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SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($)
$ in Thousands
Sep. 30, 2019
Dec. 31, 2018
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 10,840,000 $ 11,570,000
Borrowings outstanding [1],[2] 10,299,497 10,987,329
Agency Securities [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount 10,837,600 11,568,448
Accrued interest receivable 31,348 31,908
Borrowings outstanding $ 10,292,924 $ 10,979,362
Average borrowing rates 2.31% 2.70%
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 10,836,662 $ 4,424,311
Accrued interest receivable 31,348 12,287
Borrowings outstanding $ 10,291,986 $ 4,204,988
Average borrowing rates 2.31% 2.73%
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount   $ 7,143,129
Accrued interest receivable   19,621
Borrowings outstanding   $ 6,773,366
Average borrowing rates   2.68%
Agency Securities [Member] | Similar Borrowings [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 938 $ 1,008
Borrowings outstanding $ 938 $ 1,008
Average borrowing rates 7.99% 7.99%
[1] Amounts include accrued interest payable of $7.5 million and $9.0 million on borrowings under repurchase arrangements as of September 30, 2019 and December 31, 2018, respectively.
[2] Included in gross amounts of recognized liabilities at September 30, 2019 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, 2019.