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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | $ 113,123,301 | $ 96,602,237
Remaining premium | 5,353,597 |
Remaining premium |  | 5,311,495
Remaining discount | (166,320) |
Remaining discount |  | (192,979)
Amortized cost | 112,863,385 | 94,853,660
Unrealized gains | 2,261,636 | 379,619
Unrealized losses | (291,441) | (2,609,491)
Estimated fair value | 114,833,580 | 92,623,788
Agency Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 110,241,618 | 93,835,696
Remaining premium | 5,307,771 |
Remaining premium |  | 5,255,201
Remaining discount | (50,294) |
Remaining discount |  | (43,656)
Amortized cost | 111,012,250 | 93,040,233
Unrealized gains | 2,167,941 | 305,893
Unrealized losses | (286,824) | (2,593,131)
Estimated fair value | 112,893,367 | 90,752,995
Agency Securities | Fixed-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 102,448,565 | 81,144,650
Remaining premium | 4,345,053 |
Remaining premium |  | 3,810,808
Remaining discount | (46,614) |
Remaining discount |  | (36,987)
Amortized cost | 106,747,004 | 84,918,471
Unrealized gains | 2,071,583 | 264,443
Unrealized losses | (95,173) | (2,130,362)
Estimated fair value | 108,723,414 | 83,052,552
Agency Securities | Adjustable-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 1,474,818 | 4,835,983
Remaining premium | 72,245 |
Remaining premium |  | 247,981
Remaining discount | (1,400) |
Remaining discount |  | (1,337)
Amortized cost | 1,545,663 | 5,082,627
Unrealized gains | 10,184 | 7,127
Unrealized losses | (31,516) | (151,770)
Estimated fair value | 1,524,331 | 4,937,984
Agency Securities | CMO |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 156,937 | 11,113
Remaining premium | 2,534 |
Remaining premium |  | 53
Remaining discount | 0 |
Remaining discount |  | 0
Amortized cost | 159,471 | 11,166
Unrealized gains | 545 | 55
Unrealized losses | 0 | 0
Estimated fair value | 160,016 | 11,221
Agency Securities | Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 4,486,845 | 6,007,008
Remaining premium | 862,905 |
Remaining premium |  | 1,179,855
Remaining discount | 0 |
Remaining discount |  | 0
Amortized cost | 862,905 | 1,179,855
Unrealized gains | 2,787 | 1,446
Unrealized losses | (157,130) | (307,412)
Estimated fair value | 708,562 | 873,889
Agency Securities | Multifamily |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 1,619,900 | 1,802,292
Remaining premium | 19,981 |
Remaining premium |  | 12,329
Remaining discount | (2,280) |
Remaining discount |  | (5,332)
Amortized cost | 1,637,601 | 1,809,289
Unrealized gains | 82,292 | 32,753
Unrealized losses | (2,696) | (3,477)
Estimated fair value | 1,717,197 | 1,838,565
Agency Securities | Reverse mortgages |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 54,553 | 34,650
Remaining premium | 5,053 |
Remaining premium |  | 4,175
Remaining discount | 0 |
Remaining discount |  | 0
Amortized cost | 59,606 | 38,825
Unrealized gains | 550 | 69
Unrealized losses | (309) | (110)
Estimated fair value | 59,847 | 38,784
Residential Credit Securities Mortgage Backed Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 2,617,718 | 2,610,620
Remaining premium | 34,953 |
Remaining premium |  | 46,516
Remaining discount | (106,633) |
Remaining discount |  | (139,583)
Amortized cost | 1,585,690 | 1,657,468
Unrealized gains | 85,985 | 72,067
Unrealized losses | (4,485) | (15,500)
Estimated fair value | 1,667,190 | 1,714,035
Residential Credit Securities Mortgage Backed Securities | CRT |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 517,110 | 542,374
Remaining premium | 15,850 |
Remaining premium |  | 28,444
Remaining discount | (2,085) |
Remaining discount |  | (15,466)
Amortized cost | 515,950 | 555,352
Unrealized gains | 16,605 | 7,879
Unrealized losses | (1,233) | (11,134)
Estimated fair value | 531,322 | 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 | 160,957 | 202,889
Remaining premium | 250 |
Remaining premium |  | 349
Remaining discount | (22,306) |
Remaining discount |  | (31,238)
Amortized cost | 138,901 | 172,000
Unrealized gains | 12,482 | 10,559
Unrealized losses | 0 | (198)
Estimated fair value | 151,383 | 182,361
Residential Credit Securities Mortgage Backed Securities | Prime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 277,076 | 353,108
Remaining premium | 3,362 |
Remaining premium |  | 2,040
Remaining discount | (17,794) |
Remaining discount |  | (23,153)
Amortized cost | 262,644 | 331,995
Unrealized gains | 14,142 | 12,821
Unrealized losses | (529) | (830)
Estimated fair value | 276,257 | 343,986
Residential Credit Securities Mortgage Backed Securities | Prime interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 391,234 |
Remaining premium | 3,757 |
Remaining discount | 0 |
Amortized cost | 3,757 |
Unrealized gains | 0 |
Unrealized losses | (590) |
Estimated fair value | 3,167 |
Residential Credit Securities Mortgage Backed Securities | Subprime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 370,263 | 423,166
Remaining premium | 1,356 |
Remaining premium |  | 1,776
Remaining discount | (59,727) |
Remaining discount |  | (65,005)
Amortized cost | 311,892 | 359,937
Unrealized gains | 37,205 | 35,278
Unrealized losses | (118) | (594)
Estimated fair value | 348,979 | 394,621
Residential Credit Securities Mortgage Backed Securities | NPL/RPL |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 164,180 | 3,431
Remaining premium | 351 |
Remaining premium |  | 0
Remaining discount | (440) |
Remaining discount |  | (30)
Amortized cost | 164,091 | 3,401
Unrealized gains | 191 | 37
Unrealized losses | (14) | 0
Estimated fair value | 164,268 | 3,438
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (2010 vintage) |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 182,709 | 225,567
Remaining premium | 1,026 |
Remaining premium |  | 1,087
Remaining discount | (4,281) |
Remaining discount |  | (4,691)
Amortized cost | 179,454 | 221,963
Unrealized gains | 5,360 | 1,439
Unrealized losses | (150) | (2,744)
Estimated fair value | 184,664 | 220,658
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (2010 vintage) Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 554,189 | 860,085
Remaining premium | 9,001 |
Remaining premium |  | 12,820
Remaining discount | 0 |
Remaining discount |  | 0
Amortized cost | 9,001 | 12,820
Unrealized gains | 0 | 4,054
Unrealized losses | (1,851) | 0
Estimated fair value | 7,150 | 16,874
Residential Investments |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 112,859,336 | 96,446,316
Remaining premium | 5,342,724 |
Remaining premium |  | 5,301,717
Remaining discount | (156,927) |
Remaining discount |  | (183,239)
Amortized cost | 112,597,940 | 94,697,701
Unrealized gains | 2,253,926 | 377,960
Unrealized losses | (291,309) | (2,608,631)
Estimated fair value | 114,560,557 | 92,467,030
Commercial Mortgage-Backed Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 263,965 | 155,921
Remaining premium | 10,873 |
Remaining premium |  | 9,778
Remaining discount | (9,393) |
Remaining discount |  | (9,740)
Amortized cost | 265,445 | 155,959
Unrealized gains | 7,710 | 1,659
Unrealized losses | (132) | (860)
Estimated fair value | $ 273,023 | $ 156,758

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