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VARIABLE INTEREST ENTITIES - Narrative (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 9 Months Ended |  |  |
--- | --- | --- | --- | --- | --- | ---
Aug. 31, 2017 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | Mar. 31, 2020 | Nov. 30, 2019
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Principal receivable | [1] |  | $ 3,580,521,000 |  | $ 3,580,521,000 |  | $ 3,083,821,000 | [2] |  |
Securitized debt of consolidated VIEs |  |  | 3,935,410,000 |  | 3,935,410,000 |  | 5,652,982,000 | [2] |  |
Mortgage-backed securities | [3] |  | 65,622,352,000 |  | 65,622,352,000 |  | 75,652,396,000 | [2] |  |
Costs incurred in connection with securitization |  |  | 43,882,000 | $ 44,587,000 | 145,313,000 | $ 179,222,000 |  |  |  |
Other secured financing |  |  | 729,555,000 |  | 729,555,000 |  | 917,876,000 | [2] |  |
Participations issued |  |  | 641,006,000 |  | 641,006,000 |  | 39,198,000 | [2] |  |
MSR Silo |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Variable interest entity, ownership percentage |  | 100.00% |  |  |  |  |  |  |  |
Consolidated VIEs |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Exposure to obligations of VIEs |  |  | 2,200,000,000 |  | 2,200,000,000 |  |  |  |  |
Consolidated VIEs | Residential mortgage loans |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | 10,700,000 |  | 10,700,000 |  |  |  |  |
Consolidated VIEs | OBX Trust |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Contractual principal amount of debt held by third parties |  |  | 3,300,000,000 |  | 3,300,000,000 |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | 3,400,000,000 |  | 3,400,000,000 |  |  |  |  |
Costs incurred in connection with securitization |  |  | 2,200,000 | $ 2,800,000 | 4,000,000 | 7,100,000 |  |  |  |
Consolidated VIEs | Consolidation, Eliminations | Residential mortgage loans |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  | 12,100,000 |  | 12,100,000 |  |  |  |  |
Consolidated VIEs | Consolidation, Eliminations | OBX Trust |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  | 678,400,000 |  | 678,400,000 |  |  |  |  |
Consolidated VIEs | Residential Trusts |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Contractual principal amount of debt held by third parties |  |  | 10,700,000 |  | 10,700,000 |  | 23,000,000 |  |  |
Other secured financing |  |  |  |  |  |  | 0 |  |  |
Consolidated VIEs | Borrower | June 2016 Credit Facility |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Credit facility, maximum borrowing capacity |  |  | 675,000,000 |  | 675,000,000 |  |  |  |  |
Other secured financing |  |  | 359,000,000 |  | 359,000,000 |  |  |  |  |
Consolidated VIEs | Borrower | June 2016 Credit Facility | Corporate Loans |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Transferred loans pledged as collateral for credit facility |  |  | 595,400,000 |  | 595,400,000 |  |  |  |  |
Consolidated VIEs | Borrower | July 2017 Credit Facility |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Credit facility, maximum borrowing capacity |  |  | 400,000,000 |  | 400,000,000 |  |  |  |  |
Consolidated VIEs | Borrower | July 2017 Credit Facility | Corporate Loans |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Transferred loans pledged as collateral for credit facility |  |  | 371,200,000 |  | 371,200,000 |  |  |  |  |
Other secured financing |  |  | 199,200,000 |  | 199,200,000 |  |  |  |  |
Consolidated VIEs | Borrower | January 2019 Credit Facility |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Credit facility, maximum borrowing capacity |  |  | 400,000,000 |  | 400,000,000 |  |  |  |  |
Consolidated VIEs | Borrower | January 2019 Credit Facility | Corporate Loans |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Transferred loans pledged as collateral for credit facility |  |  | 301,700,000 |  | 301,700,000 |  |  |  |  |
Other secured financing |  |  | 171,400,000 |  | 171,400,000 |  |  |  |  |
Consolidated VIEs | Borrower | Consolidation, Eliminations | June 2016 Credit Facility |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Principal receivable |  |  | 359,000,000 |  | 359,000,000 |  |  |  |  |
VIE, Not Primary Beneficiary |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Loans transferred for cash |  |  | 209,900,000 |  | 284,900,000 |  |  |  |  |
VIE, Not Primary Beneficiary | Residential mortgage loans |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Participations issued |  |  | $ 641,000,000 |  | $ 641,000,000 |  | $ 39,200,000 |  |  |
Multifamily | Consolidated VIEs |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Cut-off date principal balance |  |  |  |  |  |  |  |  | $ 500,000,000 | $ 1,000,000,000
Costs incurred |  |  |  |  |  | $ 1,100,000 |  |  |  |
Multifamily | Retained Interest | Consolidated VIEs |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Retained interest notional balance |  |  |  |  |  |  |  |  | $ 500,000,000 | 1,000,000,000
Multifamily | Senior Loans | Consolidated VIEs |  |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |  |
Principal receivable |  |  |  |  |  |  |  |  |  | $ 28,500,000
[1] | (4)Includes $3.7 million and $47.0 million of residential mortgage loans held for sale at September 30, 2021 and December 31, 2020, respectively, and $2.1 million and $0 of corporate loans held for sale at September 30, 2021 and December 31, 2020, respectively.
[2] | (1)Derived from the audited consolidated financial statements at December 31, 2020.
[3] | (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.

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