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VARIABLE INTEREST ENTITIES - Narrative (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended |  |
--- | --- | --- | --- | --- | ---
Aug. 31, 2017 | Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | Mar. 31, 2020
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | $ 7,844,518 |  | $ 7,844,518 |  | $ 5,155,633 | [1] |
Mortgage-backed securities | [2] |  | 66,839,353 |  | 66,839,353 |  | 63,655,674 | [1] |
Costs incurred in connection with securitization |  |  | 37,922 | $ 43,882 | 119,724 | $ 145,313 |  |  |
Participations issued |  |  | 745,729 |  | 745,729 |  | 1,049,066 | [1] |
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 |  |  | 1,100,000 |  | 1,100,000 |  |  |  |
Consolidated VIEs | OBX Trust |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | 7,400,000 |  | 7,400,000 |  | 4,600,000 |  |
Costs incurred in connection with securitization |  |  | 1,700 | $ 2,200 | 6,800 | $ 4,000 |  |  |
Contractual principal amount of debt held by third parties |  |  | 8,600,000 |  | 8,600,000 |  | 4,600,000 |  |
Consolidated VIEs | Consolidation, Eliminations | OBX Trust |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  | 1,000,000 |  | 1,000,000 |  | 780,800 |  |
VIE, Not Primary Beneficiary | Residential mortgage loans |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |
Participations issued |  |  | $ 700,000 |  | $ 700,000 |  | $ 1,000,000 |  |
Multifamily | Consolidated VIEs |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |
Cut-off date principal balance |  |  |  |  |  |  |  |  | $ 500,000
Multifamily | Retained Interest | Consolidated VIEs |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |
Retained interest notional balance |  |  |  |  |  |  |  |  | $ 500,000
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2021.
[2] | (3)Excludes $27.3 million and $44.2 million at September 30, 2022 and December 31, 2021, respectively, of Agency mortgage-backed securities and $1.0 billion and $350.4 million at September 30, 2022 and December 31, 2021, respectively, of non-Agency mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.

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