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, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Derivative [Line Items]
Unrealized Gains (Losses) on Interest Rate Swaps	$ (1,276,019)	$ 343,475	$ (1,666,575)	$ 1,320,760
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(506,411)	34,189	(621,570)	(12,956)
U.S. Treasury futures
Derivative [Line Items]
Realized Gain (Loss)	(514,441)	62,618	(1,006,182)	557,630
Unrealized Gains (Losses) on Interest Rate Swaps	(82,779)	15,684	119,533	(312,828)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(597,220)	78,302	(886,649)	244,802
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0	0	0
Unrealized Gains (Losses) on Interest Rate Swaps	1,106	59	2,251	425
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	1,106	59	2,251	425
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	174,221	(30,228)	387,946	(308,127)
Unrealized Gains (Losses) on Interest Rate Swaps	(68,291)	11,123	(108,231)	29,039
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	105,930	(19,105)	279,715	(279,088)
Interest rate swaptions
Derivative [Line Items]
Realized Gain (Loss)	(11,317)	(35,667)	(41,309)	(57,100)
Unrealized Gains (Losses) on Interest Rate Swaps	(7,178)	3,999	12,506	71,220
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(18,495)	(31,668)	(28,803)	14,120
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	1,199	2,889	3,501	4,402
Unrealized Gains (Losses) on Interest Rate Swaps	1,069	3,712	8,415	2,383
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	$ 2,268	$ 6,601	$ 11,916	$ 6,785