DERIVATIVE INSTRUMENTS - Effect of Other Derivative Contracts on the Consolidated Statements of Operations and Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021
Derivative [Line Items]
Unrealized Gain (Loss)	$ 897,537	$ (141,067)	$ 2,220,976	$ 631,195
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	117,130	(357,808)	498,260	117,899
Futures
Derivative [Line Items]
Realized Gain (Loss)	1,167,524	183,383	1,720,678	479,547
Unrealized Gain (Loss)	(380,436)	(577,899)	458,516	(60,766)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	787,088	(394,516)	2,179,194	418,781
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0	0	0
Unrealized Gain (Loss)	2,671	2,376	2,172	469
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	2,671	2,376	2,172	469
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	(1,064,242)	10,045	(1,820,381)	(277,844)
Unrealized Gain (Loss)	280,992	275,226	(79,239)	(67,002)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	(783,250)	285,271	(1,899,620)	(344,846)
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	0	(22,787)	(14,450)	(44,997)
Unrealized Gain (Loss)	119,436	(232,860)	242,058	73,130
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	119,436	(255,647)	227,608	28,133
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	374	2,777	1,434	4,408
Unrealized Gain (Loss)	(9,189)	1,931	(12,528)	10,954
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	$ (8,815)	$ 4,708	$ (11,094)	$ 15,362