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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, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019
Derivative [Line Items] |  |  |  |
Unrealized Gains (Losses) on Interest Rate Swaps | $ 1,494,628 | $ (1,276,019) | $ (1,333,095) | $ (1,666,575)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 170,916 | (506,411) | 377,342 | (621,570)
Futures |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 246 | (514,441) | (279,230) | (1,006,182)
Unrealized Gains (Losses) on Interest Rate Swaps | (17,579) | (82,779) | (10,687) | 119,533
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (17,333) | (597,220) | (289,917) | (886,649)
Purchase commitments |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 0 | 0 | 0 | 0
Unrealized Gains (Losses) on Interest Rate Swaps | 9,666 | 1,106 | (1,143) | 2,251
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 9,666 | 1,106 | (1,143) | 2,251
TBA derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 250,525 | 174,221 | 521,610 | 387,946
Unrealized Gains (Losses) on Interest Rate Swaps | (46,363) | (68,291) | 114,331 | (108,231)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 204,162 | 105,930 | 635,941 | 279,715
Interest rate swaptions, at fair value |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (29,880) | (11,317) | 21,566 | (41,309)
Unrealized Gains (Losses) on Interest Rate Swaps | (22,634) | (7,178) | 47,499 | 12,506
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (52,514) | (18,495) | 69,065 | (28,803)
Credit derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 1,203 | 1,199 | 3,128 | 3,501
Unrealized Gains (Losses) on Interest Rate Swaps | 25,732 | 1,069 | (39,732) | 8,415
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | $ 26,935 | $ 2,268 | $ (36,604) | $ 11,916

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- Definition Amount of increase (decrease) in the fair value of derivatives recognized in the income statement. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b)(1) -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5618551-113959 + 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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 230 -SubTopic 10 -Section 45 -Paragraph 28 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=118932676&loc=d3e3602-108585 + Details
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