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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019
--- | --- | --- | --- | --- | --- | ---
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities | [1] | $ 65,622,352 |  | $ 75,652,396 | [2] |  |  |
Loans |  |  |  |  |  |  |  |
Mortgage servicing rights |  | 572,259 | $ 202,616 | 100,895 |  | $ 207,985 | $ 227,400 | $ 378,078
Assets transferred or pledged to securitization vehicles |  | 4,738,481 |  | 6,910,020 | [2] |  |  |
Liabilities |  |  |  |  |  |  |  |
Participations issued |  | 641,006 |  | 39,198 | [2] |  |  |
Derivative liabilities |  |  |  |  |  |  |  |
Interest rate swaps |  | 754,248 |  | 1,006,492 |  |  |  |
Residential Mortgage Loans |  |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |  |
Residential mortgage loans |  | 5,826,826 |  | 3,595,061 |  |  |  |
Fair Value, Measurements, Recurring |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 62,818,079 |  | 74,067,059 |  |  |  |
Credit risk transfer securities |  | 787,235 |  | 532,403 |  |  |  |
Loans |  |  |  |  |  |  |  |
Mortgage servicing rights |  | 572,259 |  | 100,895 |  |  |  |
Interests in MSR |  | 57,530 |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 4,738,481 |  | 6,035,671 |  |  |  |
Derivative assets |  |  |  |  |  |  |  |
Other derivatives |  | 331,395 |  | 171,134 |  |  |  |
Total assets |  | 73,009,716 |  | 82,305,906 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 3,935,410 |  | 5,652,982 |  |  |  |
Participations issued |  | 641,006 |  | 39,198 |  |  |  |
Derivative liabilities |  |  |  |  |  |  |  |
Interest rate swaps |  | 754,248 |  | 1,006,492 |  |  |  |
Other derivatives |  | 157,886 |  | 26,853 |  |  |  |
Total liabilities |  | 5,488,550 |  | 6,725,525 |  |  |  |
Fair Value, Measurements, Recurring | Non-Agency Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 1,747,932 |  | 972,192 |  |  |  |
Fair Value, Measurements, Recurring | Commercial Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 269,106 |  | 80,742 |  |  |  |
Fair Value, Measurements, Recurring | Residential Mortgage Loans |  |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |  |
Residential mortgage loans |  | 1,686,268 |  | 345,810 |  |  |  |
Residential mortgage loan warehouse facility |  | 1,431 |  |  |  |  |  |
Fair Value, Measurements, Recurring | Level 1 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 0 |  | 0 |  |  |  |
Credit risk transfer securities |  | 0 |  | 0 |  |  |  |
Loans |  |  |  |  |  |  |  |
Mortgage servicing rights |  | 0 |  | 0 |  |  |  |
Interests in MSR |  | 0 |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 0 |  | 0 |  |  |  |
Derivative assets |  |  |  |  |  |  |  |
Other derivatives |  | 199,728 |  | 506 |  |  |  |
Total assets |  | 199,728 |  | 506 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 0 |  | 0 |  |  |  |
Participations issued |  | 0 |  | 0 |  |  |  |
Derivative liabilities |  |  |  |  |  |  |  |
Interest rate swaps |  | 0 |  | 0 |  |  |  |
Other derivatives |  | 108 |  | 19,413 |  |  |  |
Total liabilities |  | 108 |  | 19,413 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Non-Agency Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Commercial Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 1 | Residential Mortgage Loans |  |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |  |
Residential mortgage loans |  | 0 |  | 0 |  |  |  |
Residential mortgage loan warehouse facility |  | 0 |  |  |  |  |  |
Fair Value, Measurements, Recurring | Level 2 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 62,818,079 |  | 74,067,059 |  |  |  |
Credit risk transfer securities |  | 787,235 |  | 532,403 |  |  |  |
Loans |  |  |  |  |  |  |  |
Mortgage servicing rights |  | 0 |  | 0 |  |  |  |
Interests in MSR |  | 0 |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 4,738,481 |  | 6,035,671 |  |  |  |
Derivative assets |  |  |  |  |  |  |  |
Other derivatives |  | 131,667 |  | 170,628 |  |  |  |
Total assets |  | 72,180,199 |  | 82,204,505 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 3,935,410 |  | 5,652,982 |  |  |  |
Participations issued |  | 641,006 |  | 39,198 |  |  |  |
Derivative liabilities |  |  |  |  |  |  |  |
Interest rate swaps |  | 754,248 |  | 1,006,492 |  |  |  |
Other derivatives |  | 157,778 |  | 7,440 |  |  |  |
Total liabilities |  | 5,488,442 |  | 6,706,112 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Non-Agency Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 1,747,932 |  | 972,192 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Commercial Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 269,106 |  | 80,742 |  |  |  |
Fair Value, Measurements, Recurring | Level 2 | Residential Mortgage Loans |  |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |  |
Residential mortgage loans |  | 1,686,268 |  | 345,810 |  |  |  |
Residential mortgage loan warehouse facility |  | 1,431 |  |  |  |  |  |
Fair Value, Measurements, Recurring | Level 3 |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Agency mortgage-backed securities |  | 0 |  | 0 |  |  |  |
Credit risk transfer securities |  | 0 |  | 0 |  |  |  |
Loans |  |  |  |  |  |  |  |
Mortgage servicing rights |  | 572,259 |  | 100,895 |  |  |  |
Interests in MSR |  | 57,530 |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 0 |  | 0 |  |  |  |
Derivative assets |  |  |  |  |  |  |  |
Other derivatives |  | 0 |  | 0 |  |  |  |
Total assets |  | 629,789 |  | 100,895 |  |  |  |
Liabilities |  |  |  |  |  |  |  |
Debt issued by securitization vehicles |  | 0 |  | 0 |  |  |  |
Participations issued |  | 0 |  | 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 |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Commercial Mortgage-Backed Securities |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Mortgage-backed securities |  | 0 |  | 0 |  |  |  |
Fair Value, Measurements, Recurring | Level 3 | Residential Mortgage Loans |  |  |  |  |  |  |  |
Loans |  |  |  |  |  |  |  |
Residential mortgage loans |  | 0 |  | $ 0 |  |  |  |
Residential mortgage loan warehouse facility |  | $ 0 |  |  |  |  |  |
[1] | (3)Excludes $46.4 million and $81.5 million at September 30, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $245.8 million and $576.6 million at September 30, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at September 30, 2021 and December 31, 2020, 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, 2020.

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