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SECURITIES - Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020
--- | --- | ---
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | $ 65,710,241 | $ 72,253,465
Remaining Premium | 3,864,993 | 3,971,492
Remaining Discount | (82,277) | (95,734)
Amortized Cost | 64,164,022 | 72,487,080
Unrealized Gains | 1,915,388 | 3,332,263
Unrealized Losses | (457,058) | (166,947)
Estimated Fair Value | 65,622,352 | 75,652,396
Total Residential Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 65,441,241 | 72,163,607
Remaining Premium | 3,864,987 | 3,971,492
Remaining Discount | (82,174) | (88,263)
Amortized Cost | 63,895,119 | 72,404,693
Unrealized Gains | 1,915,179 | 3,332,209
Unrealized Losses | (457,052) | (165,248)
Estimated Fair Value | 65,353,246 | 75,571,654
Agency |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 62,684,604 | 70,144,080
Remaining Premium | 3,840,505 | 3,948,694
Remaining Discount | (23,522) | (26,569)
Amortized Cost | 61,400,340 | 70,921,106
Unrealized Gains | 1,866,103 | 3,294,122
Unrealized Losses | (448,364) | (148,169)
Estimated Fair Value | 62,818,079 | 74,067,059
Agency | Fixed-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 55,667,603 | 64,800,235
Remaining Premium | 3,107,102 | 3,325,020
Remaining Discount | (19,552) | (22,143)
Amortized Cost | 58,755,153 | 68,103,112
Unrealized Gains | 1,815,792 | 3,200,542
Unrealized Losses | (272,823) | (1,076)
Estimated Fair Value | 60,298,122 | 71,302,578
Agency | Adjustable-rate pass-through |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 331,164 | 455,675
Remaining Premium | 1,644 | 2,869
Remaining Discount | (2,991) | (3,369)
Amortized Cost | 329,817 | 455,175
Unrealized Gains | 19,204 | 22,341
Unrealized Losses | 0 | 0
Estimated Fair Value | 349,021 | 477,516
Agency | CMO |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 120,598 | 139,664
Remaining Premium | 1,906 | 2,177
Remaining Discount | 0 | 0
Amortized Cost | 122,504 | 141,841
Unrealized Gains | 6,740 | 7,926
Unrealized Losses | 0 | 0
Estimated Fair Value | 129,244 | 149,767
Agency | Interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 2,091,601 | 2,790,537
Remaining Premium | 482,544 | 564,297
Remaining Discount | 0 | 0
Amortized Cost | 482,544 | 564,297
Unrealized Gains | 919 | 3,513
Unrealized Losses | (153,522) | (145,901)
Estimated Fair Value | 329,941 | 421,909
Agency | Multifamily |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 4,435,186 | 1,910,384
Remaining Premium | 243,588 | 50,148
Remaining Discount | (979) | (1,057)
Amortized Cost | 1,668,149 | 1,604,913
Unrealized Gains | 23,448 | 59,548
Unrealized Losses | (21,125) | (954)
Estimated Fair Value | 1,670,472 | 1,663,507
Agency | Reverse mortgages |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 38,452 | 47,585
Remaining Premium | 3,721 | 4,183
Remaining Discount | 0 | 0
Amortized Cost | 42,173 | 51,768
Unrealized Gains | 0 | 252
Unrealized Losses | (894) | (238)
Estimated Fair Value | 41,279 | 51,782
Agency | Multifamily Interest-Only Security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 3,000,000 | 354,600
Residential credit |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 2,756,637 | 2,019,527
Remaining Premium | 24,482 | 22,798
Remaining Discount | (58,652) | (61,694)
Amortized Cost | 2,494,779 | 1,483,587
Unrealized Gains | 49,076 | 38,087
Unrealized Losses | (8,688) | (17,079)
Estimated Fair Value | 2,535,167 | 1,504,595
Residential credit | Credit risk transfer |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 780,039 | 544,780
Remaining Premium | 6,639 | 7,324
Remaining Discount | (1,593) | (2,430)
Amortized Cost | 776,784 | 538,941
Unrealized Gains | 11,598 | 3,062
Unrealized Losses | (1,147) | (9,600)
Estimated Fair Value | 787,235 | 532,403
Residential credit | Alt-A |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 66,805 | 93,001
Remaining Premium | 31 | 51
Remaining Discount | (16,879) | (17,368)
Amortized Cost | 49,957 | 75,684
Unrealized Gains | 3,584 | 4,644
Unrealized Losses | 0 | 0
Estimated Fair Value | 53,541 | 80,328
Residential credit | Prime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 343,013 | 372,539
Remaining Premium | 10,197 | 7,008
Remaining Discount | (15,226) | (15,999)
Amortized Cost | 269,586 | 168,861
Unrealized Gains | 12,191 | 14,607
Unrealized Losses | (2,040) | (719)
Estimated Fair Value | 279,737 | 182,749
Residential credit | Subprime |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 183,962 | 197,779
Remaining Premium | 403 | 584
Remaining Discount | (16,984) | (18,181)
Amortized Cost | 167,381 | 180,182
Unrealized Gains | 9,340 | 8,312
Unrealized Losses | (285) | (61)
Estimated Fair Value | 176,436 | 188,433
Residential credit | NPL/RPL |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 1,130,807 | 475,108
Remaining Premium | 1,107 | 821
Remaining Discount | (2,126) | (2,416)
Amortized Cost | 1,129,788 | 473,513
Unrealized Gains | 7,700 | 3,782
Unrealized Losses | (357) | (1,448)
Estimated Fair Value | 1,137,131 | 475,847
Residential credit | Prime jumbo (>=2010 vintage) |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 252,011 | 336,320
Remaining Premium | 6,105 | 7,010
Remaining Discount | (5,844) | (5,300)
Amortized Cost | 101,283 | 46,406
Unrealized Gains | 4,663 | 3,680
Unrealized Losses | (4,859) | (5,251)
Estimated Fair Value | 101,087 | 44,835
Residential credit | CRT interest-only security |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 8,300 | 10,700
Residential credit | Prime interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 68,400 | 194,700
Residential credit | Prime Jumbo interest-only |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 151,000 | 291,600
Commercial Securities |  |
Mortgage-Backed Securities Portfolio [Line Items] |  |
Principal / Notional | 269,000 | 89,858
Remaining Premium | 6 | 0
Remaining Discount | (103) | (7,471)
Amortized Cost | 268,903 | 82,387
Unrealized Gains | 209 | 54
Unrealized Losses | (6) | (1,699)
Estimated Fair Value | $ 269,106 | $ 80,742

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