DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - Purchase contracts - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
Sep. 30, 2019	Dec. 31, 2018
Notional
Purchase contracts	$ 10,823,000	$ 13,803,000
Implied Cost Basis	10,999,389	13,823,109
Implied Market Value	10,986,722	13,964,797
Net Carrying Value	$ (12,667)	$ 141,688

Nominal or face amount used to calculate payments on the derivative asset.

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1A
-Subparagraph (d)
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579245-113959

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1B
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5580258-113959

Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1A
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579245-113959

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Data Type:	xbrli:monetaryItemType
Balance Type:	na
Period Type:	instant