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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, 2023 | Jun. 30, 2022 | Jun. 30, 2023 | Jun. 30, 2022
Derivative [Line Items] |  |  |  |
Unrealized Gain (Loss) | $ 841,702 | $ 897,537 | $ (114,570) | $ 2,220,976
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 160,182 | 117,130 | (24,185) | 498,260
Futures |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (242,013) | 1,167,524 | (123,681) | 1,720,678
Unrealized Gain (Loss) | 413,240 | (380,436) | 98,362 | 458,516
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 171,227 | 787,088 | (25,319) | 2,179,194
Futures | Secured Overnight Financing Rate (SOFR) |  |  |  |
Derivative [Line Items] |  |  |  |
Unrealized Gain (Loss) | (18,800) |  | (18,800) |
Purchase commitments |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 0 | 0 | 0 | 0
Unrealized Gain (Loss) | (3,444) | 2,671 | (2,581) | 2,172
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | (3,444) | 2,671 | (2,581) | 2,172
Net TBA derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 99,361 | (1,064,242) | (54,488) | (1,820,381)
Unrealized Gain (Loss) | (160,873) | 280,992 | 54,487 | (79,239)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | (61,512) | (783,250) | (1) | (1,899,620)
Net interest rate swaptions |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 0 | 0 | 2,323 | (14,450)
Unrealized Gain (Loss) | 53,413 | 119,436 | 7,415 | 242,058
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 53,413 | 119,436 | 9,738 | 227,608
Credit derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (17,970) | 374 | (19,282) | 1,434
Unrealized Gain (Loss) | 18,468 | (9,189) | 13,260 | (12,528)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | $ 498 | $ (8,815) | $ (6,022) | $ (11,094)

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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 -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4A -Subparagraph (b)(1) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4A + 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 -Name Accounting Standards Codification -Section 45 -Paragraph 28 -Subparagraph (b) -SubTopic 10 -Topic 230 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482740/230-10-45-28 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 946 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.6-07(7)(c)(3)) -Publisher FASB -URI https://asc.fasb.org//1943274/2147483575/946-220-S99-1 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 946 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.6-07(7)(c)(5)) -Publisher FASB -URI https://asc.fasb.org//1943274/2147483575/946-220-S99-1 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 946 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.6-07(7)(c)(6)) -Publisher FASB -URI https://asc.fasb.org//1943274/2147483575/946-220-S99-1 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 946 -SubTopic 220 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.6-07(7)(c)(7)) -Publisher FASB -URI https://asc.fasb.org//1943274/2147483575/946-220-S99-1 Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 946 -SubTopic 320 -Name Accounting Standards Codification -Section S99 -Paragraph 5A -Subparagraph (SX 210.12-13A(Column F)) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480032/946-320-S99-5A + Details
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