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SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($)
$ in Thousands
Sep. 30, 2020
Dec. 31, 2019
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 8,060,000 $ 10,830,000
Borrowings outstanding [1],[2] 7,645,701 10,286,011
Agency Securities [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged 8,057,775 10,829,627
Accrued interest receivable 19,961 31,568
Borrowings outstanding $ 7,644,830 $ 10,275,413
Average borrowing rates 0.24% 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 $ 6,065,774 $ 9,484,275
Accrued interest receivable 15,052 27,826
Borrowings outstanding $ 5,743,751 $ 9,002,527
Average borrowing rates 0.23% 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 $ 1,469,324 $ 1,344,437
Accrued interest receivable 3,733 3,742
Borrowings outstanding $ 1,400,246 $ 1,271,971
Average borrowing rates 0.23% 1.98%
Agency Securities [Member] | Borrowings with Maturities Greater than 90 Days [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 521,844  
Accrued interest receivable 1,176  
Borrowings outstanding $ 500,000  
Average borrowing rates 0.29%  
Agency Securities [Member] | Similar Borrowings [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 833 $ 915
Borrowings outstanding $ 833 $ 915
Average borrowing rates 7.94% 7.99%
[1] Amounts include accrued interest payable of $1.7 million and $11.5 million on borrowings under repurchase arrangements as of September 30, 2020 and December 31, 2019, respectively.
[2] Included in gross amounts of recognized liabilities at September 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 September 30, 2020.