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, 2020	Mar. 31, 2019
Derivative [Line Items]
Unrealized Gains (Losses) on Interest Rate Swaps	$ (2,827,723)	$ (390,556)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	206,426	(115,159)
Futures
Derivative [Line Items]
Realized Gain (Loss)	(279,476)	(491,741)
Unrealized Gains (Losses) on Interest Rate Swaps	6,892	202,312
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(272,584)	(289,429)
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0
Unrealized Gains (Losses) on Interest Rate Swaps	(10,809)	1,145
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(10,809)	1,145
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	271,085	213,725
Unrealized Gains (Losses) on Interest Rate Swaps	160,695	(39,940)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	431,780	173,785
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	51,445	(29,992)
Unrealized Gains (Losses) on Interest Rate Swaps	70,133	19,684
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	121,578	(10,308)
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	1,925	2,302
Unrealized Gains (Losses) on Interest Rate Swaps	(65,464)	7,346
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	$ (63,539)	$ 9,648