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, 2021	Mar. 31, 2020
Derivative [Line Items]
Unrealized Gains (Losses) on Interest Rate Swaps	$ 772,262	$ (2,827,723)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	475,707	206,426
Futures
Derivative [Line Items]
Realized Gain (Loss)	296,164	(279,476)
Unrealized Gains (Losses) on Interest Rate Swaps	517,133	6,892
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	813,297	(272,584)
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0
Unrealized Gains (Losses) on Interest Rate Swaps	(1,907)	(10,809)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	(1,907)	(10,809)
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	(287,889)	271,085
Unrealized Gains (Losses) on Interest Rate Swaps	(342,228)	160,695
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	(630,117)	431,780
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	(22,210)	51,445
Unrealized Gains (Losses) on Interest Rate Swaps	305,990	70,133
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	283,780	121,578
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	1,631	1,925
Unrealized Gains (Losses) on Interest Rate Swaps	9,023	(65,464)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	$ 10,654	$ (63,539)