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, 2018	Mar. 31, 2017
Derivative Instruments:
Unrealized Gain (Loss)	$ 977,285	$ 149,184
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets	(47,145)	300
U.S. Treasury Futures
Derivative Instruments:
Realized Gain (Loss)	495,013	973
Unrealized Gain (Loss)	(328,512)	(23,704)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets	166,501	(22,731)
Purchase commitments
Derivative Instruments:
Realized Gain (Loss)	0	0
Unrealized Gain (Loss)	366	265
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets	366	265
TBA derivatives
Derivative Instruments:
Realized Gain (Loss)	(277,901)	(60,314)
Unrealized Gain (Loss)	17,917	83,080
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets	(259,984)	$ 22,766
Interest rate swaptions
Derivative Instruments:
Realized Gain (Loss)	(21,434)
Unrealized Gain (Loss)	67,221
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets	45,787
Credit derivatives
Derivative Instruments:
Realized Gain (Loss)	1,513
Unrealized Gain (Loss)	(1,328)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Trading Assets	$ 185

Realized gain (loss) on derivatives.

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- Definition

The effective portion of gains and losses (net) on derivative instruments designated and qualifying as hedging instruments that was recognized in other comprehensive income during the current period.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624171-113959

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- Definition

Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table.

+ References

No definition available.

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- Definition

The net change in the difference between the fair value and the carrying value, or in the comparative fair values, of derivative instruments, including options, swaps, futures, and forward contracts, held at each balance sheet date, that was included in earnings for the period.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 230
-SubTopic 10
-Section 45
-Paragraph 28
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=98514028&loc=d3e3602-108585

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