DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Derivatives, Fair Value [Line Items]
Interest rate swaps	$ 0	$ 1,199
Total derivative assets	171,134	113,556
Interest rate swaps	1,006,492	706,862
Total derivative liabilities	1,033,345	803,866
Futures Contracts
Derivatives, Fair Value [Line Items]
Derivative assets	506	77,889
Total derivative assets	506	77,889
Derivative liabilities	19,413	84,781
Total derivative liabilities	19,413	84,781
Purchase Commitments
Derivatives, Fair Value [Line Items]
Derivative assets	49	2,050
Total derivative assets	49	2,050
Derivative liabilities	0	907
Total derivative liabilities		907
Interest Rate Swaptions
Derivatives, Fair Value [Line Items]
Derivative assets	74,470	11,580
Total derivative assets	74,470	11,580
TBA Derivatives
Derivatives, Fair Value [Line Items]
Derivative assets	96,109	15,181
Total derivative assets	96,109	15,181
Derivative liabilities	0	11,316
Total derivative liabilities		11,316
Credit Derivatives
Derivatives, Fair Value [Line Items]
Derivative assets	0	5,657
Total derivative assets		5,657
Derivative liabilities	7,440	0
Total derivative liabilities	7,440
Current Notional	0	10,000
Credit Derivatives | Maximum
Derivatives, Fair Value [Line Items]
Current Notional	$ 504,000	$ 345,000