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SECURITIES - Component of Agency Mortgage-Backed Securities Portfolio by Issuing Agency Concentration (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020
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Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Mortgage-backed securities | [1] | $ 71,849,437 | $ 75,652,396 | [2]
Agency Mortgage-Backed Securities |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Mortgage-backed securities |  | 69,637,229 | 74,067,059 |
Agency Mortgage-Backed Securities | Fannie Mae |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Mortgage-backed securities |  | 53,587,022 | 56,218,033 |
Agency Mortgage-Backed Securities | Freddie Mac |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Mortgage-backed securities |  | 15,945,374 | 17,735,041 |
Agency Mortgage-Backed Securities | Ginnie Mae |  |  |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |  |  |
Mortgage-backed securities |  | $ 104,833 | $ 113,985 |
[1] | Excludes $78.3 million and $81.5 million at March 31, 2021 and December 31, 2020, respectively, of Agency mortgage-backed securities, $357.6 million and $576.6 million at March 31, 2021 and December 31, 2020, respectively, of non-Agency mortgage-backed securities and $0 and $391.0 million at March 31, 2021 and December 31, 2020, respectively, of commercial mortgage-backed securities in consolidated VIEs pledged as collateral and eliminated from the Company’s Consolidated Statements of Financial Condition.
[2] | Derived from the audited consolidated financial statements at December 31, 2020.

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- Definition The fair value as of the balance sheet date of firm holdings in mortgages, mortgage backed securities (investment instruments that represent ownership of an undivided interest in a group of mortgages, where principal and interest from the individual mortgages are used to pay investors' principal and interest on the mortgage backed security) and asset-backed securities that are primarily paid from the cash flows of a discrete pool of receivables or other financial assets (such as credit-card receivables), either fixed or revolving, that by their terms convert into cash within a finite time period. Includes both pledged (to counterparties as collateral for financing transactions) and unpledged holdings. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=35711157&loc=d3e42546-110969 + Details
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