DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Assets
Gross Amounts	$ 168,755	$ 200,503	[1]
Liabilities
Gross Amounts	972,415	889,750	[1]
Futures contracts, at fair value
Assets
Gross Amounts	102,400
Financial Instruments	(37,973)
Cash Collateral	0
Net Amounts	64,427
Liabilities
Gross Amounts	80,563	462,309
Financial Instruments	(37,973)	0
Cash Collateral	(42,590)	(462,309)
Net Amounts	0	0
Purchase commitments
Assets
Gross Amounts	3,787	844
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	3,787	844
Liabilities
Gross Amounts	1,074	33
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	1,074	33
Interest rate swaps, at fair value
Assets
Gross Amounts	2,556	48,114
Financial Instruments	(2,291)	(29,308)
Cash Collateral	0	0
Net Amounts	265	18,806
Liabilities
Gross Amounts	861,067	420,365
Financial Instruments	(2,291)	(29,308)
Cash Collateral	(121,915)	(11,856)
Net Amounts	736,861	379,201
Interest rate swaptions, at fair value
Assets
Gross Amounts	39,251	7,216
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	39,251	7,216
TBA derivatives, at fair value
Assets
Gross Amounts	15,706	141,688
Financial Instruments	(7,208)	0
Cash Collateral	0	0
Net Amounts	8,498	141,688
Liabilities
Gross Amounts	28,373
Financial Instruments	(7,208)
Cash Collateral	0
Net Amounts	21,165
Credit derivatives
Assets
Gross Amounts	5,055	2,641
Financial Instruments	(1,026)	(2,641)
Cash Collateral	0	0
Net Amounts	4,029	0
Liabilities
Gross Amounts	1,338	7,043
Financial Instruments	(1,026)	(2,641)
Cash Collateral	(312)	(4,402)
Net Amounts	$ 0	$ 0

[1] ⁽¹⁾  Derived from the audited consolidated financial statements at December 31, 2018.