XML 92 R80.htm IDEA: XBRL DOCUMENT v3.21.2
DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($)
$ in Thousands
Jun. 30, 2021
Dec. 31, 2020
Assets    
Total derivative assets $ 181,889 $ 171,134 [1]
Liabilities    
Interest rate swaps 806,952 1,006,492
Total derivative liabilities 900,259 1,033,345 [1]
Futures contracts    
Assets    
Other derivative assets 8,141 506
Total derivative assets 8,141 506
Liabilities    
Other derivative liabilities 87,814 19,413
Total derivative liabilities 87,814 19,413
Purchase commitments    
Assets    
Other derivative assets 3,174 49
Total derivative assets 3,174 49
Liabilities    
Other derivative liabilities 2,656 0
Total derivative liabilities 2,656  
Interest rate swaptions    
Assets    
Other derivative assets 134,434 74,470
Total derivative assets 134,434 74,470
TBA derivatives    
Assets    
Other derivative assets 31,944 96,109
Total derivative assets 31,944 96,109
Liabilities    
Other derivative liabilities 2,837 0
Total derivative liabilities 2,837  
Credit derivatives    
Assets    
Other derivative assets 4,196 0
Liabilities    
Other derivative liabilities 0 7,440
Total derivative liabilities   7,440
Credit derivatives | Maximum    
Liabilities    
Notional Amount $ 445,000 $ 504,000
[1] Derived from the audited consolidated financial statements at December 31, 2020.