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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2019 | Dec. 31, 2018 | Jun. 30, 2018
--- | --- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | $ 119,035,166 | $ 96,602,237 |  |
Remaining Premium |  | 5,785,116 | 5,311,495 |  |
Remaining Discount |  | (167,439) | (192,979) |  |
Amortized Cost |  | 118,662,277 | 94,853,660 |  |
Unrealized Gains |  | 1,875,693 | 379,619 |  |
Unrealized Losses |  | (611,101) | (2,609,491) |  |
Estimated Fair Value | [1] | 119,926,869 | 92,623,788 | [2] |
Agency Securities |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 116,503,163 | 93,835,696 |  |
Remaining Premium |  | 5,747,648 | 5,255,201 |  |
Remaining Discount |  | (43,534) | (43,656) |  |
Amortized Cost |  | 117,031,665 | 93,040,233 |  |
Unrealized Gains |  | 1,776,818 | 305,893 |  |
Unrealized Losses |  | (606,443) | (2,593,131) |  |
Estimated Fair Value |  | 118,202,040 | 90,752,995 |  |
Agency Securities | Fixed-rate pass-through |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 105,780,191 | 81,144,650 |  |
Remaining Premium |  | 4,540,458 | 3,810,808 |  |
Remaining Discount |  | (39,619) | (36,987) |  |
Amortized Cost |  | 110,281,030 | 84,918,471 |  |
Unrealized Gains |  | 1,584,896 | 264,443 |  |
Unrealized Losses |  | (343,418) | (2,130,362) |  |
Estimated Fair Value |  | 111,522,508 | 83,052,552 |  |
Agency Securities | Adjustable-rate pass-through |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 3,260,731 | 4,835,983 |  |
Remaining Premium |  | 167,235 | 247,981 |  |
Remaining Discount |  | (1,416) | (1,337) |  |
Amortized Cost |  | 3,426,550 | 5,082,627 |  |
Unrealized Gains |  | 10,032 | 7,127 |  |
Unrealized Losses |  | (70,286) | (151,770) |  |
Estimated Fair Value |  | 3,366,296 | 4,937,984 |  |
Agency Securities | CMO |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 10,156 |  |  |
Remaining Premium |  | 47 |  |  |
Remaining Discount |  | 0 |  |  |
Amortized Cost |  | 10,203 |  |  |
Unrealized Gains |  | 281 |  |  |
Unrealized Losses |  | 0 |  |  |
Estimated Fair Value |  | 10,484 |  |  |
Agency Securities | Interest-only |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 5,175,612 | 6,007,008 |  |
Remaining Premium |  | 1,016,856 | 1,179,855 |  |
Remaining Discount |  | 0 | 0 |  |
Amortized Cost |  | 1,016,856 | 1,179,855 |  |
Unrealized Gains |  | 3,223 | 1,446 |  |
Unrealized Losses |  | (192,330) | (307,412) |  |
Estimated Fair Value |  | 827,749 | 873,889 |  |
Agency Securities | Multifamily |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 2,242,153 | 1,802,292 |  |
Remaining Premium |  | 19,191 | 12,329 |  |
Remaining Discount |  | (2,499) | (5,332) |  |
Amortized Cost |  | 2,258,845 | 1,809,289 |  |
Unrealized Gains |  | 178,386 | 32,753 |  |
Unrealized Losses |  | 0 | (3,477) |  |
Estimated Fair Value |  | 2,437,231 | 1,838,565 |  |
Agency Securities | Reverse mortgages |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 34,320 | 34,650 |  |
Remaining Premium |  | 3,861 | 4,175 |  |
Remaining Discount |  | 0 | 0 |  |
Amortized Cost |  | 38,181 | 38,825 |  |
Unrealized Gains |  | 0 | 69 |  |
Unrealized Losses |  | (409) | (110) |  |
Estimated Fair Value |  | 37,772 | 38,784 |  |
Agency Securities | CMO Mortgage Backed Securities Available For Sale [Member] |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  |  | 11,113 |  |
Remaining Premium |  |  | 53 |  |
Remaining Discount |  |  | 0 |  |
Amortized Cost |  |  | 11,166 |  |
Unrealized Gains |  |  | 55 |  |
Unrealized Losses |  |  | 0 |  |
Estimated Fair Value |  |  | 11,221 |  |
Residential Credit Securities Mortgage Backed Securities |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 2,395,337 | 2,610,620 |  |
Remaining Premium |  | 37,119 | 46,516 |  |
Remaining Discount |  | (115,445) | (139,583) |  |
Amortized Cost |  | 1,502,057 | 1,657,468 |  |
Unrealized Gains |  | 92,322 | 72,067 |  |
Unrealized Losses |  | (4,658) | (15,500) |  |
Estimated Fair Value |  | 1,589,721 | 1,714,035 |  |
Residential Credit Securities Mortgage Backed Securities | CRT (1) |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 481,758 | 542,374 |  |
Remaining Premium |  | 19,561 | 28,444 |  |
Remaining Discount |  | (2,406) | (15,466) |  |
Amortized Cost |  | 483,988 | 555,352 |  |
Unrealized Gains |  | 10,817 | 7,879 |  |
Unrealized Losses |  | (2,836) | (11,134) |  |
Estimated Fair Value |  | 491,969 | 552,097 |  |
Residential Credit Securities Mortgage Backed Securities | CRT Interest-Only Security |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 14,900 |  |  |
Residential Credit Securities Mortgage Backed Securities | Alt-A |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 204,398 | 202,889 |  |
Remaining Premium |  | 341 | 349 |  |
Remaining Discount |  | (30,027) | (31,238) |  |
Amortized Cost |  | 174,712 | 172,000 |  |
Unrealized Gains |  | 16,847 | 10,559 |  |
Unrealized Losses |  | (71) | (198) |  |
Estimated Fair Value |  | 191,488 | 182,361 |  |
Residential Credit Securities Mortgage Backed Securities | Prime |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 257,216 | 353,108 |  |
Remaining Premium |  | 1,157 | 2,040 |  |
Remaining Discount |  | (19,093) | (23,153) |  |
Amortized Cost |  | 239,280 | 331,995 |  |
Unrealized Gains |  | 17,389 | 12,821 |  |
Unrealized Losses |  | (189) | (830) |  |
Estimated Fair Value |  | 256,480 | 343,986 |  |
Residential Credit Securities Mortgage Backed Securities | Prime interest-only |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 188,979 |  |  |
Remaining Premium |  | 2,407 |  |  |
Remaining Discount |  | 0 |  |  |
Amortized Cost |  |  |  |  | $ 2,407
Unrealized Gains |  | 0 |  |  |
Unrealized Losses |  | (162) |  |  |
Estimated Fair Value |  | 2,245 |  |  |
Residential Credit Securities Mortgage Backed Securities | Subprime |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 439,485 | 423,166 |  |
Remaining Premium |  | 2,854 | 1,776 |  |
Remaining Discount |  | (59,535) | (65,005) |  |
Amortized Cost |  | 382,804 | 359,937 |  |
Unrealized Gains |  | 41,809 | 35,278 |  |
Unrealized Losses |  | (143) | (594) |  |
Estimated Fair Value |  | 424,470 | 394,621 |  |
Residential Credit Securities Mortgage Backed Securities | NPL/RPL |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 8,431 | 3,431 |  |
Remaining Premium |  | 0 | 0 |  |
Remaining Discount |  | (15) | (30) |  |
Amortized Cost |  | 8,416 | 3,401 |  |
Unrealized Gains |  | 20 | 37 |  |
Unrealized Losses |  | 0 | 0 |  |
Estimated Fair Value |  | 8,436 | 3,438 |  |
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (2010 vintage) |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 204,020 | 225,567 |  |
Remaining Premium |  | 1,069 | 1,087 |  |
Remaining Discount |  | (4,369) | (4,691) |  |
Amortized Cost |  | 200,720 | 221,963 |  |
Unrealized Gains |  | 5,054 | 1,439 |  |
Unrealized Losses |  | 0 | (2,744) |  |
Estimated Fair Value |  | 205,774 | 220,658 |  |
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (2010 vintage) Interest-only |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 611,050 | 860,085 |  |
Remaining Premium |  | 9,730 | 12,820 |  |
Remaining Discount |  | 0 | 0 |  |
Amortized Cost |  | 9,730 | 12,820 |  |
Unrealized Gains |  | 386 | 4,054 |  |
Unrealized Losses |  | (1,257) | 0 |  |
Estimated Fair Value |  | 8,859 | 16,874 |  |
Residential Investments |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 118,898,500 | 96,446,316 |  |
Remaining Premium |  | 5,784,767 | 5,301,717 |  |
Remaining Discount |  | (158,979) | (183,239) |  |
Amortized Cost |  | 118,533,722 | 94,697,701 |  |
Unrealized Gains |  | 1,869,140 | 377,960 |  |
Unrealized Losses |  | (611,101) | (2,608,631) |  |
Estimated Fair Value |  | 119,791,761 | 92,467,030 |  |
Commercial Mortgage-Backed Securities |  |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |  |
Principal / Notional |  | 136,666 | 155,921 |  |
Remaining Premium |  | 349 | 9,778 |  |
Remaining Discount |  | (8,460) | (9,740) |  |
Amortized Cost |  | 128,555 | 155,959 |  |
Unrealized Gains |  | 6,553 | 1,659 |  |
Unrealized Losses |  | 0 | (860) |  |
Estimated Fair Value |  | $ 135,108 | $ 156,758 |  |
[1] | (3) Excludes $327.9 million and $83.6 million at June 30, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $168.0 million and $224.3 million at June 30, 2019 and December 31, 2018, respectively, of commercial 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, 2018.

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