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, 2022	Mar. 31, 2021
Derivative [Line Items]
Unrealized Gain (Loss)	$ 1,323,439	$ 772,262
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	381,130	475,707
Futures
Derivative [Line Items]
Realized Gain (Loss)	553,154	296,164
Unrealized Gain (Loss)	838,952	517,133
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	1,392,106	813,297
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0
Unrealized Gain (Loss)	(499)	(1,907)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	(499)	(1,907)
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	(756,139)	(287,889)
Unrealized Gain (Loss)	(360,231)	(342,228)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	(1,116,370)	(630,117)
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	(14,450)	(22,210)
Unrealized Gain (Loss)	122,622	305,990
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	108,172	283,780
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	1,060	1,631
Unrealized Gain (Loss)	(3,339)	9,023
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives	$ (2,279)	$ 10,654