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SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($)
$ in Thousands
Sep. 30, 2018
Dec. 31, 2017
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 12,250,000 $ 12,980,000
Borrowings outstanding [1],[2] $ 11,631,352 $ 12,337,299
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 1.93%  
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   1.46%
Agency Securities [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 12,254,542 $ 12,980,202
Accrued interest receivable 33,880 30,721
Borrowings outstanding $ 11,619,966 $ 12,331,060
Average borrowing rates 2.29% 1.60%
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 11,973,233 $ 12,943,193
Accrued interest receivable 33,105 30,646
Borrowings outstanding $ 11,352,886 $ 12,296,546
Average borrowing rates 2.28% 1.60%
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 280,255 $ 35,568
Accrued interest receivable 775 75
Borrowings outstanding $ 266,026 $ 33,073
Average borrowing rates 2.34% 1.53%
Agency Securities [Member] | Similar Borrowings [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 1,054 $ 1,441
Borrowings outstanding $ 1,054 $ 1,441
Average borrowing rates 8.02% 7.94%
[1] Amounts include accrued interest payable of $12.4 million and $7.7 million on borrowings under repurchase arrangements as of September 30, 2018 and December 31, 2017, respectively.
[2] Included in gross amounts of recognized liabilities at September 30, 2018 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, 2018.