DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Assets
Gross Amounts	$ 891,474	$ 171,134	[1]
Liabilities
Gross Amounts	939,622	1,033,345	[1]
Futures contracts, at fair value
Assets
Gross Amounts	498,226	506
Financial Instruments	0	(506)
Cash Collateral	0	0
Net Amounts	498,226	0
Liabilities
Gross Amounts		19,413
Financial Instruments		(506)
Cash Collateral		(18,907)
Net Amounts		0
Purchase commitments
Assets
Gross Amounts	1,170	49
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	1,170	49
Liabilities
Gross Amounts	3,028
Financial Instruments	0
Cash Collateral	0
Net Amounts	3,028
Credit derivatives
Assets
Gross Amounts	1,973
Financial Instruments	(366)
Cash Collateral	0
Net Amounts	1,607
Interest rate swaptions, at fair value
Assets
Gross Amounts	372,701	74,470
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	372,701	74,470
TBA derivatives, at fair value
Assets
Gross Amounts	17,404	96,109
Financial Instruments	(17,404)	0
Cash Collateral	0	0
Net Amounts	0	96,109
Liabilities
Gross Amounts	263,523
Financial Instruments	(17,404)
Cash Collateral	0
Net Amounts	246,119
Credit derivatives
Liabilities
Gross Amounts	434	7,440
Financial Instruments	(366)	0
Cash Collateral	(68)	(7,440)
Net Amounts	0	0
Interest rate swaps, at fair value
Liabilities
Gross Amounts	672,637	1,006,492
Financial Instruments	0	0
Cash Collateral	(78,967)	(108,757)
Net Amounts	$ 593,670	$ 897,735

[1] Derived from the audited consolidated financial statements at December 31, 2020.