DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2019	Mar. 31, 2018
Derivative [Line Items]
Unrealized Gains (Losses) on Interest Rate Swaps	$ (390,556)	$ 977,285
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(115,159)	(47,145)
U.S. Treasury futures
Derivative [Line Items]
Realized Gain (Loss)	(491,741)	495,013
Unrealized Gains (Losses) on Interest Rate Swaps	202,312	(328,512)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(289,429)	166,501
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0
Unrealized Gains (Losses) on Interest Rate Swaps	1,145	366
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	1,145	366
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	213,725	(277,901)
Unrealized Gains (Losses) on Interest Rate Swaps	(39,940)	17,917
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	173,785	(259,984)
Interest rate swaptions
Derivative [Line Items]
Realized Gain (Loss)	(29,992)	(21,434)
Unrealized Gains (Losses) on Interest Rate Swaps	19,684	67,221
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(10,308)	45,787
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	2,302	1,513
Unrealized Gains (Losses) on Interest Rate Swaps	7,346	(1,328)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	$ 9,648	$ 185