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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018
--- | --- | --- | ---
Assets |  |  |  |
Estimated fair value | [1] | $ 75,652,396 | $ 114,833,580 |
Mortgage servicing rights |  | 100,895 | 378,078 | $ 557,813
Assets transferred or pledged to securitization vehicles |  | 6,910,020 | 7,002,460 |
Interest rate swaps |  | 0 | 1,199 |
Liabilities |  |  |  |
Participations issued |  | 39,198 | 0 |
Derivative liabilities |  |  |  |
Interest rate swaps |  | 1,006,492 | 706,862 |
Residential Mortgage Loans |  |  |  |
Assets |  |  |  |
Fair value |  | 3,595,061 | 4,246,161 |
Fair Value, Measurements, Recurring |  |  |  |
Assets |  |  |  |
Agency mortgage-backed securities |  | 74,067,059 | 112,893,367 |
Credit risk transfer securities |  | 532,403 | 531,322 |
Mortgage servicing rights |  | 100,895 | 378,078 |
Assets transferred or pledged to securitization vehicles |  | 6,035,671 | 6,066,082 |
Interest rate swaps |  |  | 1,199 |
Derivative assets |  |  |  |
Other derivatives |  | 171,134 | 112,357 |
Total assets |  | 82,305,906 | 123,039,083 |
Liabilities |  |  |  |
Debt issued by securitization vehicles |  | 5,652,982 | 5,622,801 |
Participations issued |  | 39,198 |  |
Derivative liabilities |  |  |  |
Interest rate swaps |  | 1,006,492 | 706,862 |
Other derivatives |  | 26,853 | 97,004 |
Total liabilities |  | 6,725,525 | 6,426,667 |
Fair Value, Measurements, Recurring | Non-Agency Mortgage-backed Securities |  |  |  |
Assets |  |  |  |
Estimated fair value |  | 972,192 | 1,135,868 |
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities |  |  |  |
Assets |  |  |  |
Estimated fair value |  | 80,742 | 273,023 |
Fair Value, Measurements, Recurring | Residential Mortgage Loans |  |  |  |
Assets |  |  |  |
Fair value |  | 345,810 | 1,647,787 |
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 |
Derivative assets |  |  |  |
Other derivatives |  | 506 | 77,889 |
Total assets |  | 506 | 77,889 |
Liabilities |  |  |  |
Debt issued by securitization vehicles |  | 0 | 0 |
Participations issued |  | 0 |  |
Derivative liabilities |  |  |  |
Interest rate swaps |  | 0 | 0 |
Other derivatives |  | 19,413 | 84,781 |
Total liabilities |  | 19,413 | 84,781 |
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 |  |  |  |
Fair value |  | 0 | 0 |
Fair Value, Measurements, Recurring | Level 2 |  |  |  |
Assets |  |  |  |
Agency mortgage-backed securities |  | 74,067,059 | 112,893,367 |
Credit risk transfer securities |  | 532,403 | 531,322 |
Mortgage servicing rights |  | 0 | 0 |
Assets transferred or pledged to securitization vehicles |  | 6,035,671 | 6,066,082 |
Interest rate swaps |  |  | 1,199 |
Derivative assets |  |  |  |
Other derivatives |  | 170,628 | 34,468 |
Total assets |  | 82,204,505 | 122,583,116 |
Liabilities |  |  |  |
Debt issued by securitization vehicles |  | 5,652,982 | 5,622,801 |
Participations issued |  | 39,198 |  |
Derivative liabilities |  |  |  |
Interest rate swaps |  | 1,006,492 | 706,862 |
Other derivatives |  | 7,440 | 12,223 |
Total liabilities |  | 6,706,112 | 6,341,886 |
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-backed Securities |  |  |  |
Assets |  |  |  |
Estimated fair value |  | 972,192 | 1,135,868 |
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities |  |  |  |
Assets |  |  |  |
Estimated fair value |  | 80,742 | 273,023 |
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans |  |  |  |
Assets |  |  |  |
Fair value |  | 345,810 | 1,647,787 |
Fair Value, Measurements, Recurring | Level 3 |  |  |  |
Assets |  |  |  |
Agency mortgage-backed securities |  | 0 | 0 |
Credit risk transfer securities |  | 0 | 0 |
Mortgage servicing rights |  | 100,895 | 378,078 |
Assets transferred or pledged to securitization vehicles |  | 0 | 0 |
Interest rate swaps |  |  | 0 |
Derivative assets |  |  |  |
Other derivatives |  | 0 | 0 |
Total assets |  | 100,895 | 378,078 |
Liabilities |  |  |  |
Debt issued by securitization vehicles |  | 0 | 0 |
Participations issued |  | 0 |  |
Derivative liabilities |  |  |  |
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 |  |  |  |
Fair value |  | $ 0 | $ 0 |
[1] | Excludes $81.5 million and $102.5 million at December 31, 2020 and 2019, respectively, of agency mortgage-backed securities, $576.6 million and $468.0 million at December 31, 2020 and 2019, respectively, of non-Agency mortgage-backed securities and $391.0 million and $500.3 million at December 31, 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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