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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | $ 114,328,368 | $ 96,602,237 |
Remaining Premium |  | 5,414,064 | 5,311,495 |
Remaining Discount |  | (159,796) | (192,979) |
Amortized Cost |  | 113,858,974 | 94,853,660 |
Unrealized Gains |  | 2,574,163 | 379,619 |
Unrealized Losses |  | (339,076) | (2,609,491) |
Estimated Fair Value | [1] | 116,094,061 | 92,623,788 | [2]
Agency |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 111,644,160 | 93,835,696 |
Remaining Premium |  | 5,378,345 | 5,255,201 |
Remaining Discount |  | (41,352) | (43,656) |
Amortized Cost |  | 112,324,114 | 93,040,233 |
Unrealized Gains |  | 2,471,709 | 305,893 |
Unrealized Losses |  | (333,299) | (2,593,131) |
Estimated Fair Value |  | 114,462,524 | 90,752,995 |
Agency | Fixed-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 102,020,108 | 81,144,650 |
Remaining Premium |  | 4,321,803 | 3,810,808 |
Remaining Discount |  | (37,466) | (36,987) |
Amortized Cost |  | 106,304,445 | 84,918,471 |
Unrealized Gains |  | 2,216,560 | 264,443 |
Unrealized Losses |  | (102,943) | (2,130,362) |
Estimated Fair Value |  | 108,418,062 | 83,052,552 |
Agency | Adjustable-rate pass-through |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 2,338,560 | 4,835,983 |
Remaining Premium |  | 123,228 | 247,981 |
Remaining Discount |  | (1,440) | (1,337) |
Amortized Cost |  | 2,460,348 | 5,082,627 |
Unrealized Gains |  | 11,265 | 7,127 |
Unrealized Losses |  | (56,122) | (151,770) |
Estimated Fair Value |  | 2,415,491 | 4,937,984 |
Agency | CMO |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 9,623 |  |
Remaining Premium |  | 45 |  |
Remaining Discount |  | 0 |  |
Amortized Cost |  | 9,668 |  |
Unrealized Gains |  | 298 |  |
Unrealized Losses |  | 0 |  |
Estimated Fair Value |  | 9,966 |  |
Agency | Interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 4,657,039 | 6,007,008 |
Remaining Premium |  | 899,601 | 1,179,855 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 899,601 | 1,179,855 |
Unrealized Gains |  | 4,311 | 1,446 |
Unrealized Losses |  | (173,304) | (307,412) |
Estimated Fair Value |  | 730,608 | 873,889 |
Agency | Multifamily |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 2,562,366 | 1,802,292 |
Remaining Premium |  | 28,314 | 12,329 |
Remaining Discount |  | (2,446) | (5,332) |
Amortized Cost |  | 2,588,234 | 1,809,289 |
Unrealized Gains |  | 239,213 | 32,753 |
Unrealized Losses |  | (712) | (3,477) |
Estimated Fair Value |  | 2,826,735 | 1,838,565 |
Agency | Reverse mortgages |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 56,464 | 34,650 |
Remaining Premium |  | 5,354 | 4,175 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 61,818 | 38,825 |
Unrealized Gains |  | 62 | 69 |
Unrealized Losses |  | (218) | (110) |
Estimated Fair Value |  | 61,662 | 38,784 |
Agency | CMO |  |  |  |
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 |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 2,543,608 | 2,610,620 |
Remaining Premium |  | 35,376 | 46,516 |
Remaining Discount |  | (110,053) | (139,583) |
Amortized Cost |  | 1,402,308 | 1,657,468 |
Unrealized Gains |  | 94,155 | 72,067 |
Unrealized Losses |  | (5,777) | (15,500) |
Estimated Fair Value |  | 1,490,686 | 1,714,035 |
Residential credit | CRT |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 463,982 | 542,374 |
Remaining Premium |  | 16,785 | 28,444 |
Remaining Discount |  | (2,258) | (15,466) |
Amortized Cost |  | 463,584 | 555,352 |
Unrealized Gains |  | 13,492 | 7,879 |
Unrealized Losses |  | (2,311) | (11,134) |
Estimated Fair Value |  | 474,765 | 552,097 |
Residential credit | CRT Interest-Only Security |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 14,900 |  |
Residential credit | Alt-A |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 153,891 | 202,889 |
Remaining Premium |  | 255 | 349 |
Remaining Discount |  | (22,816) | (31,238) |
Amortized Cost |  | 131,330 | 172,000 |
Unrealized Gains |  | 14,307 | 10,559 |
Unrealized Losses |  | 0 | (198) |
Estimated Fair Value |  | 145,637 | 182,361 |
Residential credit | Prime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 267,196 | 353,108 |
Remaining Premium |  | 2,223 | 2,040 |
Remaining Discount |  | (18,176) | (23,153) |
Amortized Cost |  | 251,243 | 331,995 |
Unrealized Gains |  | 18,506 | 12,821 |
Unrealized Losses |  | (29) | (830) |
Estimated Fair Value |  | 269,720 | 343,986 |
Residential credit | Prime interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 459,718 |  |
Remaining Premium |  | 4,195 |  |
Remaining Discount |  | 0 |  |
Amortized Cost |  | 4,195 |  |
Unrealized Gains |  | 0 |  |
Unrealized Losses |  | (538) |  |
Estimated Fair Value |  | 3,657 |  |
Residential credit | Subprime |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 380,293 | 423,166 |
Remaining Premium |  | 1,394 | 1,776 |
Remaining Discount |  | (62,355) | (65,005) |
Amortized Cost |  | 319,332 | 359,937 |
Unrealized Gains |  | 40,883 | 35,278 |
Unrealized Losses |  | (116) | (594) |
Estimated Fair Value |  | 360,099 | 394,621 |
Residential credit | NPL/RPL |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 28,669 | 3,431 |
Remaining Premium |  | 0 | 0 |
Remaining Discount |  | (74) | (30) |
Amortized Cost |  | 28,595 | 3,401 |
Unrealized Gains |  | 0 | 37 |
Unrealized Losses |  | (41) | 0 |
Estimated Fair Value |  | 28,554 | 3,438 |
Residential credit | Prime jumbo (2010 vintage) |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 197,879 | 225,567 |
Remaining Premium |  | 1,052 | 1,087 |
Remaining Discount |  | (4,374) | (4,691) |
Amortized Cost |  | 194,557 | 221,963 |
Unrealized Gains |  | 6,967 | 1,439 |
Unrealized Losses |  | 0 | (2,744) |
Estimated Fair Value |  | 201,524 | 220,658 |
Residential credit | Prime jumbo (2010 vintage) Interest-only |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 591,980 | 860,085 |
Remaining Premium |  | 9,472 | 12,820 |
Remaining Discount |  | 0 | 0 |
Amortized Cost |  | 9,472 | 12,820 |
Unrealized Gains |  | 0 | 4,054 |
Unrealized Losses |  | (2,742) | 0 |
Estimated Fair Value |  | 6,730 | 16,874 |
Total Residential Securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 114,187,768 | 96,446,316 |
Remaining Premium |  | 5,413,721 | 5,301,717 |
Remaining Discount |  | (151,405) | (183,239) |
Amortized Cost |  | 113,726,422 | 94,697,701 |
Unrealized Gains |  | 2,565,864 | 377,960 |
Unrealized Losses |  | (339,076) | (2,608,631) |
Estimated Fair Value |  | 115,953,210 | 92,467,030 |
Commercial Securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Principal / Notional |  | 140,600 | 155,921 |
Remaining Premium |  | 343 | 9,778 |
Remaining Discount |  | (8,391) | (9,740) |
Amortized Cost |  | 132,552 | 155,959 |
Unrealized Gains |  | 8,299 | 1,659 |
Unrealized Losses |  | 0 | (860) |
Estimated Fair Value |  | $ 140,851 | $ 156,758 |
[1] | (3) Excludes $429.1 million and $83.6 million at September 30, 2019 and December 31, 2018, respectively, of non-Agency mortgage-backed securities and $182.3 million and $224.3 million at September 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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