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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, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018
Derivative [Line Items] |  |  |  |
Unrealized Gains (Losses) on Interest Rate Swaps | $ (326,309) | $ 417,203 | $ (1,992,884) | $ 1,737,963
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (16,888) | 93,812 | (638,458) | 80,857
Futures |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (424,268) | (114,317) | (1,430,450) | 443,314
Unrealized Gains (Losses) on Interest Rate Swaps | 364,613 | 327,787 | 484,146 | 14,959
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (59,655) | 213,470 | (946,304) | 458,273
Purchase commitments |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 0 | 0 | 0 | 0
Unrealized Gains (Losses) on Interest Rate Swaps | (348) | (841) | 1,903 | (416)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (348) | (841) | 1,903 | (416)
TBA derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 93,919 | 8,569 | 481,865 | (299,560)
Unrealized Gains (Losses) on Interest Rate Swaps | (46,124) | (85,741) | (154,355) | (56,701)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 47,795 | (77,172) | 327,510 | (356,261)
Interest rate swaptions, at fair value |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (2,778) | (28,754) | (44,088) | (85,854)
Unrealized Gains (Losses) on Interest Rate Swaps | (4,571) | (17,663) | 7,935 | 53,557
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (7,349) | (46,417) | (36,153) | (32,297)
Credit derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 1,784 | 3,096 | 5,285 | 7,498
Unrealized Gains (Losses) on Interest Rate Swaps | 885 | 1,676 | 9,301 | 4,060
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | $ 2,669 | $ 4,772 | $ 14,586 | $ 11,558

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