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SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($)
$ in Thousands
Dec. 31, 2019
Dec. 31, 2018
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 10,830,000 $ 11,570,000
Borrowings outstanding [1],[2] 10,286,011 10,987,329
Agency Securities [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount 10,829,627 11,568,448
Accrued interest receivable 31,568 31,908
Borrowings outstanding $ 10,275,413 $ 10,979,362
Average borrowing rates 2.10% 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 $ 9,484,275 $ 4,424,311
Accrued interest receivable 27,826 12,287
Borrowings outstanding $ 9,002,527 $ 4,204,988
Average borrowing rates 2.12% 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 $ 1,344,437 $ 7,143,129
Accrued interest receivable 3,742 19,621
Borrowings outstanding $ 1,271,971 $ 6,773,366
Average borrowing rates 1.98% 2.68%
Agency Securities [Member] | Similar Borrowings [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Collateral carrying amount $ 915 $ 1,008
Borrowings outstanding $ 915 $ 1,008
Average borrowing rates 7.99% 7.99%
[1] Amounts include accrued interest payable of $11.5 million and $9.0 million on borrowings under repurchases arrangements as of December 31, 2019 and December 31, 2018, respectively
[2] Included in gross amounts of recognized liabilities at December 31, 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 December 31, 2019.