DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Derivative Instruments:
Unrealized Gains (Losses)	$ 343,475	$ (177,567)	$ 1,320,760	$ (28,383)
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives	34,189	(14,423)	(12,956)	(14,123)
U.S. Treasury Futures
Derivative Instruments:
Realized Gains (Losses)	62,618	(59,397)	557,630	(58,424)
Unrealized Gains (Losses)	15,684	(37,588)	(312,828)	(61,292)
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives	78,302	(96,985)	244,802	(119,716)
Purchase commitments
Derivative Instruments:
Realized Gains (Losses)	0	0	0	0
Unrealized Gains (Losses)	59	8	425	272
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives	59	8	425	272
TBA derivatives
Derivative Instruments:
Realized Gains (Losses)	(30,228)	165,777	(308,127)	105,463
Unrealized Gains (Losses)	11,123	(72,844)	29,039	10,237
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives	(19,105)	92,933	(279,088)	115,700
Interest rate swaptions
Derivative Instruments:
Realized Gains (Losses)	(35,667)	0	(57,100)	0
Unrealized Gains (Losses)	3,999	(10,438)	71,220	(10,438)
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives	(31,668)	(10,438)	14,120	(10,438)
Credit derivatives
Derivative Instruments:
Realized Gains (Losses)	2,889	136	4,402	136
Unrealized Gains (Losses)	3,712	(77)	2,383	(77)
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives	$ 6,601	$ 59	$ 6,785	$ 59