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FAIR VALUE MEASUREMENTS - Estimated Fair Values of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | Mar. 31, 2022 | Dec. 31, 2021
--- | --- | --- | --- | ---
Assets |  |  |  |  |  |
Mortgage-backed securities | [1] | $ 69,238,185 | $ 65,789,907 | [2] |  |
Loans |  |  |  |  |  |
Mortgage servicing rights |  | 1,790,980 | 1,748,209 |  | $ 1,108,937 | $ 544,562
Derivative assets |  |  |  |  |  |
Interest rate swaps |  | 400,139 | 342,064 | [2] |  |
Liabilities |  |  |  |  |  |
Participations issued |  | 673,431 | 800,849 | [2] |  |
Derivative liabilities |  |  |  |  |  |
Interest rate swaps |  | 155,801 | 108,724 |  |  |
Residential mortgage loans |  |  |  |  |  |
Loans |  |  |  |  |  |
Residential mortgage loans |  | 11,920,410 | 10,931,744 |  |  |
Fair Value, Measurements, Recurring |  |  |  |  |  |
Assets |  |  |  |  |  |
Agency mortgage-backed securities |  | 65,623,534 | 62,274,895 |  |  |
Credit risk transfer securities |  | 1,085,384 | 997,557 |  |  |
Loans |  |  |  |  |  |
Mortgage servicing rights |  | 1,790,980 | 1,748,209 |  |  |
Derivative assets |  |  |  |  |  |
Other derivatives |  | 380,984 | 309,058 |  |  |
Total assets |  | 83,349,714 | 78,811,924 |  |  |
Liabilities |  |  |  |  |  |
Debt issued by securitization vehicles |  | 8,805,911 | 7,744,160 |  |  |
Participations issued |  | 673,431 | 800,849 |  |  |
Derivative liabilities |  |  |  |  |  |
Interest rate swaps |  | 155,801 | 108,724 |  |  |
Other derivatives |  | 317,714 | 95,448 |  |  |
Total liabilities |  | 9,952,857 | 8,749,181 |  |  |
Fair Value, Measurements, Recurring | Assets transferred or pledged to securitization vehicles |  |  |  |  |  |
Loans |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 10,277,588 | 9,121,912 |  |  |
Fair Value, Measurements, Recurring | Non-Agency mortgage-backed securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Mortgage-backed securities |  | 2,028,656 | 1,991,146 |  |  |
Fair Value, Measurements, Recurring | Commercial mortgage-backed securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Mortgage-backed securities |  | 500,611 | 526,309 |  |  |
Fair Value, Measurements, Recurring | Residential mortgage loans |  |  |  |  |  |
Loans |  |  |  |  |  |
Residential mortgage loans |  | 1,642,822 | 1,809,832 |  |  |
Fair Value, Measurements, Recurring | Interest rate swaps |  |  |  |  |  |
Derivative assets |  |  |  |  |  |
Interest rate swaps |  | 19,155 | 33,006 |  |  |
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 |  |  |
Derivative assets |  |  |  |  |  |
Other derivatives |  | 222 | 33,179 |  |  |
Total assets |  | 222 | 33,179 |  |  |
Liabilities |  |  |  |  |  |
Debt issued by securitization vehicles |  | 0 | 0 |  |  |
Participations issued |  | 0 | 0 |  |  |
Derivative liabilities |  |  |  |  |  |
Interest rate swaps |  | 0 | 0 |  |  |
Other derivatives |  | 293,840 | 11,919 |  |  |
Total liabilities |  | 293,840 | 11,919 |  |  |
Fair Value, Measurements, Recurring | Level 1 | Assets transferred or pledged to securitization vehicles |  |  |  |  |  |
Loans |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 0 | 0 |  |  |
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 |  |  |
Fair Value, Measurements, Recurring | Level 1 | Interest rate swaps |  |  |  |  |  |
Derivative assets |  |  |  |  |  |
Interest rate swaps |  | 0 | 0 |  |  |
Fair Value, Measurements, Recurring | Level 2 |  |  |  |  |  |
Assets |  |  |  |  |  |
Agency mortgage-backed securities |  | 65,623,534 | 62,274,895 |  |  |
Credit risk transfer securities |  | 1,085,384 | 997,557 |  |  |
Loans |  |  |  |  |  |
Mortgage servicing rights |  | 0 | 0 |  |  |
Derivative assets |  |  |  |  |  |
Other derivatives |  | 380,762 | 275,879 |  |  |
Total assets |  | 81,558,512 | 77,030,536 |  |  |
Liabilities |  |  |  |  |  |
Debt issued by securitization vehicles |  | 8,805,911 | 7,744,160 |  |  |
Participations issued |  | 673,431 | 800,849 |  |  |
Derivative liabilities |  |  |  |  |  |
Interest rate swaps |  | 155,801 | 108,724 |  |  |
Other derivatives |  | 23,874 | 83,529 |  |  |
Total liabilities |  | 9,659,017 | 8,737,262 |  |  |
Fair Value, Measurements, Recurring | Level 2 | Assets transferred or pledged to securitization vehicles |  |  |  |  |  |
Loans |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 10,277,588 | 9,121,912 |  |  |
Fair Value, Measurements, Recurring | Level 2 | Non-Agency mortgage-backed securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Mortgage-backed securities |  | 2,028,656 | 1,991,146 |  |  |
Fair Value, Measurements, Recurring | Level 2 | Commercial mortgage-backed securities |  |  |  |  |  |
Assets |  |  |  |  |  |
Mortgage-backed securities |  | 500,611 | 526,309 |  |  |
Fair Value, Measurements, Recurring | Level 2 | Residential mortgage loans |  |  |  |  |  |
Loans |  |  |  |  |  |
Residential mortgage loans |  | 1,642,822 | 1,809,832 |  |  |
Fair Value, Measurements, Recurring | Level 2 | Interest rate swaps |  |  |  |  |  |
Derivative assets |  |  |  |  |  |
Interest rate swaps |  | 19,155 | 33,006 |  |  |
Fair Value, Measurements, Recurring | Level 3 |  |  |  |  |  |
Assets |  |  |  |  |  |
Agency mortgage-backed securities |  | 0 | 0 |  |  |
Credit risk transfer securities |  | 0 | 0 |  |  |
Loans |  |  |  |  |  |
Mortgage servicing rights |  | 1,790,980 | 1,748,209 |  |  |
Derivative assets |  |  |  |  |  |
Other derivatives |  | 0 | 0 |  |  |
Total assets |  | 1,790,980 | 1,748,209 |  |  |
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 | Assets transferred or pledged to securitization vehicles |  |  |  |  |  |
Loans |  |  |  |  |  |
Assets transferred or pledged to securitization vehicles |  | 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 |  |  |
Fair Value, Measurements, Recurring | Level 3 | Interest rate swaps |  |  |  |  |  |
Derivative assets |  |  |  |  |  |
Interest rate swaps |  | $ 0 | $ 0 |  |  |
[1] | (3)Excludes $1.2 billion and $1.0 billion at March 31, 2023 and December 31, 2022, respectively, of non-Agency 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, 2022.

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