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SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($)
$ in Thousands
Jun. 30, 2017
Dec. 31, 2016
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Borrowings outstanding [1],[2] $ 12,459,187 $ 12,151,122
Quarter-End Borrowing Rates Adjusted for Effects of Related Derivative Financial Instruments ("Derivatives") Held as Cash Flow Hedges [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Average borrowing rates 1.23%  
Year-End Borrowing Rates Adjusted for Effects of Related Derivatives Held as Cash Flow Hedges [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Average borrowing rates   1.04%
Agency Securities [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 13,095,589 $ 12,807,567
Accrued interest receivable 30,486 28,240
Borrowings outstanding $ 12,454,183 $ 12,145,346
Average borrowing rates 1.30% 0.96%
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 13,054,443 $ 12,643,359
Accrued interest receivable 30,348 27,889
Borrowings outstanding $ 12,416,533 $ 11,991,532
Average borrowing rates 1.30% 0.96%
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 39,570 $ 162,551
Accrued interest receivable 138 351
Borrowings outstanding $ 36,074 $ 152,157
Average borrowing rates 1.02% 0.93%
Agency Securities [Member] | Similar Borrowings [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 1,576 $ 1,657
Borrowings outstanding $ 1,576 $ 1,657
Average borrowing rates 8.01% 7.98%
[1] Amounts include accrued interest payable of $6.6 million and $7.4 million on borrowings under repurchase arrangements as of June 30, 2017 and December 31, 2016, respectively.
[2] Included in gross amounts of recognized liabilities at June 30, 2017 is the fair value of non-exchange traded swap agreements (Counterparty 1) and exchange traded swap agreements (Counterparty 4), calculated including accrued interest. Included in gross amounts offset in the balance sheet are variation margin amounts associated with exchange traded swap agreements at June 30, 2017.