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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | $ 72,235,638 | $ 65,793,672
Remaining Premium | 3,661,219 | 3,771,429
Remaining Discount | (381,912) | (77,850)
Amortized Cost | 63,746,389 | 62,903,483
Unrealized Gains | 54,836 | 1,425,965
Unrealized Losses | (4,758,491) | (673,774)
Estimated Fair Value | 59,042,734 | 63,655,674
Total Residential Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 71,761,115 | 65,260,601
Remaining Premium | 3,661,219 | 3,771,429
Remaining Discount | (380,136) | (77,723)
Amortized Cost | 63,273,642 | 62,370,539
Unrealized Gains | 54,836 | 1,425,800
Unrealized Losses | (4,742,770) | (671,170)
Estimated Fair Value | 58,585,708 | 63,125,169
Agency |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 65,704,004 | 62,472,356
Remaining Premium | 3,619,469 | 3,745,824
Remaining Discount | (282,071) | (20,438)
Amortized Cost | 60,127,876 | 59,794,582
Unrealized Gains | 40,213 | 1,386,383
Unrealized Losses | (4,574,753) | (655,360)
Estimated Fair Value | 55,593,336 | 60,525,605
Agency | Fixed-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 55,460,523 | 54,432,252
Remaining Premium | 2,874,749 | 3,008,185
Remaining Discount | (281,278) | (18,314)
Amortized Cost | 58,053,994 | 57,422,123
Unrealized Gains | 31,761 | 1,349,125
Unrealized Losses | (4,306,637) | (474,643)
Estimated Fair Value | 53,779,118 | 58,296,605
Agency | Adjustable-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 260,238 | 305,211
Remaining Premium | 10,651 | 1,965
Remaining Discount | (270) | (2,124)
Amortized Cost | 270,619 | 305,052
Unrealized Gains | 5,183 | 16,223
Unrealized Losses | (6,292) | (2)
Estimated Fair Value | 269,510 | 321,273
Agency | CMO |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 106,189 | 114,533
Remaining Premium | 1,848 | 1,888
Remaining Discount | 0 | 0
Amortized Cost | 108,037 | 116,421
Unrealized Gains | 0 | 5,277
Unrealized Losses | (6,692) | 0
Estimated Fair Value | 101,345 | 121,698
Agency | Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,662,567 | 1,912,415
Remaining Premium | 416,404 | 456,683
Remaining Discount | 0 | 0
Amortized Cost | 416,404 | 456,683
Unrealized Gains | 673 | 428
Unrealized Losses | (196,588) | (163,197)
Estimated Fair Value | 220,489 | 293,914
Agency | Multifamily |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 8,182,519 | 5,671,138
Remaining Premium | 312,441 | 273,553
Remaining Discount | (523) | 0
Amortized Cost | 1,243,478 | 1,453,946
Unrealized Gains | 2,596 | 15,330
Unrealized Losses | (55,978) | (16,563)
Estimated Fair Value | 1,190,096 | 1,452,713
Agency | Reverse mortgages |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 31,968 | 36,807
Remaining Premium | 3,376 | 3,550
Remaining Discount | 0 | 0
Amortized Cost | 35,344 | 40,357
Unrealized Gains | 0 | 0
Unrealized Losses | (2,566) | (955)
Estimated Fair Value | 32,778 | 39,402
Agency | Multifamily Interest-Only Security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 7,300,000 | 4,500,000
Residential credit |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 6,057,111 | 2,788,245
Remaining Premium | 41,750 | 25,605
Remaining Discount | (98,065) | (57,285)
Amortized Cost | 3,145,766 | 2,575,957
Unrealized Gains | 14,623 | 39,417
Unrealized Losses | (168,017) | (15,810)
Estimated Fair Value | 2,992,372 | 2,599,564
Residential credit | Credit risk transfer |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,010,209 | 924,101
Remaining Premium | 6,552 | 8,754
Remaining Discount | (2,474) | (1,176)
Amortized Cost | 1,014,287 | 927,555
Unrealized Gains | 390 | 9,641
Unrealized Losses | (48,963) | (968)
Estimated Fair Value | 965,714 | 936,228
Residential credit | Alt-A |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 138,473 | 83,213
Remaining Premium | 33 | 31
Remaining Discount | (19,899) | (17,133)
Amortized Cost | 118,607 | 66,111
Unrealized Gains | 1,902 | 3,627
Unrealized Losses | (4,931) | (251)
Estimated Fair Value | 115,578 | 69,487
Residential credit | Prime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,227,193 | 323,062
Remaining Premium | 15,855 | 9,841
Remaining Discount | (25,681) | (14,757)
Amortized Cost | 297,095 | 268,117
Unrealized Gains | 4,989 | 10,853
Unrealized Losses | (32,367) | (3,529)
Estimated Fair Value | 269,717 | 275,441
Residential credit | Subprime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 187,969 | 170,671
Remaining Premium | 221 | 349
Remaining Discount | (17,896) | (16,111)
Amortized Cost | 170,294 | 154,909
Unrealized Gains | 4,045 | 8,285
Unrealized Losses | (7,020) | (118)
Estimated Fair Value | 167,319 | 163,076
Residential credit | NPL/RPL |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,300,169 | 987,415
Remaining Premium | 1,275 | 950
Remaining Discount | (6,026) | (1,698)
Amortized Cost | 1,295,418 | 986,667
Unrealized Gains | 343 | 2,739
Unrealized Losses | (45,858) | (5,968)
Estimated Fair Value | 1,249,903 | 983,438
Residential credit | Prime jumbo (>=2010 vintage) |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 2,193,098 | 299,783
Remaining Premium | 17,814 | 5,680
Remaining Discount | (26,089) | (6,410)
Amortized Cost | 250,065 | 172,598
Unrealized Gains | 2,954 | 4,272
Unrealized Losses | (28,878) | (4,976)
Estimated Fair Value | 224,141 | 171,894
Residential credit | CRT interest-only security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 0 | 4,100
Residential credit | Prime interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 920,300 | 50,000
Residential credit | Prime Jumbo interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,900,000 | 126,500
Commercial Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 474,523 | 533,071
Remaining Premium | 0 | 0
Remaining Discount | (1,776) | (127)
Amortized Cost | 472,747 | 532,944
Unrealized Gains | 0 | 165
Unrealized Losses | (15,721) | (2,604)
Estimated Fair Value | $ 457,026 | $ 530,505

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