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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | $ 86,183,782 | $ 65,793,672
Remaining Premium | 2,943,297 | 3,771,429
Remaining Discount | (1,110,917) | (77,850)
Amortized Cost | 70,669,855 | 62,903,483
Unrealized Gains | 83,143 | 1,425,965
Unrealized Losses | (4,963,091) | (673,774)
Estimated Fair Value | 65,789,907 | 63,655,674
Total residential securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 85,637,283 | 65,260,601
Remaining Premium | 2,943,297 | 3,771,429
Remaining Discount | (1,108,512) | (77,723)
Amortized Cost | 70,125,761 | 62,370,539
Unrealized Gains | 83,143 | 1,425,800
Unrealized Losses | (4,945,306) | (671,170)
Estimated Fair Value | 65,263,598 | 63,125,169
Agency |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 75,220,242 | 62,472,356
Remaining Premium | 2,878,118 | 3,745,824
Remaining Discount | (1,004,331) | (20,438)
Amortized Cost | 66,908,288 | 59,794,582
Unrealized Gains | 71,939 | 1,386,383
Unrealized Losses | (4,705,332) | (655,360)
Estimated Fair Value | 62,274,895 | 60,525,605
Agency | Fixed-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 63,232,479 | 54,432,252
Remaining Premium | 2,105,813 | 3,008,185
Remaining Discount | (1,003,225) | (18,314)
Amortized Cost | 64,335,067 | 57,422,123
Unrealized Gains | 62,060 | 1,349,125
Unrealized Losses | (4,367,369) | (474,643)
Estimated Fair Value | 60,029,758 | 58,296,605
Agency | Adjustable-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 232,028 | 305,211
Remaining Premium | 17,065 | 1,965
Remaining Discount | (85) | (2,124)
Amortized Cost | 249,008 | 305,052
Unrealized Gains | 2,138 | 16,223
Unrealized Losses | (16,759) | (2)
Estimated Fair Value | 234,387 | 321,273
Agency | CMO |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 101,543 | 114,533
Remaining Premium | 1,781 | 1,888
Remaining Discount | 0 | 0
Amortized Cost | 103,324 | 116,421
Unrealized Gains | 0 | 5,277
Unrealized Losses | (13,714) | 0
Estimated Fair Value | 89,610 | 121,698
Agency | Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,824,339 | 1,912,415
Remaining Premium | 438,295 | 456,683
Remaining Discount | 0 | 0
Amortized Cost | 438,295 | 456,683
Unrealized Gains | 153 | 428
Unrealized Losses | (220,371) | (163,197)
Estimated Fair Value | 218,077 | 293,914
Agency | Multifamily |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 9,801,375 | 5,671,138
Remaining Premium | 311,785 | 273,553
Remaining Discount | (1,021) | 0
Amortized Cost | 1,750,737 | 1,453,946
Unrealized Gains | 7,588 | 15,330
Unrealized Losses | (84,160) | (16,563)
Estimated Fair Value | 1,674,165 | 1,452,713
Agency | Reverse mortgages |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 28,478 | 36,807
Remaining Premium | 3,379 | 3,550
Remaining Discount | 0 | 0
Amortized Cost | 31,857 | 40,357
Unrealized Gains | 0 | 0
Unrealized Losses | (2,959) | (955)
Estimated Fair Value | 28,898 | 39,402
Agency | Multifamily Interest-Only Security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 8,400,000 | 4,500,000
Residential credit |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 10,417,041 | 2,788,245
Remaining Premium | 65,179 | 25,605
Remaining Discount | (104,181) | (57,285)
Amortized Cost | 3,217,473 | 2,575,957
Unrealized Gains | 11,204 | 39,417
Unrealized Losses | (239,974) | (15,810)
Estimated Fair Value | 2,988,703 | 2,599,564
Residential credit | Credit risk transfer |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,013,368 | 924,101
Remaining Premium | 6,790 | 8,754
Remaining Discount | (4,828) | (1,176)
Amortized Cost | 1,015,330 | 927,555
Unrealized Gains | 6,629 | 9,641
Unrealized Losses | (24,402) | (968)
Estimated Fair Value | 997,557 | 936,228
Residential credit | Alt-A |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 111,009 | 83,213
Remaining Premium | 9 | 31
Remaining Discount | (5,048) | (17,133)
Amortized Cost | 105,970 | 66,111
Unrealized Gains | 0 | 3,627
Unrealized Losses | (14,754) | (251)
Estimated Fair Value | 91,216 | 69,487
Residential credit | Prime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,946,186 | 323,062
Remaining Premium | 19,496 | 9,841
Remaining Discount | (17,375) | (14,757)
Amortized Cost | 240,694 | 268,117
Unrealized Gains | 1,528 | 10,853
Unrealized Losses | (44,352) | (3,529)
Estimated Fair Value | 197,870 | 275,441
Residential credit | Subprime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 202,304 | 170,671
Remaining Premium | 0 | 349
Remaining Discount | (32,188) | (16,111)
Amortized Cost | 170,116 | 154,909
Unrealized Gains | 1,275 | 8,285
Unrealized Losses | (15,078) | (118)
Estimated Fair Value | 156,313 | 163,076
Residential credit | NPL/RPL |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,426,616 | 987,415
Remaining Premium | 1,624 | 950
Remaining Discount | (15,500) | (1,698)
Amortized Cost | 1,412,740 | 986,667
Unrealized Gains | 87 | 2,739
Unrealized Losses | (95,673) | (5,968)
Estimated Fair Value | 1,317,154 | 983,438
Residential credit | Prime jumbo(>=2010 vintage) |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 5,717,558 | 299,783
Remaining Premium | 37,260 | 5,680
Remaining Discount | (29,242) | (6,410)
Amortized Cost | 272,623 | 172,598
Unrealized Gains | 1,685 | 4,272
Unrealized Losses | (45,715) | (4,976)
Estimated Fair Value | 228,593 | 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 | 5,500,000 | 126,500
Commercial securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 546,499 | 533,071
Remaining Premium | 0 | 0
Remaining Discount | (2,405) | (127)
Amortized Cost | 544,094 | 532,944
Unrealized Gains | 0 | 165
Unrealized Losses | (17,785) | (2,604)
Estimated Fair Value | $ 526,309 | $ 530,505

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