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, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Derivative [Line Items]
Unrealized Gain (Loss)	$ 1,380,946	$ 170,327	$ 2,012,141	$ (1,162,768)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	(45,168)	169,316	72,731	546,658
Futures
Derivative [Line Items]
Realized Gain (Loss)	(229,534)	(19,989)	250,013	(299,220)
Unrealized Gain (Loss)	279,293	10,337	218,527	(350)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	49,759	(9,652)	468,540	(299,570)
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0	0	0
Unrealized Gain (Loss)	920	(51)	1,389	(1,194)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	920	(51)	1,389	(1,194)
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	155,569	276,849	(122,275)	798,459
Unrealized Gain (Loss)	(182,845)	(100,680)	(249,847)	13,651
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	(27,276)	176,169	(372,122)	812,110
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	(24,265)	(9,836)	(69,262)	11,730
Unrealized Gain (Loss)	(44,602)	3,263	28,528	50,762
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	(68,867)	(6,573)	(40,734)	62,492
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	2,616	1,531	7,024	4,659
Unrealized Gain (Loss)	(2,320)	7,892	8,634	(31,839)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	$ 296	$ 9,423	$ 15,658	$ (27,180)