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SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($)
$ in Thousands
Sep. 30, 2017
Dec. 31, 2016
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Borrowings outstanding [1],[2] $ 12,470,704 $ 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 1.21%  
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 $ 13,129,793 $ 12,807,567
Accrued interest receivable 30,378 28,240
Borrowings outstanding $ 12,467,387 $ 12,145,346
Average borrowing rates 1.33% 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 $ 13,091,941 $ 12,643,359
Accrued interest receivable 30,246 27,889
Borrowings outstanding $ 12,432,771 $ 11,991,532
Average borrowing rates 1.33% 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   $ 162,551
Accrued interest receivable   351
Borrowings outstanding   $ 152,157
Average borrowing rates   0.93%
Agency Securities [Member] | Borrowings with Maturities Greater than 90 Days [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 36,309  
Accrued interest receivable 132  
Borrowings outstanding $ 33,073  
Average borrowing rates 1.53%  
Agency Securities [Member] | Similar Borrowings [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 1,543 $ 1,657
Borrowings outstanding $ 1,543 $ 1,657
Average borrowing rates 7.99% 7.98%
[1] Amounts include accrued interest payable of $4.9 million and $7.4 million on borrowings under repurchase arrangements as of September 30, 2017 and December 31, 2016, respectively.
[2] Included in gross amounts of recognized liabilities at September 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 September 30, 2017.