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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, 2024 | Sep. 30, 2023 | Sep. 30, 2024 | Sep. 30, 2023
Derivative [Line Items] |  |  |  |
Unrealized Gain (Loss) | $ (1,582,495) | $ 1,475,547 | $ (584,109) | $ 1,360,977
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (394,982) | 240,790 | (211,742) | 216,605
Futures |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (362,660) | 309,397 | (323,113) | 185,716
Unrealized Gain (Loss) | 71,146 | 131,578 | 170,973 | 229,940
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | (291,514) | 440,975 | (152,140) | 415,656
Futures | Secured Overnight Financing Rate (SOFR) |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) |  | (18,900) | (6,800) | (18,900)
Unrealized Gain (Loss) |  |  | (5,600) | 13,200
Purchase commitments |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 0 | 0 | 0 | 0
Unrealized Gain (Loss) | 9,124 | 2,457 | 4,870 | (122)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 9,124 | 2,457 | 4,870 | (122)
Net TBA derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | 40,561 | (81,964) | 15,694 | (136,452)
Unrealized Gain (Loss) | (18,181) | (41,777) | 12,649 | 12,710
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | 22,380 | (123,741) | 28,343 | (123,742)
Net interest rate swaptions |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) | (21,180) | (27,860) | (33,511) | (25,538)
Unrealized Gain (Loss) | (113,792) | (51,041) | (59,304) | (43,627)
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives | $ (134,972) | $ (78,901) | $ (92,815) | (69,165)
Credit derivatives |  |  |  |
Derivative [Line Items] |  |  |  |
Realized Gain (Loss) |  |  |  | (19,282)
Unrealized Gain (Loss) |  |  |  | 13,260
Amount of Gain/(Loss) Recognized in Net Gains (Losses) on Other Derivatives |  |  |  | $ (6,022)

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