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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | $ 77,593,064 | $ 113,123,301
Remaining premium | 3,913,867 | 5,353,597
Remaining discount | (106,340) | (166,320)
Amortized cost | 76,947,610 | 112,863,385
Unrealized gains | 2,896,205 | 2,261,636
Unrealized losses | (486,219) | (291,441)
Estimated fair value | 79,357,596 | 114,833,580
Agency |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 75,465,615 | 110,241,618
Remaining premium | 3,885,902 | 5,307,771
Remaining discount | (30,782) | (50,294)
Amortized cost | 75,727,702 | 111,012,250
Unrealized gains | 2,890,817 | 2,167,941
Unrealized losses | (161,673) | (286,824)
Estimated fair value | 78,456,846 | 112,893,367
Agency | Fixed-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 69,788,774 | 102,448,565
Remaining premium | 3,167,897 | 4,345,053
Remaining discount | (27,245) | (46,614)
Amortized cost | 72,929,426 | 106,747,004
Unrealized gains | 2,798,718 | 2,071,583
Unrealized losses | (234) | (95,173)
Estimated fair value | 75,727,910 | 108,723,414
Agency | Adjustable-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 609,737 | 1,474,818
Remaining premium | 9,043 | 72,245
Remaining discount | (2,404) | (1,400)
Amortized cost | 616,376 | 1,545,663
Unrealized gains | 16,817 | 10,184
Unrealized losses | (1,757) | (31,516)
Estimated fair value | 631,436 | 1,524,331
Agency | CMO |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 153,405 | 156,937
Remaining premium | 2,436 | 2,534
Remaining discount | 0 | 0
Amortized cost | 155,841 | 159,471
Unrealized gains | 4,749 | 545
Unrealized losses | 0 | 0
Estimated fair value | 160,590 | 160,016
Agency | Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 3,593,033 | 4,486,845
Remaining premium | 684,208 | 862,905
Remaining discount | 0 | 0
Amortized cost | 684,208 | 862,905
Unrealized gains | 3,170 | 2,787
Unrealized losses | (157,742) | (157,130)
Estimated fair value | 529,636 | 708,562
Agency | Multifamily |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 1,266,927 | 1,619,900
Remaining premium | 17,490 | 19,981
Remaining discount | (1,133) | (2,280)
Amortized cost | 1,283,284 | 1,637,601
Unrealized gains | 67,345 | 82,292
Unrealized losses | (1,408) | (2,696)
Estimated fair value | 1,349,221 | 1,717,197
Agency | Reverse mortgages |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 53,739 | 54,553
Remaining premium | 4,828 | 5,053
Remaining discount | 0 | 0
Amortized cost | 58,567 | 59,606
Unrealized gains | 18 | 550
Unrealized losses | (532) | (309)
Estimated fair value | 58,053 | 59,847
Residential credit |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 2,012,897 | 2,617,718
Remaining premium | 27,685 | 34,953
Remaining discount | (67,656) | (106,633)
Amortized cost | 1,112,978 | 1,585,690
Unrealized gains | 5,388 | 85,985
Unrealized losses | (309,541) | (4,485)
Estimated fair value | 808,825 | 1,667,190
Residential credit | CRT |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 470,229 | 517,110
Remaining premium | 10,811 | 15,850
Remaining discount | (1,325) | (2,085)
Amortized cost | 464,790 | 515,950
Unrealized gains | 0 | 16,605
Unrealized losses | (241,919) | (1,233)
Estimated fair value | 222,871 | 531,322
Residential credit | CRT interest-only security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 14,900 | 14,900
Residential credit | Alt-A |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 108,312 | 160,957
Remaining premium | 52 | 250
Remaining discount | (20,861) | (22,306)
Amortized cost | 87,503 | 138,901
Unrealized gains | 723 | 12,482
Unrealized losses | (11,966) | 0
Estimated fair value | 76,260 | 151,383
Residential credit | Prime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 230,056 | 277,076
Remaining premium | 4,451 | 3,362
Remaining discount | (15,780) | (17,794)
Amortized cost | 218,727 | 262,644
Unrealized gains | 3,008 | 14,142
Unrealized losses | (13,099) | (529)
Estimated fair value | 208,636 | 276,257
Residential credit | Prime interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 332,185 | 391,234
Remaining premium | 3,387 | 3,757
Remaining discount | 0 | 0
Amortized cost | 3,387 | 3,757
Unrealized gains | 0 | 0
Unrealized losses | (1,114) | (590)
Estimated fair value | 2,273 | 3,167
Residential credit | Subprime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 160,887 | 370,263
Remaining premium | 100 | 1,356
Remaining discount | (25,138) | (59,727)
Amortized cost | 135,849 | 311,892
Unrealized gains | 1,125 | 37,205
Unrealized losses | (7,931) | (118)
Estimated fair value | 129,043 | 348,979
Residential credit | NPL/RPL |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 132,603 | 164,180
Remaining premium | 321 | 351
Remaining discount | (352) | (440)
Amortized cost | 132,572 | 164,091
Unrealized gains | 0 | 191
Unrealized losses | (26,489) | (14)
Estimated fair value | 106,083 | 164,268
Residential credit | Prime jumbo (2010 vintage) |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 65,787 | 182,709
Remaining premium | 0 | 1,026
Remaining discount | (4,200) | (4,281)
Amortized cost | 61,587 | 179,454
Unrealized gains | 532 | 5,360
Unrealized losses | (3,454) | (150)
Estimated fair value | 58,665 | 184,664
Residential credit | Prime jumbo (2010 vintage) Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 512,838 | 554,189
Remaining premium | 8,563 | 9,001
Remaining discount | 0 | 0
Amortized cost | 8,563 | 9,001
Unrealized gains | 0 | 0
Unrealized losses | (3,569) | (1,851)
Estimated fair value | 4,994 | 7,150
Total Residential Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 77,478,512 | 112,859,336
Remaining premium | 3,913,587 | 5,342,724
Remaining discount | (98,438) | (156,927)
Amortized cost | 76,840,680 | 112,597,940
Unrealized gains | 2,896,205 | 2,253,926
Unrealized losses | (471,214) | (291,309)
Estimated fair value | 79,265,671 | 114,560,557
Commercial Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 114,552 | 263,965
Remaining premium | 280 | 10,873
Remaining discount | (7,902) | (9,393)
Amortized cost | 106,930 | 265,445
Unrealized gains | 0 | 7,710
Unrealized losses | (15,005) | (132)
Estimated fair value | $ 91,925 | $ 273,023

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