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VARIABLE INTEREST ENTITIES - Narrative (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 6 Months Ended |  |
--- | --- | --- | --- | --- | ---
Aug. 31, 2017 | Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2023 | Jun. 30, 2022 | Dec. 31, 2022 | Mar. 31, 2020
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | $ 9,789,282 |  | $ 9,789,282 |  | $ 7,744,160 | [1] |
Mortgage-backed securities | [2] |  | 71,202,461 |  | 71,202,461 |  | 65,789,907 | [1] |
Costs incurred in connection with securitization |  |  | 42,915 | $ 36,038 | 83,743 | $ 81,802 |  |  |
Securitized debt of consolidated VIE, unrealized gain (loss) |  |  | 130,500 | 395,900 | (81,400) | 694,000 |  |  |
Participations issued |  |  | 492,307 |  | 492,307 |  | 800,849 | [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 |  |  | 1,200,000 |  | 1,200,000 |  |  |  |
Consolidated VIEs | OBX Trust |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |
Securitized debt of consolidated VIEs |  |  | 9,800,000 |  | 9,800,000 |  | 7,700,000 |  |
Costs incurred in connection with securitization |  |  | 2,700 | $ 1,800 | 4,000 | $ 5,100 |  |  |
Contractual principal amount of debt held by third parties |  |  | 11,000,000 |  | 11,000,000 |  | 9,000,000 |  |
Consolidated VIEs | Consolidation, Eliminations | OBX Trust |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  |  | 1,200,000 |  | 1,200,000 |  | 1,000,000 |  |
VIE, Not Primary Beneficiary | Residential mortgage loans |  |  |  |  |  |  |  |  |
Variable Interest Entity [Line Items] |  |  |  |  |  |  |  |  |
Participations issued |  |  | $ 492,300 |  | $ 492,300 |  | $ 800,800 |  |
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, 2022.
[2] | (3)Excludes $1.3 billion and $1.0 billion at June 30, 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.

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