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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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