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, 2020	Dec. 31, 2019	Dec. 31, 2018
Derivative [Line Items]
Unrealized Gain (Loss)	$ (904,532)	$ (1,210,276)	$ 424,081
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	756,305	(680,770)
U.S. Treasury Futures
Derivative [Line Items]
Realized Gain (Loss)	(268,084)	(1,418,143)
Unrealized Gain (Loss)	(12,015)	455,417
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(280,099)	(962,726)
Purchase Commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0
Unrealized Gain (Loss)	(1,093)	333
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(1,093)	333
TBA Derivatives
Derivative [Line Items]
Realized Gain (Loss)	893,120	464,575
Unrealized Gain (Loss)	92,244	(137,823)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	985,364	326,752
Interest Rate Swaptions
Derivative [Line Items]
Realized Gain (Loss)	11,730	(47,863)
Unrealized Gain (Loss)	46,301	(15,961)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	58,031	(63,824)
Credit Derivatives
Derivative [Line Items]
Realized Gain (Loss)	6,068	8,077
Unrealized Gain (Loss)	(11,966)	10,618
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	$ (5,898)	$ 18,695