USE OF DERIVATIVES, OFFSETTING DISCLOSURES AND CHANGES IN OTHER COMPREHENSIVE INCOME BY COMPONENT - Schedule of Offsetting of Financial Liabilities and Derivative Liabilities (Details) - USD ($)
$ in Thousands
Mar. 31, 2018
Dec. 31, 2017
Offsetting of financial liabilities and derivative liabilities [Abstract]    
Gross Amounts of Recognized Liabilities (Derivatives) $ 18,265 $ 23,772
Cash Collateral Pledged (Derivatives) (36,586) (42,506)
Gross Amounts of Recognized Liabilities (Repurchase Arrangements) [1],[2] 11,953,111 12,337,299
Gross Amounts Offset in the Balance Sheet (Repurchase Arrangements) [1],[2] 0 0
Net Amounts of Liabilities Presented in the Balance Sheet (Repurchase Arrangements) [1],[3] 11,953,111 12,337,299
Financial Instruments (Repurchase Arrangements) [1],[4] (11,953,111) (12,337,299)
Cash Collateral Pledged (Repurchase Arrangements) [1],[4] 0 0
Net Amount (Repurchase Arrangements) [1] 0 0
Gross Amounts of Recognized Liabilities (Financial Liabilities Total) [2] 11,972,646 12,365,256
Gross Amounts Offset in the Balance Sheet (Financial Liabilities Total) [2] (316) (3,701)
Net Amounts of Liabilities Presented in the Balance Sheet (Financial Liabilities Total) [3] 11,972,330 12,361,555
Financial Instruments (Financial Liabilities Total) [4] (11,953,111) (12,337,299)
Cash Collateral Pledged (Financial Liabilities Total) [4] (19,219) (24,256)
Net Amount (Financial Liabilities Total) 0 0
Counterparty 1 [Member]    
Offsetting of financial liabilities and derivative liabilities [Abstract]    
Gross Amounts of Recognized Liabilities (Derivatives) [2] 19,219 24,256
Gross Amounts Offset in the Balance Sheet (Derivatives) [2] 0 0
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) [3] 19,219 24,256
Financial Instruments (Derivatives) [4] 0 0
Cash Collateral Pledged (Derivatives) [4] (19,219) (24,256)
Net Amount (Derivatives) 0 0
Counterparty 4 [Member]    
Offsetting of financial liabilities and derivative liabilities [Abstract]    
Gross Amounts of Recognized Liabilities (Derivatives) [2] 316 3,701
Gross Amounts Offset in the Balance Sheet (Derivatives) [2] (316) (3,701)
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) [3] 0 0
Financial Instruments (Derivatives) [4] 0 0
Cash Collateral Pledged (Derivatives) [4] 0 0
Net Amount (Derivatives) 0 0
Derivative Counterparties [Member]    
Offsetting of financial liabilities and derivative liabilities [Abstract]    
Gross Amounts of Recognized Liabilities (Derivatives) [2] 19,535 27,957
Gross Amounts Offset in the Balance Sheet (Derivatives) [2] (316) (3,701)
Net Amounts of Liabilities Presented in the Balance Sheet (Derivatives) [3] 19,219 24,256
Financial Instruments (Derivatives) [4] 0 0
Cash Collateral Pledged (Derivatives) [4] (19,219) (24,256)
Net Amount (Derivatives) $ 0 $ 0
[1] Amounts include accrued interest payable of $9.5 million and $7.7 million on borrowings under repurchase arrangements as of March 31, 2018 and December 31, 2017, respectively.
[2] Included in gross amounts of recognized liabilities at March 31, 2018 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 March 31, 2018.
[3] Amounts presented are limited to recognized liabilities and cash collateral received associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.
[4] Amounts presented are limited to recognized assets and collateral pledged associated with the indicated counterparty sufficient to reduce the related Net Amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.