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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Jun. 30, 2021	Dec. 31, 2020
Assets
Gross Amounts	$ 181,889	$ 171,134	[1]
Liabilities
Gross Amounts	900,259	1,033,345	[1]
Futures contracts, at fair value
Assets
Gross Amounts	8,141	506
Financial Instruments	(8,141)	(506)
Cash Collateral	0	0
Net Amounts	0	0
Liabilities
Gross Amounts	87,814	19,413
Financial Instruments	(8,141)	(506)
Cash Collateral	(79,673)	(18,907)
Net Amounts	0	0
Purchase commitments
Assets
Gross Amounts	3,174	49
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	3,174	49
Liabilities
Gross Amounts	2,656
Financial Instruments	0
Cash Collateral	0
Net Amounts	2,656
Credit derivatives
Assets
Gross Amounts	4,196
Financial Instruments	0
Cash Collateral	0
Net Amounts	4,196
Interest rate swaptions, at fair value
Assets
Gross Amounts	134,434	74,470
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	134,434	74,470
TBA derivatives, at fair value
Assets
Gross Amounts	31,944	96,109
Financial Instruments	(2,596)	0
Cash Collateral	0	0
Net Amounts	29,348	96,109
Liabilities
Gross Amounts	2,837
Financial Instruments	(2,596)
Cash Collateral	0
Net Amounts	241
Credit derivatives
Liabilities
Gross Amounts		7,440
Financial Instruments		0
Cash Collateral		(7,440)
Net Amounts		0
Interest rate swaps, at fair value
Liabilities
Gross Amounts	806,952	1,006,492
Financial Instruments	0	0
Cash Collateral	(83,737)	(108,757)
Net Amounts	$ 723,215	$ 897,735
[1] Derived from the audited consolidated financial statements at December 31, 2020.

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