DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Derivative [Line Items]
Unrealized Gain (Loss)	$ (1,210,276)	$ 424,081	$ 512,918
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(680,770)	(404,013)
U.S. Treasury Futures
Derivative [Line Items]
Realized Gain (Loss)	(1,418,143)	564,418
Unrealized Gain (Loss)	455,417	(668,384)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(962,726)	(103,966)
Purchase Commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0
Unrealized Gain (Loss)	333	1,002
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	333	1,002
TBA Derivatives
Derivative [Line Items]
Realized Gain (Loss)	464,575	(343,594)
Unrealized Gain (Loss)	(137,823)	134,397
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	326,752	(209,197)
Interest Rate Swaptions
Derivative [Line Items]
Realized Gain (Loss)	(47,863)	(98,248)
Unrealized Gain (Loss)	(15,961)	2,679
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(63,824)	(95,569)
Credit Derivatives
Derivative [Line Items]
Realized Gain (Loss)	8,077	9,662
Unrealized Gain (Loss)	10,618	(5,945)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	$ 18,695	$ 3,717