DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Assets
Gross Amounts	$ 238,776	$ 113,556	[1]
Liabilities
Gross Amounts	1,331,188	803,866	[1]
Futures contracts, at fair value
Assets
Gross Amounts		77,889
Financial Instruments		(10,902)
Cash Collateral		0
Net Amounts		66,987
Liabilities
Gross Amounts		84,781
Financial Instruments		(10,902)
Cash Collateral		(73,879)
Net Amounts		0
Purchase commitments
Assets
Gross Amounts	1	2,050
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	1	2,050
Liabilities
Gross Amounts	9,666	907
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	9,666	907
Interest rate swaps, at fair value
Assets
Gross Amounts		1,199
Financial Instruments		(951)
Cash Collateral		0
Net Amounts		248
Liabilities
Gross Amounts	1,244,309	706,862
Financial Instruments	0	(951)
Cash Collateral	(162,668)	(104,205)
Net Amounts	1,081,641	601,706
Interest rate swaptions, at fair value
Assets
Gross Amounts	58,468	11,580
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	58,468	11,580
TBA derivatives, at fair value
Assets
Gross Amounts	180,307	15,181
Financial Instruments	(15,747)	(5,018)
Cash Collateral	0	0
Net Amounts	164,560	10,163
Liabilities
Gross Amounts	15,747	11,316
Financial Instruments	(15,747)	(5,018)
Cash Collateral	0	0
Net Amounts	0	6,298
Credit derivatives
Assets
Gross Amounts		5,657
Financial Instruments		0
Cash Collateral		0
Net Amounts		$ 5,657
Liabilities
Gross Amounts	61,466
Financial Instruments	0
Cash Collateral	(48,845)
Net Amounts	$ 12,621

[1] Derived from the audited consolidated financial statements at December 31, 2019.