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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | $ 94,451,712 | $ 86,183,782
Remaining Premium | 2,796,454 | 2,943,297
Remaining Discount | (1,331,965) | (1,110,917)
Amortized Cost | 74,986,296 | 70,669,855
Unrealized Gains | 96,042 | 83,143
Unrealized Losses | (3,879,877) | (4,963,091)
Estimated Fair Value | 71,202,461 | 65,789,907
Total residential securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 94,076,348 | 85,637,283
Remaining Premium | 2,796,454 | 2,943,297
Remaining Discount | (1,330,618) | (1,108,512)
Amortized Cost | 74,612,279 | 70,125,761
Unrealized Gains | 95,949 | 83,143
Unrealized Losses | (3,871,457) | (4,945,306)
Estimated Fair Value | 70,836,771 | 65,263,598
Agency |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 82,177,638 | 75,220,242
Remaining Premium | 2,715,390 | 2,878,118
Remaining Discount | (1,205,423) | (1,004,331)
Amortized Cost | 71,398,163 | 66,908,288
Unrealized Gains | 52,262 | 71,939
Unrealized Losses | (3,686,161) | (4,705,332)
Estimated Fair Value | 67,764,264 | 62,274,895
Agency | Fixed-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 68,032,859 | 63,232,479
Remaining Premium | 1,851,124 | 2,105,813
Remaining Discount | (1,203,805) | (1,003,225)
Amortized Cost | 68,680,178 | 64,335,067
Unrealized Gains | 43,777 | 62,060
Unrealized Losses | (3,375,157) | (4,367,369)
Estimated Fair Value | 65,348,798 | 60,029,758
Agency | Adjustable-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 209,207 | 232,028
Remaining Premium | 18,434 | 17,065
Remaining Discount | (69) | (85)
Amortized Cost | 227,572 | 249,008
Unrealized Gains | 1,963 | 2,138
Unrealized Losses | (17,985) | (16,759)
Estimated Fair Value | 211,550 | 234,387
Agency | CMO |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 97,934 | 101,543
Remaining Premium | 1,715 | 1,781
Remaining Discount | 0 | 0
Amortized Cost | 99,649 | 103,324
Unrealized Gains | 0 | 0
Unrealized Losses | (14,147) | (13,714)
Estimated Fair Value | 85,502 | 89,610
Agency | Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 2,308,196 | 1,824,339
Remaining Premium | 492,333 | 438,295
Remaining Discount | 0 | 0
Amortized Cost | 492,333 | 438,295
Unrealized Gains | 1,913 | 153
Unrealized Losses | (200,727) | (220,371)
Estimated Fair Value | 293,519 | 218,077
Agency | Multifamily |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 11,502,217 | 9,801,375
Remaining Premium | 348,474 | 311,785
Remaining Discount | (1,549) | (1,021)
Amortized Cost | 1,867,896 | 1,750,737
Unrealized Gains | 4,609 | 7,588
Unrealized Losses | (75,382) | (84,160)
Estimated Fair Value | 1,797,123 | 1,674,165
Agency | Reverse mortgages |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 27,225 | 28,478
Remaining Premium | 3,310 | 3,379
Remaining Discount | 0 | 0
Amortized Cost | 30,535 | 31,857
Unrealized Gains | 0 | 0
Unrealized Losses | (2,763) | (2,959)
Estimated Fair Value | 27,772 | 28,898
Agency | Multifamily Interest-Only Security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 10,000,000 | 8,400,000
Residential credit |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 11,898,710 | 10,417,041
Remaining Premium | 81,064 | 65,179
Remaining Discount | (125,195) | (104,181)
Amortized Cost | 3,214,116 | 3,217,473
Unrealized Gains | 43,687 | 11,204
Unrealized Losses | (185,296) | (239,974)
Estimated Fair Value | 3,072,507 | 2,988,703
Residential credit | Credit risk transfer |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,037,685 | 1,013,368
Remaining Premium | 3,987 | 6,790
Remaining Discount | (4,686) | (4,828)
Amortized Cost | 1,036,986 | 1,015,330
Unrealized Gains | 32,292 | 6,629
Unrealized Losses | (4,877) | (24,402)
Estimated Fair Value | 1,064,401 | 997,557
Residential credit | Alt-A |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 137,130 | 111,009
Remaining Premium | 9 | 9
Remaining Discount | (5,054) | (5,048)
Amortized Cost | 132,085 | 105,970
Unrealized Gains | 450 | 0
Unrealized Losses | (13,320) | (14,754)
Estimated Fair Value | 119,215 | 91,216
Residential credit | Prime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 837,579 | 1,946,186
Remaining Premium | 9,454 | 19,496
Remaining Discount | (21,866) | (17,375)
Amortized Cost | 234,903 | 240,694
Unrealized Gains | 1,488 | 1,528
Unrealized Losses | (39,778) | (44,352)
Estimated Fair Value | 196,613 | 197,870
Residential credit | Subprime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 226,613 | 202,304
Remaining Premium | 0 | 0
Remaining Discount | (30,469) | (32,188)
Amortized Cost | 196,144 | 170,116
Unrealized Gains | 2,187 | 1,275
Unrealized Losses | (17,445) | (15,078)
Estimated Fair Value | 180,886 | 156,313
Residential credit | NPL/RPL |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,271,228 | 1,426,616
Remaining Premium | 4,490 | 1,624
Remaining Discount | (13,052) | (15,500)
Amortized Cost | 1,262,666 | 1,412,740
Unrealized Gains | 473 | 87
Unrealized Losses | (69,789) | (95,673)
Estimated Fair Value | 1,193,350 | 1,317,154
Residential credit | Prime jumbo (>=2010 vintage) |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 8,388,475 | 5,717,558
Remaining Premium | 63,124 | 37,260
Remaining Discount | (50,068) | (29,242)
Amortized Cost | 351,332 | 272,623
Unrealized Gains | 6,797 | 1,685
Unrealized Losses | (40,087) | (45,715)
Estimated Fair Value | 318,042 | 228,593
Residential credit | Prime interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 600,000 | 1,700,000
Residential credit | Prime Jumbo interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 8,100,000 | 5,500,000
Commercial Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 375,364 | 546,499
Remaining Premium | 0 | 0
Remaining Discount | (1,347) | (2,405)
Amortized Cost | 374,017 | 544,094
Unrealized Gains | 93 | 0
Unrealized Losses | (8,420) | (17,785)
Estimated Fair Value | $ 365,690 | $ 526,309

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