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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($)
$ in Thousands
Mar. 31, 2021
Dec. 31, 2020
Assets    
Total derivative assets $ 891,474 $ 171,134 [1]
Liabilities    
Interest rate swaps 672,637 1,006,492
Total derivative liabilities 939,622 1,033,345 [1]
Futures contracts    
Assets    
Other derivative assets 498,226 506
Total derivative assets 498,226 506
Liabilities    
Other derivative liabilities 0 19,413
Total derivative liabilities   19,413
Purchase commitments    
Assets    
Other derivative assets 1,170 49
Total derivative assets 1,170 49
Liabilities    
Other derivative liabilities 3,028 0
Total derivative liabilities 3,028  
Interest rate swaptions    
Assets    
Other derivative assets 372,701 74,470
Total derivative assets 372,701 74,470
TBA derivatives    
Assets    
Other derivative assets 17,404 96,109
Total derivative assets 17,404 96,109
Liabilities    
Other derivative liabilities 263,523 0
Total derivative liabilities 263,523  
Credit derivatives    
Assets    
Other derivative assets 1,973 0
Liabilities    
Other derivative liabilities 434 7,440
Total derivative liabilities 434 7,440
Credit derivatives | Maximum    
Liabilities    
Notional Amount $ 499,000 $ 504,000
[1] Derived from the audited consolidated financial statements at December 31, 2020.