December 31, 2019.
[3] | Excludes $144.2 million and $102.5 million at June 30, 2020 and December 31, 2019, respectively, of Agency mortgage-backed securities, $398.9 million and $468.0 million at June 30, 2020 and December 31, 2019, respectively, of non-Agency mortgage-backed securities and $381.3 million and $500.3 million at June 30, 2020 and December 31, 2019, 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 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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