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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, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023
Derivative [Line Items] |  |  |  |
Unrealized Gain (Loss) | $ 97,484 | $ 841,702 | $ 998,386 | $ (114,570)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 15,910 | 160,182 | 183,240 | (24,185)
Futures |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 48,227 | (242,013) | 39,547 | (123,681)
Unrealized Gain (Loss) | (45,882) | 413,240 | 99,827 | 98,362
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 2,345 | 171,227 | 139,374 | (25,319)
Futures | Secured Overnight Financing Rate (SOFR) |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (6,800) |  | (6,800) |
Unrealized Gain (Loss) | (1,200) |  | (18,800) | (18,800)
Purchase commitments |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 0 | 0 | 0 | 0
Unrealized Gain (Loss) | 2,360 | (3,444) | (4,252) | (2,581)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | 2,360 | (3,444) | (4,252) | (2,581)
Net TBA derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (16,252) | 99,361 | (24,868) | (54,488)
Unrealized Gain (Loss) | 15,931 | (160,873) | 30,829 | 54,487
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | (321) | (61,512) | 5,961 | (1)
Net interest rate swaptions |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (12,331) | 0 | (12,331) | 2,323
Unrealized Gain (Loss) | 23,857 | 53,413 | 54,488 | 7,415
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives | $ 11,526 | 53,413 | $ 42,157 | 9,738
Credit derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) |  | (17,970) |  | (19,282)
Unrealized Gain (Loss) |  | 18,468 |  | 13,260
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Derivatives |  | $ 498 |  | $ (6,022)

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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/1943274/2147479134/946-220-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/1943274/2147479134/946-220-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/1943274/2147479134/946-220-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/1943274/2147479134/946-220-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/1943274/2147477271/946-320-S99-5A + Details
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