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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | $ 97,106,553 | $ 96,221,329 |
Remaining Premium |  | 2,262,243 | 2,378,411 |
Remaining Discount |  | (1,388,095) | (1,449,850) |
Amortized Cost |  | 68,673,027 | 71,231,784 |
Unrealized Gains |  | 347,349 | 612,427 |
Unrealized Losses |  | (2,519,687) | (2,230,646) |
Estimated Fair Value | [1] | 66,500,689 | 69,613,565 | [2]
Total residential securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 96,953,335 | 95,996,732 |
Remaining Premium |  | 2,262,184 | 2,378,396 |
Remaining Discount |  | (1,387,803) | (1,449,028) |
Amortized Cost |  | 68,520,042 | 71,007,994 |
Unrealized Gains |  | 347,075 | 612,408 |
Unrealized Losses |  | (2,519,556) | (2,229,281) |
Estimated Fair Value |  | 66,347,561 | 69,391,121 |
Agency |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 83,173,154 | 82,895,356 |
Remaining Premium |  | 2,158,004 | 2,287,261 |
Remaining Discount |  | (1,291,880) | (1,328,751) |
Amortized Cost |  | 65,729,256 | 67,874,312 |
Unrealized Gains |  | 261,648 | 535,689 |
Unrealized Losses |  | (2,448,674) | (2,101,213) |
Estimated Fair Value |  | 63,542,230 | 66,308,788 |
Agency | Fixed-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 61,399,544 | 63,444,987 |
Remaining Premium |  | 1,307,105 | 1,448,886 |
Remaining Discount |  | (1,283,791) | (1,318,948) |
Amortized Cost |  | 61,422,858 | 63,574,925 |
Unrealized Gains |  | 232,880 | 477,242 |
Unrealized Losses |  | (2,182,903) | (1,853,226) |
Estimated Fair Value |  | 59,472,835 | 62,198,941 |
Agency | Adjustable-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 180,516 | 188,996 |
Remaining Premium |  | 14,849 | 15,834 |
Remaining Discount |  | (51) | (51) |
Amortized Cost |  | 195,314 | 204,779 |
Unrealized Gains |  | 2,229 | 1,663 |
Unrealized Losses |  | (12,410) | (14,953) |
Estimated Fair Value |  | 185,133 | 191,489 |
Agency | CMO |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 92,884 | 94,448 |
Remaining Premium |  | 1,573 | 1,612 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 94,457 | 96,060 |
Unrealized Gains |  | 0 | 0 |
Unrealized Losses |  | (15,087) | (13,088) |
Estimated Fair Value |  | 79,370 | 82,972 |
Agency | Interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,940,563 | 2,010,697 |
Remaining Premium |  | 392,064 | 416,955 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 392,064 | 416,955 |
Unrealized Gains |  | 4,228 | 4,729 |
Unrealized Losses |  | (158,300) | (157,679) |
Estimated Fair Value |  | 237,992 | 264,005 |
Agency | Multifamily |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 19,533,316 | 17,130,045 |
Remaining Premium |  | 439,374 | 400,781 |
Remaining Discount |  | (8,038) | (9,752) |
Amortized Cost |  | 3,595,193 | 3,552,217 |
Unrealized Gains |  | 22,311 | 52,055 |
Unrealized Losses |  | (78,131) | (59,744) |
Estimated Fair Value |  | 3,539,373 | 3,544,528 |
Agency | Reverse mortgages |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 26,331 | 26,183 |
Remaining Premium |  | 3,039 | 3,193 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 29,370 | 29,376 |
Unrealized Gains |  | 0 | 0 |
Unrealized Losses |  | (1,843) | (2,523) |
Estimated Fair Value |  | 27,527 | 26,853 |
Agency | Multifamily interest-only security |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 16,400,000 | 14,000,000 |
Residential credit |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 13,780,181 | 13,101,376 |
Remaining Premium |  | 104,180 | 91,135 |
Remaining Discount |  | (95,923) | (120,277) |
Amortized Cost |  | 2,790,786 | 3,133,682 |
Unrealized Gains |  | 85,427 | 76,719 |
Unrealized Losses |  | (70,882) | (128,068) |
Estimated Fair Value |  | 2,805,331 | 3,082,333 |
Residential credit | Credit risk transfer |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 815,479 | 924,729 |
Remaining Premium |  | 1,873 | 2,240 |
Remaining Discount |  | (4,188) | (4,358) |
Amortized Cost |  | 813,164 | 922,611 |
Unrealized Gains |  | 58,411 | 51,984 |
Unrealized Losses |  | (154) | (536) |
Estimated Fair Value |  | 871,421 | 974,059 |
Residential credit | Alt-A |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 150,082 | 164,384 |
Remaining Premium |  | 39 | 9 |
Remaining Discount |  | (1,670) | (3,922) |
Amortized Cost |  | 148,451 | 160,471 |
Unrealized Gains |  | 2,788 | 2,135 |
Unrealized Losses |  | (9,250) | (12,371) |
Estimated Fair Value |  | 141,989 | 150,235 |
Residential credit | Prime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,464,099 | 1,076,497 |
Remaining Premium |  | 15,455 | 8,590 |
Remaining Discount |  | (13,796) | (21,163) |
Amortized Cost |  | 87,995 | 207,077 |
Unrealized Gains |  | 2,271 | 1,704 |
Unrealized Losses |  | (8,396) | (28,134) |
Estimated Fair Value |  | 81,870 | 180,647 |
Residential credit | Subprime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 274,910 | 272,955 |
Remaining Premium |  | 0 | 0 |
Remaining Discount |  | (31,344) | (31,751) |
Amortized Cost |  | 243,566 | 241,204 |
Unrealized Gains |  | 4,805 | 5,622 |
Unrealized Losses |  | (12,159) | (11,221) |
Estimated Fair Value |  | 236,212 | 235,605 |
Residential credit | NPL/RPL |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,242,835 | 1,237,531 |
Remaining Premium |  | 9,733 | 8,336 |
Remaining Discount |  | (7,605) | (9,224) |
Amortized Cost |  | 1,244,963 | 1,236,643 |
Unrealized Gains |  | 4,305 | 4,578 |
Unrealized Losses |  | (25,872) | (43,666) |
Estimated Fair Value |  | 1,223,396 | 1,197,555 |
Residential credit | Prime jumbo (>=2010 vintage) |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 9,832,776 | 9,425,280 |
Remaining Premium |  | 77,080 | 71,960 |
Remaining Discount |  | (37,320) | (49,859) |
Amortized Cost |  | 252,647 | 365,676 |
Unrealized Gains |  | 12,847 | 10,696 |
Unrealized Losses |  | (15,051) | (32,140) |
Estimated Fair Value |  | 250,443 | 344,232 |
Residential credit | Prime interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,400,000 | 900,000 |
Residential credit | Prime jumbo interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 9,600,000 | 9,100,000 |
Commercial Securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 153,218 | 224,597 |
Remaining Premium |  | 59 | 15 |
Remaining Discount |  | (292) | (822) |
Amortized Cost |  | 152,985 | 223,790 |
Unrealized Gains |  | 274 | 19 |
Unrealized Losses |  | (131) | (1,365) |
Estimated Fair Value |  | $ 153,128 | $ 222,444 |
[1] | (3)Excludes $1.8 billion and $1.5 billion at March 31, 2024 and December 31, 2023, 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, 2023.

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