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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | $ 72,253,465 | $ 113,123,301
Remaining premium | 3,971,492 | 5,353,597
Remaining discount | (95,734) | (166,320)
Total | 72,487,080 | 112,863,385
Unrealized gains | 3,332,263 | 2,261,636
Unrealized losses | (166,947) | (291,441)
Estimated fair value | 75,652,396 | 114,833,580
Agency Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 70,144,080 | 110,241,618
Remaining premium | 3,948,694 | 5,307,771
Remaining discount | (26,569) | (50,294)
Total | 70,921,106 | 111,012,250
Unrealized gains | 3,294,122 | 2,167,941
Unrealized losses | (148,169) | (286,824)
Estimated fair value | 74,067,059 | 112,893,367
Agency Securities | Fixed-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 64,800,235 | 102,448,565
Remaining premium | 3,325,020 | 4,345,053
Remaining discount | (22,143) | (46,614)
Total | 68,103,112 | 106,747,004
Unrealized gains | 3,200,542 | 2,071,583
Unrealized losses | (1,076) | (95,173)
Estimated fair value | 71,302,578 | 108,723,414
Agency Securities | Adjustable-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 455,675 | 1,474,818
Remaining premium | 2,869 | 72,245
Remaining discount | (3,369) | (1,400)
Total | 455,175 | 1,545,663
Unrealized gains | 22,341 | 10,184
Unrealized losses | 0 | (31,516)
Estimated fair value | 477,516 | 1,524,331
Agency Securities | CMO |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 139,664 | 156,937
Remaining premium | 2,177 | 2,534
Remaining discount | 0 | 0
Total | 141,841 | 159,471
Unrealized gains | 7,926 | 545
Unrealized losses | 0 | 0
Estimated fair value | 149,767 | 160,016
Agency Securities | Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 2,790,537 | 4,486,845
Remaining premium | 564,297 | 862,905
Remaining discount | 0 | 0
Total | 564,297 | 862,905
Unrealized gains | 3,513 | 2,787
Unrealized losses | (145,901) | (157,130)
Estimated fair value | 421,909 | 708,562
Agency Securities | Multifamily |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 1,910,384 | 1,619,900
Remaining premium | 50,148 | 19,981
Remaining discount | (1,057) | (2,280)
Total | 1,604,913 | 1,637,601
Unrealized gains | 59,548 | 82,292
Unrealized losses | (954) | (2,696)
Estimated fair value | 1,663,507 | 1,717,197
Agency Securities | Reverse mortgages |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 47,585 | 54,553
Remaining premium | 4,183 | 5,053
Remaining discount | 0 | 0
Total | 51,768 | 59,606
Unrealized gains | 252 | 550
Unrealized losses | (238) | (309)
Estimated fair value | 51,782 | 59,847
Residential Credit Securities Mortgage Backed Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 2,019,527 | 2,617,718
Remaining premium | 22,798 | 34,953
Remaining discount | (61,694) | (106,633)
Total | 1,483,587 | 1,585,690
Unrealized gains | 38,087 | 85,985
Unrealized losses | (17,079) | (4,485)
Estimated fair value | 1,504,595 | 1,667,190
Residential Credit Securities Mortgage Backed Securities | Multifamily Interest-Only Security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 354,600 | 0
Residential Credit Securities Mortgage Backed Securities | CRT |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 544,780 | 517,110
Remaining premium | 7,324 | 15,850
Remaining discount | (2,430) | (2,085)
Total | 538,941 | 515,950
Unrealized gains | 3,062 | 16,605
Unrealized losses | (9,600) | (1,233)
Estimated fair value | 532,403 | 531,322
Residential Credit Securities Mortgage Backed Securities | CRT Interest-Only Security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 10,700 | 14,900
Residential Credit Securities Mortgage Backed Securities | Alt-A |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 93,001 | 160,957
Remaining premium | 51 | 250
Remaining discount | (17,368) | (22,306)
Total | 75,684 | 138,901
Unrealized gains | 4,644 | 12,482
Unrealized losses | 0 | 0
Estimated fair value | 80,328 | 151,383
Residential Credit Securities Mortgage Backed Securities | Prime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 177,852 | 277,076
Remaining premium | 5,126 | 3,362
Remaining discount | (15,999) | (17,794)
Total | 166,979 | 262,644
Unrealized gains | 14,607 | 14,142
Unrealized losses | (77) | (529)
Estimated fair value | 181,509 | 276,257
Residential Credit Securities Mortgage Backed Securities | Prime interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 194,687 | 391,234
Remaining premium | 1,882 | 3,757
Remaining discount | 0 | 0
Total | 1,882 | 3,757
Unrealized gains | 0 | 0
Unrealized losses | (642) | (590)
Estimated fair value | 1,240 | 3,167
Residential Credit Securities Mortgage Backed Securities | Subprime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 197,779 | 370,263
Remaining premium | 584 | 1,356
Remaining discount | (18,181) | (59,727)
Total | 180,182 | 311,892
Unrealized gains | 8,312 | 37,205
Unrealized losses | (61) | (118)
Estimated fair value | 188,433 | 348,979
Residential Credit Securities Mortgage Backed Securities | NPL/RPL |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 475,108 | 164,180
Remaining premium | 821 | 351
Remaining discount | (2,416) | (440)
Total | 473,513 | 164,091
Unrealized gains | 3,782 | 191
Unrealized losses | (1,448) | (14)
Estimated fair value | 475,847 | 164,268
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (>=2010 vintage) |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 44,696 | 182,709
Remaining premium | 207 | 1,026
Remaining discount | (5,300) | (4,281)
Total | 39,603 | 179,454
Unrealized gains | 3,680 | 5,360
Unrealized losses | 0 | (150)
Estimated fair value | 43,283 | 184,664
Residential Credit Securities Mortgage Backed Securities | Prime jumbo (>=2010 vintage) Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 291,624 | 554,189
Remaining premium | 6,803 | 9,001
Remaining discount | 0 | 0
Total | 6,803 | 9,001
Unrealized gains | 0 | 0
Unrealized losses | (5,251) | (1,851)
Estimated fair value | 1,552 | 7,150
Residential Investments |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 72,163,607 | 112,859,336
Remaining premium | 3,971,492 | 5,342,724
Remaining discount | (88,263) | (156,927)
Total | 72,404,693 | 112,597,940
Unrealized gains | 3,332,209 | 2,253,926
Unrealized losses | (165,248) | (291,309)
Estimated fair value | 75,571,654 | 114,560,557
Commercial Mortgage-Backed Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / notional | 89,858 | 263,965
Remaining premium | 0 | 10,873
Remaining discount | (7,471) | (9,393)
Total | 82,387 | 265,445
Unrealized gains | 54 | 7,710
Unrealized losses | (1,699) | (132)
Estimated fair value | $ 80,742 | $ 273,023

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