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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	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Derivative [Line Items]
Unrealized Gain (Loss)	$ 2,198,486	$ (904,532)	$ (1,210,276)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	120,574	756,305
Futures
Derivative [Line Items]
Realized Gain (Loss)	683,534	(268,084)
Unrealized Gain (Loss)	(101,199)	(12,015)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	582,335	(280,099)
Purchase commitments
Derivative [Line Items]
Realized Gain (Loss)	0	0
Unrealized Gain (Loss)	860	(1,093)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	860	(1,093)
TBA derivatives
Derivative [Line Items]
Realized Gain (Loss)	(354,410)	893,120
Unrealized Gain (Loss)	(47,332)	92,244
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	(401,742)	985,364
Interest rate swaptions
Derivative [Line Items]
Realized Gain (Loss)	(78,431)	11,730
Unrealized Gain (Loss)	2,387	46,301
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	(76,044)	58,031
Credit derivatives
Derivative [Line Items]
Realized Gain (Loss)	8,234	6,068
Unrealized Gain (Loss)	6,931	(11,966)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives and Financial Instruments	$ 15,165	$ (5,898)

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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=123570139&loc=d3e3602-108585

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