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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2024 | Dec. 31, 2023
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | $ 105,424,129 | $ 96,221,329 |
Remaining Premium |  | 2,384,340 | 2,378,411 |
Remaining Discount |  | (1,259,552) | (1,449,850) |
Amortized Cost |  | 71,716,117 | 71,231,784 |
Unrealized Gains |  | 1,105,399 | 612,427 |
Unrealized Losses |  | (1,121,339) | (2,230,646) |
Estimated Fair Value | [1] | 71,700,177 | 69,613,565 | [2]
Total residential securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 105,318,085 | 95,996,732 |
Remaining Premium |  | 2,384,197 | 2,378,396 |
Remaining Discount |  | (1,259,545) | (1,449,028) |
Amortized Cost |  | 71,609,937 | 71,007,994 |
Unrealized Gains |  | 1,105,303 | 612,408 |
Unrealized Losses |  | (1,121,304) | (2,229,281) |
Estimated Fair Value |  | 71,593,936 | 69,391,121 |
Agency |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 91,624,518 | 82,895,356 |
Remaining Premium |  | 2,278,964 | 2,287,261 |
Remaining Discount |  | (1,176,387) | (1,328,751) |
Amortized Cost |  | 69,238,513 | 67,874,312 |
Unrealized Gains |  | 1,005,022 | 535,689 |
Unrealized Losses |  | (1,093,136) | (2,101,213) |
Estimated Fair Value |  | 69,150,399 | 66,308,788 |
Agency | Fixed-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 64,672,312 | 63,444,987 |
Remaining Premium |  | 1,321,720 | 1,448,886 |
Remaining Discount |  | (1,166,717) | (1,318,948) |
Amortized Cost |  | 64,827,315 | 63,574,925 |
Unrealized Gains |  | 895,219 | 477,242 |
Unrealized Losses |  | (929,577) | (1,853,226) |
Estimated Fair Value |  | 64,792,957 | 62,198,941 |
Agency | Adjustable-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 164,775 | 188,996 |
Remaining Premium |  | 12,563 | 15,834 |
Remaining Discount |  | (44) | (51) |
Amortized Cost |  | 177,294 | 204,779 |
Unrealized Gains |  | 2,266 | 1,663 |
Unrealized Losses |  | (10,226) | (14,953) |
Estimated Fair Value |  | 169,334 | 191,489 |
Agency | CMO |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 89,286 | 94,448 |
Remaining Premium |  | 1,481 | 1,612 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 90,767 | 96,060 |
Unrealized Gains |  | 0 | 0 |
Unrealized Losses |  | (11,363) | (13,088) |
Estimated Fair Value |  | 79,404 | 82,972 |
Agency | Interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 2,878,756 | 2,010,697 |
Remaining Premium |  | 455,715 | 416,955 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 455,715 | 416,955 |
Unrealized Gains |  | 33,559 | 4,729 |
Unrealized Losses |  | (109,636) | (157,679) |
Estimated Fair Value |  | 379,638 | 264,005 |
Agency | Multifamily |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 23,793,890 | 17,130,045 |
Remaining Premium |  | 484,760 | 400,781 |
Remaining Discount |  | (9,626) | (9,752) |
Amortized Cost |  | 3,659,198 | 3,552,217 |
Unrealized Gains |  | 73,978 | 52,055 |
Unrealized Losses |  | (30,916) | (59,744) |
Estimated Fair Value |  | 3,702,260 | 3,544,528 |
Agency | Reverse mortgages |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 25,499 | 26,183 |
Remaining Premium |  | 2,725 | 3,193 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 28,224 | 29,376 |
Unrealized Gains |  | 0 | 0 |
Unrealized Losses |  | (1,418) | (2,523) |
Estimated Fair Value |  | 26,806 | 26,853 |
Agency | Multifamily interest-only security |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 20,600,000 | 14,000,000 |
Residential credit |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 13,693,567 | 13,101,376 |
Remaining Premium |  | 105,233 | 91,135 |
Remaining Discount |  | (83,158) | (120,277) |
Amortized Cost |  | 2,371,424 | 3,133,682 |
Unrealized Gains |  | 100,281 | 76,719 |
Unrealized Losses |  | (28,168) | (128,068) |
Estimated Fair Value |  | 2,443,537 | 3,082,333 |
Residential credit | Credit risk transfer |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 772,924 | 924,729 |
Remaining Premium |  | 1,712 | 2,240 |
Remaining Discount |  | (3,707) | (4,358) |
Amortized Cost |  | 770,929 | 922,611 |
Unrealized Gains |  | 56,019 | 51,984 |
Unrealized Losses |  | (107) | (536) |
Estimated Fair Value |  | 826,841 | 974,059 |
Residential credit | Alt-A |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 172,368 | 164,384 |
Remaining Premium |  | 36 | 9 |
Remaining Discount |  | (1,810) | (3,922) |
Amortized Cost |  | 170,594 | 160,471 |
Unrealized Gains |  | 4,357 | 2,135 |
Unrealized Losses |  | (6,656) | (12,371) |
Estimated Fair Value |  | 168,295 | 150,235 |
Residential credit | Prime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 1,462,881 | 1,076,497 |
Remaining Premium |  | 15,842 | 8,590 |
Remaining Discount |  | (10,302) | (21,163) |
Amortized Cost |  | 32,195 | 207,077 |
Unrealized Gains |  | 3,304 | 1,704 |
Unrealized Losses |  | (536) | (28,134) |
Estimated Fair Value |  | 34,963 | 180,647 |
Residential credit | Subprime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 287,667 | 272,955 |
Remaining Premium |  | 13 | 0 |
Remaining Discount |  | (30,510) | (31,751) |
Amortized Cost |  | 257,170 | 241,204 |
Unrealized Gains |  | 9,785 | 5,622 |
Unrealized Losses |  | (9,163) | (11,221) |
Estimated Fair Value |  | 257,792 | 235,605 |
Residential credit | NPL/RPL |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 996,780 | 1,237,531 |
Remaining Premium |  | 5,380 | 8,336 |
Remaining Discount |  | (6,252) | (9,224) |
Amortized Cost |  | 995,908 | 1,236,643 |
Unrealized Gains |  | 5,265 | 4,578 |
Unrealized Losses |  | (7,925) | (43,666) |
Estimated Fair Value |  | 993,248 | 1,197,555 |
Residential credit | Prime jumbo (>=2010 vintage) |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 10,000,947 | 9,425,280 |
Remaining Premium |  | 82,250 | 71,960 |
Remaining Discount |  | (30,577) | (49,859) |
Amortized Cost |  | 144,628 | 365,676 |
Unrealized Gains |  | 21,551 | 10,696 |
Unrealized Losses |  | (3,781) | (32,140) |
Estimated Fair Value |  | 162,398 | 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 |  | 9,900,000 | 9,100,000 |
Commercial Securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 106,044 | 224,597 |
Remaining Premium |  | 143 | 15 |
Remaining Discount |  | (7) | (822) |
Amortized Cost |  | 106,180 | 223,790 |
Unrealized Gains |  | 96 | 19 |
Unrealized Losses |  | (35) | (1,365) |
Estimated Fair Value |  | $ 106,241 | $ 222,444 |
[1] | (3)Excludes $2.0 billion and $1.5 billion at September 30, 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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