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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | $ 98,232,820 | $ 86,183,782 |
Remaining Premium |  | 2,583,156 | 2,943,297 |
Remaining Discount |  | (1,543,121) | (1,110,917) |
Amortized Cost |  | 75,977,920 | 70,669,855 |
Unrealized Gains |  | 62,063 | 83,143 |
Unrealized Losses |  | (6,179,253) | (4,963,091) |
Estimated Fair Value | [1] | 69,860,730 | 65,789,907 | [2]
Total residential securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 98,008,119 | 85,637,283 |
Remaining Premium |  | 2,583,152 | 2,943,297 |
Remaining Discount |  | (1,541,962) | (1,108,512) |
Amortized Cost |  | 75,754,374 | 70,125,761 |
Unrealized Gains |  | 61,950 | 83,143 |
Unrealized Losses |  | (6,177,976) | (4,945,306) |
Estimated Fair Value |  | 69,638,348 | 65,263,598 |
Agency |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 84,875,669 | 75,220,242 |
Remaining Premium |  | 2,490,135 | 2,878,118 |
Remaining Discount |  | (1,417,294) | (1,004,331) |
Amortized Cost |  | 72,548,525 | 66,908,288 |
Unrealized Gains |  | 9,030 | 71,939 |
Unrealized Losses |  | (5,966,019) | (4,705,332) |
Estimated Fair Value |  | 66,591,536 | 62,274,895 |
Agency | Fixed-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 69,125,874 | 63,232,479 |
Remaining Premium |  | 1,672,690 | 2,105,813 |
Remaining Discount |  | (1,412,998) | (1,003,225) |
Amortized Cost |  | 69,385,566 | 64,335,067 |
Unrealized Gains |  | 2,191 | 62,060 |
Unrealized Losses |  | (5,560,757) | (4,367,369) |
Estimated Fair Value |  | 63,827,000 | 60,029,758 |
Agency | Adjustable-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 196,754 | 232,028 |
Remaining Premium |  | 18,400 | 17,065 |
Remaining Discount |  | (57) | (85) |
Amortized Cost |  | 215,097 | 249,008 |
Unrealized Gains |  | 2,311 | 2,138 |
Unrealized Losses |  | (17,185) | (16,759) |
Estimated Fair Value |  | 200,223 | 234,387 |
Agency | CMO |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 96,050 | 101,543 |
Remaining Premium |  | 1,675 | 1,781 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 97,725 | 103,324 |
Unrealized Gains |  | 0 | 0 |
Unrealized Losses |  | (18,833) | (13,714) |
Estimated Fair Value |  | 78,892 | 89,610 |
Agency | Interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 2,057,592 | 1,824,339 |
Remaining Premium |  | 437,034 | 438,295 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 437,034 | 438,295 |
Unrealized Gains |  | 4,483 | 153 |
Unrealized Losses |  | (202,041) | (220,371) |
Estimated Fair Value |  | 239,476 | 218,077 |
Agency | Multifamily |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 13,372,043 | 9,801,375 |
Remaining Premium |  | 357,085 | 311,785 |
Remaining Discount |  | (4,239) | (1,021) |
Amortized Cost |  | 2,382,496 | 1,750,737 |
Unrealized Gains |  | 45 | 7,588 |
Unrealized Losses |  | (164,227) | (84,160) |
Estimated Fair Value |  | 2,218,314 | 1,674,165 |
Agency | Reverse mortgages |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 27,356 | 28,478 |
Remaining Premium |  | 3,251 | 3,379 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 30,607 | 31,857 |
Unrealized Gains |  | 0 | 0 |
Unrealized Losses |  | (2,976) | (2,959) |
Estimated Fair Value |  | 27,631 | 28,898 |
Agency | Multifamily interest-only security |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 11,300,000 | 8,400,000 |
Residential credit |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 13,132,450 | 10,417,041 |
Remaining Premium |  | 93,017 | 65,179 |
Remaining Discount |  | (124,668) | (104,181) |
Amortized Cost |  | 3,205,849 | 3,217,473 |
Unrealized Gains |  | 52,920 | 11,204 |
Unrealized Losses |  | (211,957) | (239,974) |
Estimated Fair Value |  | 3,046,812 | 2,988,703 |
Residential credit | Credit risk transfer |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 941,199 | 1,013,368 |
Remaining Premium |  | 3,634 | 6,790 |
Remaining Discount |  | (4,493) | (4,828) |
Amortized Cost |  | 940,340 | 1,015,330 |
Unrealized Gains |  | 43,760 | 6,629 |
Unrealized Losses |  | (1,149) | (24,402) |
Estimated Fair Value |  | 982,951 | 997,557 |
Residential credit | Alt-A |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 145,165 | 111,009 |
Remaining Premium |  | 9 | 9 |
Remaining Discount |  | (3,835) | (5,048) |
Amortized Cost |  | 141,339 | 105,970 |
Unrealized Gains |  | 270 | 0 |
Unrealized Losses |  | (18,016) | (14,754) |
Estimated Fair Value |  | 123,593 | 91,216 |
Residential credit | Prime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,116,998 | 1,946,186 |
Remaining Premium |  | 10,036 | 19,496 |
Remaining Discount |  | (21,503) | (17,375) |
Amortized Cost |  | 233,849 | 240,694 |
Unrealized Gains |  | 1,425 | 1,528 |
Unrealized Losses |  | (47,072) | (44,352) |
Estimated Fair Value |  | 188,202 | 197,870 |
Residential credit | Subprime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 254,577 | 202,304 |
Remaining Premium |  | 0 | 0 |
Remaining Discount |  | (30,947) | (32,188) |
Amortized Cost |  | 223,630 | 170,116 |
Unrealized Gains |  | 1,955 | 1,275 |
Unrealized Losses |  | (20,525) | (15,078) |
Estimated Fair Value |  | 205,060 | 156,313 |
Residential credit | NPL/RPL |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,299,627 | 1,426,616 |
Remaining Premium |  | 6,257 | 1,624 |
Remaining Discount |  | (13,444) | (15,500) |
Amortized Cost |  | 1,292,440 | 1,412,740 |
Unrealized Gains |  | 334 | 87 |
Unrealized Losses |  | (76,427) | (95,673) |
Estimated Fair Value |  | 1,216,347 | 1,317,154 |
Residential credit | Prime jumbo (>=2010 vintage) |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 9,374,884 | 5,717,558 |
Remaining Premium |  | 73,081 | 37,260 |
Remaining Discount |  | (50,446) | (29,242) |
Amortized Cost |  | 374,251 | 272,623 |
Unrealized Gains |  | 5,176 | 1,685 |
Unrealized Losses |  | (48,768) | (45,715) |
Estimated Fair Value |  | 330,659 | 228,593 |
Residential credit | Prime interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 900,000 | 1,700,000 |
Residential credit | Prime jumbo interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 9,000,000 | 5,500,000 |
Commercial Securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 224,701 | 546,499 |
Remaining Premium |  | 4 | 0 |
Remaining Discount |  | (1,159) | (2,405) |
Amortized Cost |  | 223,546 | 544,094 |
Unrealized Gains |  | 113 | 0 |
Unrealized Losses |  | (1,277) | (17,785) |
Estimated Fair Value |  | $ 222,382 | $ 526,309 |
[1] | (3)Excludes $1.3 billion and $1.0 billion at September 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.
[2] | (1)Derived from the audited consolidated financial statements at December 31, 2022.

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