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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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