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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, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Jun. 30, 2021
Derivative [Line Items] |  |  |  |
Unrealized Gain (Loss) | $ 897,537 | $ (141,067) | $ 2,220,976 | $ 631,195
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 117,130 | (357,808) | 498,260 | 117,899
Futures |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 1,167,524 | 183,383 | 1,720,678 | 479,547
Unrealized Gain (Loss) | (380,436) | (577,899) | 458,516 | (60,766)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 787,088 | (394,516) | 2,179,194 | 418,781
Purchase commitments |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 0 | 0 | 0 | 0
Unrealized Gain (Loss) | 2,671 | 2,376 | 2,172 | 469
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 2,671 | 2,376 | 2,172 | 469
TBA derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (1,064,242) | 10,045 | (1,820,381) | (277,844)
Unrealized Gain (Loss) | 280,992 | 275,226 | (79,239) | (67,002)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | (783,250) | 285,271 | (1,899,620) | (344,846)
Interest rate swaptions, at fair value |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 0 | (22,787) | (14,450) | (44,997)
Unrealized Gain (Loss) | 119,436 | (232,860) | 242,058 | 73,130
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 119,436 | (255,647) | 227,608 | 28,133
Credit derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 374 | 2,777 | 1,434 | 4,408
Unrealized Gain (Loss) | (9,189) | 1,931 | (12,528) | 10,954
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | $ (8,815) | $ 4,708 | $ (11,094) | $ 15,362

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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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=126954810&loc=d3e3602-108585 + Details
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