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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, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018
Derivative [Line Items] |  |  |  |
Unrealized Gains (Losses) on Interest Rate Swaps | $ (1,276,019) | $ 343,475 | $ (1,666,575) | $ 1,320,760
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (506,411) | 34,189 | (621,570) | (12,956)
U.S. Treasury futures |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (514,441) | 62,618 | (1,006,182) | 557,630
Unrealized Gains (Losses) on Interest Rate Swaps | (82,779) | 15,684 | 119,533 | (312,828)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (597,220) | 78,302 | (886,649) | 244,802
Purchase commitments |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 0 | 0 | 0 | 0
Unrealized Gains (Losses) on Interest Rate Swaps | 1,106 | 59 | 2,251 | 425
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 1,106 | 59 | 2,251 | 425
TBA derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 174,221 | (30,228) | 387,946 | (308,127)
Unrealized Gains (Losses) on Interest Rate Swaps | (68,291) | 11,123 | (108,231) | 29,039
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 105,930 | (19,105) | 279,715 | (279,088)
Interest rate swaptions |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (11,317) | (35,667) | (41,309) | (57,100)
Unrealized Gains (Losses) on Interest Rate Swaps | (7,178) | 3,999 | 12,506 | 71,220
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (18,495) | (31,668) | (28,803) | 14,120
Credit derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 1,199 | 2,889 | 3,501 | 4,402
Unrealized Gains (Losses) on Interest Rate Swaps | 1,069 | 3,712 | 8,415 | 2,383
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | $ 2,268 | $ 6,601 | $ 11,916 | $ 6,785

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- Definition Amount before tax of increase (decrease) in accumulated gain (loss) from derivative instruments designated and qualifying as the effective portion of cash flow hedges and an entity's share of an equity investee's increase (decrease) in deferred hedging gain (loss). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 220 -SubTopic 10 -Section 45 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=114867106&loc=d3e637-108580 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 30 -Section 45 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=109978405&loc=d3e80720-113993 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 220 -SubTopic 10 -Section 45 -Paragraph 10A -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=114867106&loc=SL7669646-108580 + Details
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