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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | $ 69,291,915 | $ 72,253,465
Remaining Premium | 4,115,966 | 3,971,492
Remaining Discount | (88,496) | (95,734)
Total | 70,015,346 | 72,487,080
Unrealized Gains | 2,414,654 | 3,332,263
Unrealized Losses | (580,563) | (166,947)
Estimated Fair Value | 71,849,437 | 75,652,396
Agency |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 66,677,820 | 70,144,080
Remaining Premium | 4,094,580 | 3,948,694
Remaining Discount | (27,535) | (26,569)
Total | 67,825,943 | 70,921,106
Unrealized Gains | 2,377,641 | 3,294,122
Unrealized Losses | (566,355) | (148,169)
Estimated Fair Value | 69,637,229 | 74,067,059
Agency | Fixed-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 62,221,818 | 64,800,235
Remaining Premium | 3,509,679 | 3,325,020
Remaining Discount | (22,954) | (22,143)
Total | 65,708,543 | 68,103,112
Unrealized Gains | 2,323,973 | 3,200,542
Unrealized Losses | (418,896) | (1,076)
Estimated Fair Value | 67,613,620 | 71,302,578
Agency | Adjustable-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 416,963 | 455,675
Remaining Premium | 2,425 | 2,869
Remaining Discount | (3,550) | (3,369)
Total | 415,838 | 455,175
Unrealized Gains | 23,035 | 22,341
Unrealized Losses | (1) | 0
Estimated Fair Value | 438,872 | 477,516
Agency | CMO |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 133,977 | 139,664
Remaining Premium | 2,140 | 2,177
Remaining Discount | 0 | 0
Total | 136,117 | 141,841
Unrealized Gains | 6,755 | 7,926
Unrealized Losses | 0 | 0
Estimated Fair Value | 142,872 | 149,767
Agency | Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 2,564,531 | 2,790,537
Remaining Premium | 534,913 | 564,297
Remaining Discount | 0 | 0
Total | 534,913 | 564,297
Unrealized Gains | 2,058 | 3,513
Unrealized Losses | (126,807) | (145,901)
Estimated Fair Value | 410,164 | 421,909
Agency | Multifamily |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,294,527 | 1,910,384
Remaining Premium | 41,353 | 50,148
Remaining Discount | (1,031) | (1,057)
Total | 980,458 | 1,604,913
Unrealized Gains | 21,820 | 59,548
Unrealized Losses | (20,163) | (954)
Estimated Fair Value | 982,115 | 1,663,507
Agency | Reverse mortgages |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 46,004 | 47,585
Remaining Premium | 4,070 | 4,183
Remaining Discount | 0 | 0
Total | 50,074 | 51,768
Unrealized Gains | 0 | 252
Unrealized Losses | (488) | (238)
Estimated Fair Value | 49,586 | 51,782
Residential credit |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 2,610,095 | 2,019,527
Remaining Premium | 21,386 | 22,798
Remaining Discount | (60,850) | (61,694)
Total | 2,185,514 | 1,483,587
Unrealized Gains | 36,781 | 38,087
Unrealized Losses | (14,208) | (17,079)
Estimated Fair Value | 2,208,087 | 1,504,595
Residential credit | Multifamily Interest-Only Security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 354,400 | 354,600
Residential credit | CRT |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 940,130 | 544,780
Remaining Premium | 7,087 | 7,324
Remaining Discount | (2,299) | (2,430)
Total | 934,425 | 538,941
Unrealized Gains | 3,455 | 3,062
Unrealized Losses | (6,897) | (9,600)
Estimated Fair Value | 930,983 | 532,403
Residential credit | CRT interest-only security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 10,500 | 14,900
Residential credit | Alt-A |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 72,234 | 93,001
Remaining Premium | 50 | 51
Remaining Discount | (17,179) | (17,368)
Total | 55,105 | 75,684
Unrealized Gains | 3,398 | 4,644
Unrealized Losses | (5) | 0
Estimated Fair Value | 58,498 | 80,328
Residential credit | Prime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 174,335 | 177,852
Remaining Premium | 4,932 | 5,126
Remaining Discount | (15,778) | (15,999)
Total | 163,489 | 166,979
Unrealized Gains | 12,026 | 14,607
Unrealized Losses | (285) | (77)
Estimated Fair Value | 175,230 | 181,509
Residential credit | Prime interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 146,141 | 194,687
Remaining Premium | 1,513 | 1,882
Remaining Discount | 0 | 0
Total | 1,513 | 1,882
Unrealized Gains | 0 | 0
Unrealized Losses | (554) | (642)
Estimated Fair Value | 959 | 1,240
Residential credit | Subprime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 199,639 | 197,779
Remaining Premium | 531 | 584
Remaining Discount | (17,986) | (18,181)
Total | 182,184 | 180,182
Unrealized Gains | 7,479 | 8,312
Unrealized Losses | (1,165) | (61)
Estimated Fair Value | 188,498 | 188,433
Residential credit | NPL/RPL |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 804,824 | 475,108
Remaining Premium | 1,307 | 821
Remaining Discount | (2,374) | (2,416)
Total | 803,757 | 473,513
Unrealized Gains | 6,297 | 3,782
Unrealized Losses | (650) | (1,448)
Estimated Fair Value | 809,404 | 475,847
Residential credit | Prime jumbo (>=2010 vintage) |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 44,309 | 44,696
Remaining Premium | 196 | 207
Remaining Discount | (5,234) | (5,300)
Total | 39,271 | 39,603
Unrealized Gains | 4,126 | 3,680
Unrealized Losses | (48) | 0
Estimated Fair Value | 43,349 | 43,283
Residential credit | Prime jumbo (>=2010 vintage) Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 228,483 | 291,624
Remaining Premium | 5,770 | 6,803
Remaining Discount | 0 | 0
Total | 5,770 | 6,803
Unrealized Gains | 0 | 0
Unrealized Losses | (4,604) | (5,251)
Estimated Fair Value | 1,166 | 1,552
Total Residential Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 69,287,915 | 72,163,607
Remaining Premium | 4,115,966 | 3,971,492
Remaining Discount | (88,385) | (88,263)
Total | 70,011,457 | 72,404,693
Unrealized Gains | 2,414,422 | 3,332,209
Unrealized Losses | (580,563) | (165,248)
Estimated Fair Value | 71,845,316 | 75,571,654
Commercial Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 4,000 | 89,858
Remaining Premium | 0 | 0
Remaining Discount | (111) | (7,471)
Total | 3,889 | 82,387
Unrealized Gains | 232 | 54
Unrealized Losses | 0 | (1,699)
Estimated Fair Value | $ 4,121 | $ 80,742

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