DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA Derivatives - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019
Derivative [Line Items]
Notional		$ 6,899,000
Implied Cost Basis		6,888,405
Implied Market Value		6,892,270
Net Carrying Value		3,865
Purchase Contracts
Derivative [Line Items]
Notional	$ 19,635,000	10,043,000
Implied Cost Basis	20,277,088	10,182,891
Implied Market Value	20,373,197	10,192,038
Net Carrying Value	$ 96,109	9,147
Sale Contracts
Derivative [Line Items]
Notional		(3,144,000)
Implied Cost Basis		(3,294,486)
Implied Market Value		(3,299,768)
Net Carrying Value		$ (5,282)