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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
--- | ---
Mar. 31, 2019 | Mar. 31, 2018
Derivative [Line Items] |  |
Unrealized Gains (Losses) on Interest Rate Swaps | $ (390,556) | $ 977,285
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (115,159) | (47,145)
U.S. Treasury futures |  |
Derivative [Line Items] |  |
Realized Gain (Loss) | (491,741) | 495,013
Unrealized Gains (Losses) on Interest Rate Swaps | 202,312 | (328,512)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (289,429) | 166,501
Purchase commitments |  |
Derivative [Line Items] |  |
Realized Gain (Loss) | 0 | 0
Unrealized Gains (Losses) on Interest Rate Swaps | 1,145 | 366
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 1,145 | 366
TBA derivatives |  |
Derivative [Line Items] |  |
Realized Gain (Loss) | 213,725 | (277,901)
Unrealized Gains (Losses) on Interest Rate Swaps | (39,940) | 17,917
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 173,785 | (259,984)
Interest rate swaptions |  |
Derivative [Line Items] |  |
Realized Gain (Loss) | (29,992) | (21,434)
Unrealized Gains (Losses) on Interest Rate Swaps | 19,684 | 67,221
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (10,308) | 45,787
Credit derivatives |  |
Derivative [Line Items] |  |
Realized Gain (Loss) | 2,302 | 1,513
Unrealized Gains (Losses) on Interest Rate Swaps | 7,346 | (1,328)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | $ 9,648 | $ 185

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- Definition The effective portion of gains and losses (net) on derivative instruments designated and qualifying as hedging instruments that was recognized in other comprehensive income during the current period. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624171-113959 + Details
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- Definition Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. + References No definition available. + Details
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- Definition 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. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 230 -SubTopic 10 -Section 45 -Paragraph 28 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=98514028&loc=d3e3602-108585 + Details
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