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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020
--- | --- | ---
Assets |  |  |
Gross Amounts | $ 331,395 | $ 171,134 | [1]
Liabilities |  |  |
Gross Amounts | 912,134 | 1,033,345 | [1]
Futures contracts, at fair value |  |  |
Assets |  |  |
Gross Amounts | 199,728 | 506 |
Financial Instruments | (108) | (506) |
Cash Collateral | 0 | 0 |
Net Amounts | 199,620 | 0 |
Liabilities |  |  |
Gross Amounts | 108 | 19,413 |
Financial Instruments | (108) | (506) |
Cash Collateral | 0 | (18,907) |
Net Amounts | 0 | 0 |
Purchase commitments |  |  |
Assets |  |  |
Gross Amounts | 3,702 | 49 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 3,702 | 49 |
Liabilities |  |  |
Gross Amounts | 2,263 |  |
Financial Instruments | 0 |  |
Cash Collateral | 0 |  |
Net Amounts | 2,263 |  |
Credit derivatives |  |  |
Assets |  |  |
Gross Amounts | 2,683 |  |
Financial Instruments | 0 |  |
Cash Collateral | 0 |  |
Net Amounts | 2,683 |  |
Interest rate swaptions, at fair value |  |  |
Assets |  |  |
Gross Amounts | 123,506 | 74,470 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 123,506 | 74,470 |
TBA derivatives, at fair value |  |  |
Assets |  |  |
Gross Amounts | 1,776 | 96,109 |
Financial Instruments | (1,659) | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 117 | 96,109 |
Liabilities |  |  |
Gross Amounts | 155,515 |  |
Financial Instruments | (1,659) |  |
Cash Collateral | (2,060) |  |
Net Amounts | 151,796 |  |
Credit derivatives |  |  |
Liabilities |  |  |
Gross Amounts |  | 7,440 |
Financial Instruments |  | 0 |
Cash Collateral |  | (7,440) |
Net Amounts |  | 0 |
Interest rate swaps, at fair value |  |  |
Liabilities |  |  |
Gross Amounts | 754,248 | 1,006,492 |
Financial Instruments | 0 | 0 |
Cash Collateral | (78,167) | (108,757) |
Net Amounts | $ 676,081 | $ 897,735 |
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2020.

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