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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 9 Months Ended
Sep. 30, 2023
Sep. 30, 2022
Sep. 30, 2023
Sep. 30, 2022
Derivative [Line Items]        
Unrealized Gain (Loss) $ 1,475,547 $ 1,251,350 $ 1,360,977 $ 3,472,326
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives 240,790 808,173 216,605 1,306,433
Futures        
Derivative [Line Items]        
Realized Gain (Loss) 309,397 611,661 185,716 2,332,338
Unrealized Gain (Loss) 131,578 1,197,942 229,940 1,656,458
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives 440,975 1,809,603 415,656 3,988,796
Futures | Secured Overnight Financing Rate (SOFR)        
Derivative [Line Items]        
Realized Gain (Loss) (18,900)   (18,900)  
Unrealized Gain (Loss) (13,200)   (5,600)  
Purchase commitments        
Derivative [Line Items]        
Realized Gain (Loss) 0 0 0 0
Unrealized Gain (Loss) 2,457 (4,530) (122) (2,358)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives 2,457 (4,530) (122) (2,358)
Net TBA derivatives        
Derivative [Line Items]        
Realized Gain (Loss) (81,964) (430,528) (136,452) (2,250,909)
Unrealized Gain (Loss) (41,777) (577,156) 12,710 (656,394)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives (123,741) (1,007,684) (123,742) (2,907,303)
Net interest rate swaptions        
Derivative [Line Items]        
Realized Gain (Loss) (27,860) (18,949) (25,538) (33,399)
Unrealized Gain (Loss) (51,041) 30,610 (43,627) 272,668
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives $ (78,901) 11,661 (69,165) 239,269
Credit derivatives        
Derivative [Line Items]        
Realized Gain (Loss)   1,105 (19,282) 2,539
Unrealized Gain (Loss)   (1,982) 13,260 (14,510)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives   $ (877) $ (6,022) $ (11,971)