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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | $ 96,221,329 | $ 86,183,782
Remaining Premium |  | 2,378,411 | 2,943,297
Remaining Discount |  | (1,449,850) | (1,110,917)
Amortized Cost |  | 71,231,784 | 70,669,855
Unrealized Gains |  | 612,427 | 83,143
Unrealized Losses |  | (2,230,646) | (4,963,091)
Estimated Fair Value | [1] | 69,613,565 | 65,789,907
Multifamily Interest-Only Security |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 14,000,000 | 8,400,000
Prime interest-only |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 900,000 | 1,700,000
Prime jumbo interest-only |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 9,100,000 | 5,500,000
Total residential securities |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 95,996,732 | 85,637,283
Remaining Premium |  | 2,378,396 | 2,943,297
Remaining Discount |  | (1,449,028) | (1,108,512)
Amortized Cost |  | 71,007,994 | 70,125,761
Unrealized Gains |  | 612,408 | 83,143
Unrealized Losses |  | (2,229,281) | (4,945,306)
Estimated Fair Value |  | 69,391,121 | 65,263,598
Agency |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 82,895,356 | 75,220,242
Remaining Premium |  | 2,287,261 | 2,878,118
Remaining Discount |  | (1,328,751) | (1,004,331)
Amortized Cost |  | 67,874,312 | 66,908,288
Unrealized Gains |  | 535,689 | 71,939
Unrealized Losses |  | (2,101,213) | (4,705,332)
Estimated Fair Value |  | 66,308,788 | 62,274,895
Agency | Fixed-rate pass-through |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 63,444,987 | 63,232,479
Remaining Premium |  | 1,448,886 | 2,105,813
Remaining Discount |  | (1,318,948) | (1,003,225)
Amortized Cost |  | 63,574,925 | 64,335,067
Unrealized Gains |  | 477,242 | 62,060
Unrealized Losses |  | (1,853,226) | (4,367,369)
Estimated Fair Value |  | 62,198,941 | 60,029,758
Agency | Adjustable-rate pass-through |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 188,996 | 232,028
Remaining Premium |  | 15,834 | 17,065
Remaining Discount |  | (51) | (85)
Amortized Cost |  | 204,779 | 249,008
Unrealized Gains |  | 1,663 | 2,138
Unrealized Losses |  | (14,953) | (16,759)
Estimated Fair Value |  | 191,489 | 234,387
Agency | CMO |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 94,448 | 101,543
Remaining Premium |  | 1,612 | 1,781
Remaining Discount |  | 0 | 0
Amortized Cost |  | 96,060 | 103,324
Unrealized Gains |  | 0 | 0
Unrealized Losses |  | (13,088) | (13,714)
Estimated Fair Value |  | 82,972 | 89,610
Agency | Interest-only |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 2,010,697 | 1,824,339
Remaining Premium |  | 416,955 | 438,295
Remaining Discount |  | 0 | 0
Amortized Cost |  | 416,955 | 438,295
Unrealized Gains |  | 4,729 | 153
Unrealized Losses |  | (157,679) | (220,371)
Estimated Fair Value |  | 264,005 | 218,077
Agency | Multifamily |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 17,130,045 | 9,801,375
Remaining Premium |  | 400,781 | 311,785
Remaining Discount |  | (9,752) | (1,021)
Amortized Cost |  | 3,552,217 | 1,750,737
Unrealized Gains |  | 52,055 | 7,588
Unrealized Losses |  | (59,744) | (84,160)
Estimated Fair Value |  | 3,544,528 | 1,674,165
Agency | Reverse mortgages |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 26,183 | 28,478
Remaining Premium |  | 3,193 | 3,379
Remaining Discount |  | 0 | 0
Amortized Cost |  | 29,376 | 31,857
Unrealized Gains |  | 0 | 0
Unrealized Losses |  | (2,523) | (2,959)
Estimated Fair Value |  | 26,853 | 28,898
Residential credit |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 13,101,376 | 10,417,041
Remaining Premium |  | 91,135 | 65,179
Remaining Discount |  | (120,277) | (104,181)
Amortized Cost |  | 3,133,682 | 3,217,473
Unrealized Gains |  | 76,719 | 11,204
Unrealized Losses |  | (128,068) | (239,974)
Estimated Fair Value |  | 3,082,333 | 2,988,703
Residential credit | Credit risk transfer |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 924,729 | 1,013,368
Remaining Premium |  | 2,240 | 6,790
Remaining Discount |  | (4,358) | (4,828)
Amortized Cost |  | 922,611 | 1,015,330
Unrealized Gains |  | 51,984 | 6,629
Unrealized Losses |  | (536) | (24,402)
Estimated Fair Value |  | 974,059 | 997,557
Residential credit | Alt-A |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 164,384 | 111,009
Remaining Premium |  | 9 | 9
Remaining Discount |  | (3,922) | (5,048)
Amortized Cost |  | 160,471 | 105,970
Unrealized Gains |  | 2,135 | 0
Unrealized Losses |  | (12,371) | (14,754)
Estimated Fair Value |  | 150,235 | 91,216
Residential credit | Prime |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 1,076,497 | 1,946,186
Remaining Premium |  | 8,590 | 19,496
Remaining Discount |  | (21,163) | (17,375)
Amortized Cost |  | 207,077 | 240,694
Unrealized Gains |  | 1,704 | 1,528
Unrealized Losses |  | (28,134) | (44,352)
Estimated Fair Value |  | 180,647 | 197,870
Residential credit | Subprime |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 272,955 | 202,304
Remaining Premium |  | 0 | 0
Remaining Discount |  | (31,751) | (32,188)
Amortized Cost |  | 241,204 | 170,116
Unrealized Gains |  | 5,622 | 1,275
Unrealized Losses |  | (11,221) | (15,078)
Estimated Fair Value |  | 235,605 | 156,313
Residential credit | NPL/RPL |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 1,237,531 | 1,426,616
Remaining Premium |  | 8,336 | 1,624
Remaining Discount |  | (9,224) | (15,500)
Amortized Cost |  | 1,236,643 | 1,412,740
Unrealized Gains |  | 4,578 | 87
Unrealized Losses |  | (43,666) | (95,673)
Estimated Fair Value |  | 1,197,555 | 1,317,154
Residential credit | Prime jumbo(>=2010 vintage) |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 9,425,280 | 5,717,558
Remaining Premium |  | 71,960 | 37,260
Remaining Discount |  | (49,859) | (29,242)
Amortized Cost |  | 365,676 | 272,623
Unrealized Gains |  | 10,696 | 1,685
Unrealized Losses |  | (32,140) | (45,715)
Estimated Fair Value |  | 344,232 | 228,593
Commercial securities |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |
Principal / Notional |  | 224,597 | 546,499
Remaining Premium |  | 15 | 0
Remaining Discount |  | (822) | (2,405)
Amortized Cost |  | 223,790 | 544,094
Unrealized Gains |  | 19 | 0
Unrealized Losses |  | (1,365) | (17,785)
Estimated Fair Value |  | $ 222,444 | $ 526,309
[1] | (2) Excludes $1.5 billion and $1.0 billion at December 31, 2023 and 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.

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