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SECURED BORROWINGS - Schedule of Secured Borrowings (Details) - USD ($)
$ in Thousands
Jun. 30, 2021
Dec. 31, 2020
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 7,140,000 $ 7,710,000
Borrowings outstanding [1],[2] 6,810,348 7,320,090
Borrowings with Maturities Greater than 90 Days [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged   522,969
Accrued interest receivable   1,167
Borrowings outstanding   $ 500,000
Average borrowing rates   0.29%
Agency Securities [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged 7,136,579 $ 7,711,992
Accrued interest receivable 14,429 17,989
Borrowings outstanding $ 6,809,883 $ 7,319,083
Average borrowing rates 0.12% 0.21%
Agency Securities [Member] | Borrowings with Maturities of 30 Days or Less [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 6,616,872 $ 5,249,989
Accrued interest receivable 13,407 12,597
Borrowings outstanding $ 6,309,883 $ 4,972,181
Average borrowing rates 0.10% 0.21%
Agency Securities [Member] | Borrowings with Maturities of 31 to 90 Days [Member]    
Secured Borrowings, Including Interest Rate Hedging Activity [Line Items]    
Agency securities pledged $ 519,707 $ 1,939,034
Accrued interest receivable 1,022 4,225
Borrowings outstanding $ 500,000 $ 1,846,902
Average borrowing rates 0.29% 0.20%
[1] Amounts include accrued interest payable of $465,000 and $1.0 million on borrowings under repurchase arrangements as of June 30, 2021 and December 31, 2020, respectively.
[2] Included in gross amounts of recognized liabilities 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, 2021.