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, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Derivative [Line Items]
Unrealized Gains (Losses) on Interest Rate Swaps	$ 170,327	$ (326,309)	$ (1,162,768)	$ (1,992,884)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	169,316	(16,888)	546,658	(638,458)
Futures
Derivative [Line Items]
Realized Gain (Loss)	(19,989)	(424,268)	(299,220)	(1,430,450)
Unrealized Gains (Losses) on Interest Rate Swaps	10,337	364,613	(350)	484,146
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(9,652)	(59,655)	(299,570)	(946,304)
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0	0	0
Unrealized Gains (Losses) on Interest Rate Swaps	(51)	(348)	(1,194)	1,903
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(51)	(348)	(1,194)	1,903
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	276,849	93,919	798,459	481,865
Unrealized Gains (Losses) on Interest Rate Swaps	(100,680)	(46,124)	13,651	(154,355)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	176,169	47,795	812,110	327,510
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	(9,836)	(2,778)	11,730	(44,088)
Unrealized Gains (Losses) on Interest Rate Swaps	3,263	(4,571)	50,762	7,935
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(6,573)	(7,349)	62,492	(36,153)
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	1,531	1,784	4,659	5,285
Unrealized Gains (Losses) on Interest Rate Swaps	7,892	885	(31,839)	9,301
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	$ 9,423	$ 2,669	$ (27,180)	$ 14,586