DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Notional
Purchase contracts	$ 12,581,000	$ 6,899,000
Implied Cost Basis	12,951,197	6,888,405
Implied Market Value	13,115,757	6,892,270
Net Carrying Value	164,560	3,865
Purchase contracts
Notional
Purchase contracts	12,581,000	10,043,000
Implied Cost Basis	12,951,197	10,182,891
Implied Market Value	13,115,757	10,192,038
Net Carrying Value	$ 164,560	9,147
Sale contracts
Notional
Purchase contracts		(3,144,000)
Implied Cost Basis		(3,294,486)
Implied Market Value		(3,299,768)
Net Carrying Value		$ (5,282)