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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, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Derivative [Line Items]
Unrealized Gains (Losses) on Interest Rate Swaps	$ 1,494,628	$ (1,276,019)	$ (1,333,095)	$ (1,666,575)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	170,916	(506,411)	377,342	(621,570)
Futures
Derivative [Line Items]
Realized Gain (Loss)	246	(514,441)	(279,230)	(1,006,182)
Unrealized Gains (Losses) on Interest Rate Swaps	(17,579)	(82,779)	(10,687)	119,533
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(17,333)	(597,220)	(289,917)	(886,649)
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0	0	0
Unrealized Gains (Losses) on Interest Rate Swaps	9,666	1,106	(1,143)	2,251
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	9,666	1,106	(1,143)	2,251
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	250,525	174,221	521,610	387,946
Unrealized Gains (Losses) on Interest Rate Swaps	(46,363)	(68,291)	114,331	(108,231)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	204,162	105,930	635,941	279,715
Interest rate swaptions, at fair value
Derivative [Line Items]
Realized Gain (Loss)	(29,880)	(11,317)	21,566	(41,309)
Unrealized Gains (Losses) on Interest Rate Swaps	(22,634)	(7,178)	47,499	12,506
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	(52,514)	(18,495)	69,065	(28,803)
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	1,203	1,199	3,128	3,501
Unrealized Gains (Losses) on Interest Rate Swaps	25,732	1,069	(39,732)	8,415
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives	$ 26,935	$ 2,268	$ (36,604)	$ 11,916

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Realized gain (loss) on derivatives.

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Amount of increase (decrease) in the fair value of derivatives recognized in the income statement.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4A
-Subparagraph (b)(1)
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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.

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Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 230
-SubTopic 10
-Section 45
-Paragraph 28
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=118932676&loc=d3e3602-108585

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