DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Derivative [Line Items]
Unrealized Gains (Losses) on Interest Rate Swaps	$ (326,309)	$ 417,203	$ (1,992,884)	$ 1,737,963
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(16,888)	93,812	(638,458)	80,857
Futures
Derivative [Line Items]
Realized Gain (Loss)	(424,268)	(114,317)	(1,430,450)	443,314
Unrealized Gains (Losses) on Interest Rate Swaps	364,613	327,787	484,146	14,959
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(59,655)	213,470	(946,304)	458,273
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0	0	0
Unrealized Gains (Losses) on Interest Rate Swaps	(348)	(841)	1,903	(416)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(348)	(841)	1,903	(416)
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	93,919	8,569	481,865	(299,560)
Unrealized Gains (Losses) on Interest Rate Swaps	(46,124)	(85,741)	(154,355)	(56,701)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	47,795	(77,172)	327,510	(356,261)
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	(2,778)	(28,754)	(44,088)	(85,854)
Unrealized Gains (Losses) on Interest Rate Swaps	(4,571)	(17,663)	7,935	53,557
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(7,349)	(46,417)	(36,153)	(32,297)
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	1,784	3,096	5,285	7,498
Unrealized Gains (Losses) on Interest Rate Swaps	885	1,676	9,301	4,060
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	$ 2,669	$ 4,772	$ 14,586	$ 11,558