DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Notional	$ 20,294,000	$ 6,899,000
Implied Cost Basis	21,072,039	6,888,405
Implied Market Value	21,089,555	6,892,270
Net Carrying Value	17,516	3,865
Purchase contracts
Derivative [Line Items]
Notional	20,394,000	10,043,000
Implied Cost Basis	21,176,883	10,182,891
Implied Market Value	21,194,446	10,192,038
Net Carrying Value	17,563	9,147
Sale contracts
Derivative [Line Items]
Notional	(100,000)	(3,144,000)
Implied Cost Basis	(104,844)	(3,294,486)
Implied Market Value	(104,891)	(3,299,768)
Net Carrying Value	$ (47)	$ (5,282)