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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, 2023
Jun. 30, 2022
Jun. 30, 2023
Jun. 30, 2022
Derivative [Line Items]        
Unrealized Gain (Loss) $ 841,702 $ 897,537 $ (114,570) $ 2,220,976
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives 160,182 117,130 (24,185) 498,260
Futures        
Derivative [Line Items]        
Realized Gain (Loss) (242,013) 1,167,524 (123,681) 1,720,678
Unrealized Gain (Loss) 413,240 (380,436) 98,362 458,516
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives 171,227 787,088 (25,319) 2,179,194
Futures | Secured Overnight Financing Rate (SOFR)        
Derivative [Line Items]        
Unrealized Gain (Loss) (18,800)   (18,800)  
Purchase commitments        
Derivative [Line Items]        
Realized Gain (Loss) 0 0 0 0
Unrealized Gain (Loss) (3,444) 2,671 (2,581) 2,172
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives (3,444) 2,671 (2,581) 2,172
Net TBA derivatives        
Derivative [Line Items]        
Realized Gain (Loss) 99,361 (1,064,242) (54,488) (1,820,381)
Unrealized Gain (Loss) (160,873) 280,992 54,487 (79,239)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives (61,512) (783,250) (1) (1,899,620)
Net interest rate swaptions        
Derivative [Line Items]        
Realized Gain (Loss) 0 0 2,323 (14,450)
Unrealized Gain (Loss) 53,413 119,436 7,415 242,058
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives 53,413 119,436 9,738 227,608
Credit derivatives        
Derivative [Line Items]        
Realized Gain (Loss) (17,970) 374 (19,282) 1,434
Unrealized Gain (Loss) 18,468 (9,189) 13,260 (12,528)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives $ 498 $ (8,815) $ (6,022) $ (11,094)