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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019
--- | --- | ---
Assets |  |
Gross amounts | $ 171,134 | $ 113,556
Liabilities |  |
Gross amounts | 1,033,345 | 803,866
Futures Contracts |  |
Assets |  |
Gross amounts | 506 | 77,889
Amounts eligible for offset, financial instruments | (506) | (10,902)
Amounts eligible for offset, cash collateral | 0 | 0
Net amounts | 0 | 66,987
Liabilities |  |
Gross amounts | 19,413 | 84,781
Amounts eligible for offset, financial instruments | (506) | (10,902)
Amounts eligible for offset, cash collateral | (18,907) | (73,879)
Net amounts | 0 | 0
Purchase Commitments |  |
Assets |  |
Gross amounts | 49 | 2,050
Amounts eligible for offset, financial instruments | 0 | 0
Amounts eligible for offset, cash collateral | 0 | 0
Net amounts | 49 | 2,050
Liabilities |  |
Gross amounts |  | 907
Amounts eligible for offset, financial instruments |  | 0
Amounts eligible for offset, cash collateral |  | 0
Net amounts |  | 907
Interest Rate Swaps |  |
Assets |  |
Gross amounts |  | 1,199
Amounts eligible for offset, financial instruments |  | (951)
Amounts eligible for offset, cash collateral |  | 0
Net amounts |  | 248
Liabilities |  |
Gross amounts | 1,006,492 | 706,862
Amounts eligible for offset, financial instruments | 0 | (951)
Amounts eligible for offset, cash collateral | (108,757) | (104,205)
Net amounts | 897,735 | 601,706
Interest Rate Swaptions |  |
Assets |  |
Gross amounts | 74,470 | 11,580
Amounts eligible for offset, financial instruments | 0 | 0
Amounts eligible for offset, cash collateral | 0 | 0
Net amounts | 74,470 | 11,580
TBA Derivatives |  |
Assets |  |
Gross amounts | 96,109 | 15,181
Amounts eligible for offset, financial instruments | 0 | (5,018)
Amounts eligible for offset, cash collateral | 0 | 0
Net amounts | 96,109 | 10,163
Liabilities |  |
Gross amounts |  | 11,316
Amounts eligible for offset, financial instruments |  | (5,018)
Amounts eligible for offset, cash collateral |  | 0
Net amounts |  | 6,298
Credit Derivatives |  |
Assets |  |
Gross amounts |  | 5,657
Amounts eligible for offset, financial instruments |  | 0
Amounts eligible for offset, cash collateral |  | 0
Net amounts |  | $ 5,657
Liabilities |  |
Gross amounts | 7,440 |
Amounts eligible for offset, financial instruments | 0 |
Amounts eligible for offset, cash collateral | (7,440) |
Net amounts | $ 0 |

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