DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA Derivatives - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Derivative [Line Items]
Notional amount	$ 6,899,000
Implied cost basis	6,888,405
Implied market value	6,892,270
Net carrying value	3,865
Purchase Contracts
Derivative [Line Items]
Notional amount	10,043,000	$ 13,803,000
Implied cost basis	10,182,891	13,823,109
Implied market value	10,192,038	13,964,797
Net carrying value	9,147	$ 141,688
Sale Contracts
Derivative [Line Items]
Notional amount	(3,144,000)
Implied cost basis	(3,294,486)
Implied market value	(3,299,768)
Net carrying value	$ (5,282)