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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019
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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

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