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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Assets
Gross Amounts	$ 103,245	$ 113,556	[1]
Liabilities
Gross Amounts	1,182,681	803,866	[1]
Futures contracts, at fair value
Assets
Gross Amounts	550	77,889
Financial Instruments	(550)	(10,902)
Cash Collateral	0	0
Net Amounts	0	66,987
Liabilities
Gross Amounts	7,792	84,781
Financial Instruments	(550)	(10,902)
Cash Collateral	(7,242)	(73,879)
Net Amounts	0	0
Purchase commitments
Assets
Gross Amounts	438	2,050
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	438	2,050
Liabilities
Gross Amounts	488	907
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	488	907
Interest rate swaps, at fair value
Assets
Gross Amounts		1,199
Financial Instruments		(951)
Cash Collateral		0
Net Amounts		248
Liabilities
Gross Amounts	1,126,179	706,862
Financial Instruments	0	(951)
Cash Collateral	(117,947)	(104,205)
Net Amounts	1,008,232	601,706
Interest rate swaptions, at fair value
Assets
Gross Amounts	63,601	11,580
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	63,601	11,580
TBA derivatives, at fair value
Assets
Gross Amounts	38,656	15,181
Financial Instruments	(18,950)	(5,018)
Cash Collateral	0	0
Net Amounts	19,706	10,163
Liabilities
Gross Amounts	21,140	11,316
Financial Instruments	(18,950)	(5,018)
Cash Collateral	0	0
Net Amounts	2,190	6,298
Credit derivatives
Assets
Gross Amounts		5,657
Financial Instruments		0
Cash Collateral		0
Net Amounts		$ 5,657
Liabilities
Gross Amounts	27,082
Financial Instruments	0
Cash Collateral	(27,082)
Net Amounts	$ 0
[1] Derived from the audited consolidated financial statements at December 31, 2019.

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