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SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($)
$ in Thousands
Jun. 30, 2020
Dec. 31, 2019
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 7,970,000 $ 10,830,000
Borrowings outstanding [1],[2] 7,575,101 10,286,011
Agency Securities [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged 7,969,107 10,829,627
Accrued interest receivable 20,187 31,568
Borrowings outstanding $ 7,575,294 $ 10,275,413
Average borrowing rates 0.26% 2.10%
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 7,797,998 $ 9,484,275
Accrued interest receivable 19,744 27,826
Borrowings outstanding $ 7,412,866 $ 9,002,527
Average borrowing rates 0.25% 2.12%
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 170,253 $ 1,344,437
Accrued interest receivable 443 3,742
Borrowings outstanding $ 161,572 $ 1,271,971
Average borrowing rates 0.23% 1.98%
Agency Securities [Member] | Similar Borrowings [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 856 $ 915
Borrowings outstanding $ 856 $ 915
Average borrowing rates 7.97% 7.99%
[1] Amounts include accrued interest payable of $663,000 and $11.5 million on borrowings under repurchase arrangements as of June 30, 2020 and December 31, 2019, respectively.
[2] Included in gross amounts of recognized liabilities at June 30, 2020 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, 2020.