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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, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022
Derivative [Line Items] |  |  |  |
Unrealized Gain (Loss) | $ 1,475,547 | $ 1,251,350 | $ 1,360,977 | $ 3,472,326
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 240,790 | 808,173 | 216,605 | 1,306,433
Futures |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 309,397 | 611,661 | 185,716 | 2,332,338
Unrealized Gain (Loss) | 131,578 | 1,197,942 | 229,940 | 1,656,458
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 440,975 | 1,809,603 | 415,656 | 3,988,796
Futures | Secured Overnight Financing Rate (SOFR) |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (18,900) |  | (18,900) |
Unrealized Gain (Loss) | (13,200) |  | (5,600) |
Purchase commitments |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 0 | 0 | 0 | 0
Unrealized Gain (Loss) | 2,457 | (4,530) | (122) | (2,358)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 2,457 | (4,530) | (122) | (2,358)
Net TBA derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (81,964) | (430,528) | (136,452) | (2,250,909)
Unrealized Gain (Loss) | (41,777) | (577,156) | 12,710 | (656,394)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | (123,741) | (1,007,684) | (123,742) | (2,907,303)
Net interest rate swaptions |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (27,860) | (18,949) | (25,538) | (33,399)
Unrealized Gain (Loss) | (51,041) | 30,610 | (43,627) | 272,668
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | $ (78,901) | 11,661 | (69,165) | 239,269
Credit derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) |  | 1,105 | (19,282) | 2,539
Unrealized Gain (Loss) |  | (1,982) | 13,260 | (14,510)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives |  | $ (877) | $ (6,022) | $ (11,971)

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