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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | $ 83,718,342 | $ 65,793,672
Remaining Premium | 3,330,873 | 3,771,429
Remaining Discount | (846,235) | (77,850)
Amortized Cost | 73,744,471 | 62,903,483
Unrealized Gains | 25,104 | 1,425,965
Unrealized Losses | (6,930,222) | (673,774)
Estimated Fair Value | 66,839,353 | 63,655,674
Total Residential Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 83,106,761 | 65,260,601
Remaining Premium | 3,330,873 | 3,771,429
Remaining Discount | (843,030) | (77,723)
Amortized Cost | 73,136,095 | 62,370,539
Unrealized Gains | 25,104 | 1,425,800
Unrealized Losses | (6,910,346) | (671,170)
Estimated Fair Value | 66,250,853 | 63,125,169
Agency |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 75,993,078 | 62,472,356
Remaining Premium | 3,282,681 | 3,745,824
Remaining Discount | (728,995) | (20,438)
Amortized Cost | 69,722,785 | 59,794,582
Unrealized Gains | 11,677 | 1,386,383
Unrealized Losses | (6,697,221) | (655,360)
Estimated Fair Value | 63,037,241 | 60,525,605
Agency | Fixed-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 65,429,709 | 54,432,252
Remaining Premium | 2,561,532 | 3,008,185
Remaining Discount | (727,852) | (18,314)
Amortized Cost | 67,263,389 | 57,422,123
Unrealized Gains | 7,680 | 1,349,125
Unrealized Losses | (6,289,954) | (474,643)
Estimated Fair Value | 60,981,115 | 58,296,605
Agency | Adjustable-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 243,262 | 305,211
Remaining Premium | 14,340 | 1,965
Remaining Discount | (98) | (2,124)
Amortized Cost | 257,504 | 305,052
Unrealized Gains | 3,738 | 16,223
Unrealized Losses | (11,738) | (2)
Estimated Fair Value | 249,504 | 321,273
Agency | CMO |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 103,521 | 114,533
Remaining Premium | 1,795 | 1,888
Remaining Discount | 0 | 0
Amortized Cost | 105,316 | 116,421
Unrealized Gains | 0 | 5,277
Unrealized Losses | (12,996) | 0
Estimated Fair Value | 92,320 | 121,698
Agency | Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,576,498 | 1,912,415
Remaining Premium | 400,101 | 456,683
Remaining Discount | 0 | 0
Amortized Cost | 400,101 | 456,683
Unrealized Gains | 259 | 428
Unrealized Losses | (227,515) | (163,197)
Estimated Fair Value | 172,845 | 293,914
Agency | Multifamily |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 8,610,998 | 5,671,138
Remaining Premium | 301,545 | 273,553
Remaining Discount | (1,045) | 0
Amortized Cost | 1,664,017 | 1,453,946
Unrealized Gains | 0 | 15,330
Unrealized Losses | (151,917) | (16,563)
Estimated Fair Value | 1,512,100 | 1,452,713
Agency | Reverse mortgages |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 29,090 | 36,807
Remaining Premium | 3,368 | 3,550
Remaining Discount | 0 | 0
Amortized Cost | 32,458 | 40,357
Unrealized Gains | 0 | 0
Unrealized Losses | (3,101) | (955)
Estimated Fair Value | 29,357 | 39,402
Agency | Multifamily Interest-Only Security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 7,200,000 | 4,500,000
Residential credit |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 7,113,683 | 2,788,245
Remaining Premium | 48,192 | 25,605
Remaining Discount | (114,035) | (57,285)
Amortized Cost | 3,413,310 | 2,575,957
Unrealized Gains | 13,427 | 39,417
Unrealized Losses | (213,125) | (15,810)
Estimated Fair Value | 3,213,612 | 2,599,564
Residential credit | Credit risk transfer |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,100,944 | 924,101
Remaining Premium | 7,170 | 8,754
Remaining Discount | (4,385) | (1,176)
Amortized Cost | 1,103,729 | 927,555
Unrealized Gains | 900 | 9,641
Unrealized Losses | (47,723) | (968)
Estimated Fair Value | 1,056,906 | 936,228
Residential credit | Alt-A |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 145,718 | 83,213
Remaining Premium | 31 | 31
Remaining Discount | (20,012) | (17,133)
Amortized Cost | 125,737 | 66,111
Unrealized Gains | 1,731 | 3,627
Unrealized Losses | (9,624) | (251)
Estimated Fair Value | 117,844 | 69,487
Residential credit | Prime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 2,038,622 | 323,062
Remaining Premium | 21,762 | 9,841
Remaining Discount | (25,159) | (14,757)
Amortized Cost | 300,186 | 268,117
Unrealized Gains | 5,440 | 10,853
Unrealized Losses | (42,791) | (3,529)
Estimated Fair Value | 262,835 | 275,441
Residential credit | Subprime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 206,413 | 170,671
Remaining Premium | 207 | 349
Remaining Discount | (19,387) | (16,111)
Amortized Cost | 187,233 | 154,909
Unrealized Gains | 3,242 | 8,285
Unrealized Losses | (12,656) | (118)
Estimated Fair Value | 177,819 | 163,076
Residential credit | NPL/RPL |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,456,013 | 987,415
Remaining Premium | 1,695 | 950
Remaining Discount | (15,580) | (1,698)
Amortized Cost | 1,442,128 | 986,667
Unrealized Gains | 0 | 2,739
Unrealized Losses | (58,640) | (5,968)
Estimated Fair Value | 1,383,488 | 983,438
Residential credit | Prime jumbo (>=2010 vintage) |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 2,165,973 | 299,783
Remaining Premium | 17,327 | 5,680
Remaining Discount | (29,512) | (6,410)
Amortized Cost | 254,297 | 172,598
Unrealized Gains | 2,114 | 4,272
Unrealized Losses | (41,691) | (4,976)
Estimated Fair Value | 214,720 | 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 | 1,700,000 | 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 | 611,581 | 533,071
Remaining Premium | 0 | 0
Remaining Discount | (3,205) | (127)
Amortized Cost | 608,376 | 532,944
Unrealized Gains | 0 | 165
Unrealized Losses | (19,876) | (2,604)
Estimated Fair Value | $ 588,500 | $ 530,505

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