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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($)
$ in Thousands
Sep. 30, 2021
Dec. 31, 2020
Assets    
Total derivative assets $ 331,395 $ 171,134 [1]
Liabilities    
Interest rate swaps 754,248 1,006,492
Total derivative liabilities 912,134 1,033,345 [1]
Futures contracts    
Assets    
Other derivative assets 199,728 506
Total derivative assets 199,728 506
Liabilities    
Other derivative liabilities 108 19,413
Total derivative liabilities 108 19,413
Purchase commitments    
Assets    
Other derivative assets 3,702 49
Total derivative assets 3,702 49
Liabilities    
Other derivative liabilities 2,263 0
Total derivative liabilities 2,263  
Interest rate swaptions    
Assets    
Other derivative assets 123,506 74,470
Total derivative assets 123,506 74,470
TBA derivatives    
Assets    
Other derivative assets 1,776 96,109
Total derivative assets 1,776 96,109
Liabilities    
Other derivative liabilities 155,515 0
Total derivative liabilities 155,515  
Credit derivatives    
Assets    
Other derivative assets 2,683 0
Liabilities    
Other derivative liabilities 0 7,440
Total derivative liabilities   7,440
Credit derivatives | Maximum    
Liabilities    
Notional Amount $ 425,000 $ 504,000
[1] (1)Derived from the audited consolidated financial statements at December 31, 2020.