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, 2018	Jun. 30, 2018	Sep. 30, 2017	Jun. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Derivative [Line Items]
Unrealized Gains (Losses)	$ 417,203		$ 56,854		$ 1,737,963	$ 28,471
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		$ 93,812		$ 154,208	80,857	140,086
U.S. Treasury Futures
Derivative [Line Items]
Realized Gains (Losses)		(114,317)		(70,054)	443,314	(128,478)
Unrealized Gains (Losses)		327,787		92,784	14,959	31,492
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		213,470		22,730	458,273	(96,986)
Purchase commitments
Derivative [Line Items]
Realized Gains (Losses)		0		0	0	0
Unrealized Gains (Losses)		(841)		(108)	(416)	165
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		(841)		(108)	(416)	165
TBA derivatives
Derivative [Line Items]
Realized Gains (Losses)		8,569		110,067	(299,560)	215,529
Unrealized Gains (Losses)		(85,741)		29,728	(56,701)	39,964
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		(77,172)		139,795	(356,261)	255,493
Interest rate swaptions
Derivative [Line Items]
Realized Gains (Losses)		(28,754)		0	(85,854)	0
Unrealized Gains (Losses)		(17,663)		(9,137)	53,557	(19,574)
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		(46,417)		(9,137)	(32,297)	(19,574)
Credit derivatives
Derivative [Line Items]
Realized Gains (Losses)		3,096		495	7,498	632
Unrealized Gains (Losses)		1,676		433	4,060	356
Amount of Gains (Losses) Recognized in Net Gains (Losses) on Other Derivatives		$ 4,772		$ 928	$ 11,558	$ 988