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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | $ 74,833,896 | $ 113,123,301
Remaining premium | 3,772,474 | 5,353,597
Remaining discount | (100,461) | (166,320)
Amortized cost | 74,400,423 | 112,863,385
Unrealized gains | 3,608,593 | 2,261,636
Unrealized losses | (203,273) | (291,441)
Estimated fair value | 77,805,743 | 114,833,580
Agency |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 72,954,123 | 110,241,618
Remaining premium | 3,745,715 | 5,307,771
Remaining discount | (29,474) | (50,294)
Amortized cost | 73,307,268 | 111,012,250
Unrealized gains | 3,585,138 | 2,167,941
Unrealized losses | (130,606) | (286,824)
Estimated fair value | 76,761,800 | 112,893,367
Agency | Fixed-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 67,681,807 | 102,448,565
Remaining premium | 3,078,694 | 4,345,053
Remaining discount | (25,303) | (46,614)
Amortized cost | 70,735,198 | 106,747,004
Unrealized gains | 3,479,647 | 2,071,583
Unrealized losses | (214) | (95,173)
Estimated fair value | 74,214,631 | 108,723,414
Agency | Adjustable-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 560,942 | 1,474,818
Remaining premium | 5,136 | 72,245
Remaining discount | (3,063) | (1,400)
Amortized cost | 563,015 | 1,545,663
Unrealized gains | 26,130 | 10,184
Unrealized losses | (5) | (31,516)
Estimated fair value | 589,140 | 1,524,331
Agency | CMO |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 149,798 | 156,937
Remaining premium | 2,334 | 2,534
Remaining discount | 0 | 0
Amortized cost | 152,132 | 159,471
Unrealized gains | 10,542 | 545
Unrealized losses | 0 | 0
Estimated fair value | 162,674 | 160,016
Agency | Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 3,363,096 | 4,486,845
Remaining premium | 640,320 | 862,905
Remaining discount | 0 | 0
Amortized cost | 640,320 | 862,905
Unrealized gains | 12,892 | 2,787
Unrealized losses | (130,278) | (157,130)
Estimated fair value | 522,934 | 708,562
Agency | Multifamily |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 1,144,549 | 1,619,900
Remaining premium | 14,609 | 19,981
Remaining discount | (1,108) | (2,280)
Amortized cost | 1,158,050 | 1,637,601
Unrealized gains | 55,226 | 82,292
Unrealized losses | (70) | (2,696)
Estimated fair value | 1,213,206 | 1,717,197
Agency | Reverse mortgages |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 53,931 | 54,553
Remaining premium | 4,622 | 5,053
Remaining discount | 0 | 0
Amortized cost | 58,553 | 59,606
Unrealized gains | 701 | 550
Unrealized losses | (39) | (309)
Estimated fair value | 59,215 | 59,847
Residential credit |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 1,805,315 | 2,617,718
Remaining premium | 26,693 | 34,953
Remaining discount | (63,295) | (106,633)
Amortized cost | 1,026,323 | 1,585,690
Unrealized gains | 23,455 | 85,985
Unrealized losses | (67,037) | (4,485)
Estimated fair value | 982,741 | 1,667,190
Residential credit | CRT |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 423,284 | 517,110
Remaining premium | 10,439 | 15,850
Remaining discount | (1,144) | (2,085)
Amortized cost | 419,428 | 515,950
Unrealized gains | 112 | 16,605
Unrealized losses | (56,639) | (1,233)
Estimated fair value | 362,901 | 531,322
Residential credit | CRT interest-only security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 13,200 | 14,900
Residential credit | Alt-A |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 106,758 | 160,957
Remaining premium | 52 | 250
Remaining discount | (20,570) | (22,306)
Amortized cost | 86,240 | 138,901
Unrealized gains | 5,093 | 12,482
Unrealized losses | (681) | 0
Estimated fair value | 90,652 | 151,383
Residential credit | Prime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 179,368 | 277,076
Remaining premium | 4,320 | 3,362
Remaining discount | (14,649) | (17,794)
Amortized cost | 169,039 | 262,644
Unrealized gains | 9,544 | 14,142
Unrealized losses | (1,538) | (529)
Estimated fair value | 177,045 | 276,257
Residential credit | Prime interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 280,259 | 391,234
Remaining premium | 2,906 | 3,757
Remaining discount | 0 | 0
Amortized cost | 2,906 | 3,757
Unrealized gains | 0 | 0
Unrealized losses | (974) | (590)
Estimated fair value | 1,932 | 3,167
Residential credit | Subprime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 135,160 | 370,263
Remaining premium | 0 | 1,356
Remaining discount | (20,853) | (59,727)
Amortized cost | 114,307 | 311,892
Unrealized gains | 6,396 | 37,205
Unrealized losses | (16) | (118)
Estimated fair value | 120,687 | 348,979
Residential credit | NPL/RPL |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 191,529 | 164,180
Remaining premium | 791 | 351
Remaining discount | (1,423) | (440)
Amortized cost | 190,897 | 164,091
Unrealized gains | 1,644 | 191
Unrealized losses | (2,026) | (14)
Estimated fair value | 190,515 | 164,268
Residential credit | Prime jumbo (2010 vintage) |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 39,977 | 182,709
Remaining premium | 0 | 1,026
Remaining discount | (4,656) | (4,281)
Amortized cost | 35,321 | 179,454
Unrealized gains | 666 | 5,360
Unrealized losses | (400) | (150)
Estimated fair value | 35,587 | 184,664
Residential credit | Prime jumbo (2010 vintage) Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 448,980 | 554,189
Remaining premium | 8,185 | 9,001
Remaining discount | 0 | 0
Amortized cost | 8,185 | 9,001
Unrealized gains | 0 | 0
Unrealized losses | (4,763) | (1,851)
Estimated fair value | 3,422 | 7,150
Total Residential Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 74,759,438 | 112,859,336
Remaining premium | 3,772,408 | 5,342,724
Remaining discount | (92,769) | (156,927)
Amortized cost | 74,333,591 | 112,597,940
Unrealized gains | 3,608,593 | 2,253,926
Unrealized losses | (197,643) | (291,309)
Estimated fair value | 77,744,541 | 114,560,557
Commercial Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 74,458 | 263,965
Remaining premium | 66 | 10,873
Remaining discount | (7,692) | (9,393)
Amortized cost | 66,832 | 265,445
Unrealized gains | 0 | 7,710
Unrealized losses | (5,630) | (132)
Estimated fair value | $ 61,202 | $ 273,023

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