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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020
--- | --- | ---
Assets |  |  |
Total derivative assets | $ 331,395 | $ 171,134 | [1]
Liabilities |  |  |
Interest rate swaps | 754,248 | 1,006,492 |
Total derivative liabilities | 912,134 | 1,033,345 | [1]
Futures contracts |  |  |
Assets |  |  |
Other derivative assets | 199,728 | 506 |
Total derivative assets | 199,728 | 506 |
Liabilities |  |  |
Other derivative liabilities | 108 | 19,413 |
Total derivative liabilities | 108 | 19,413 |
Purchase commitments |  |  |
Assets |  |  |
Other derivative assets | 3,702 | 49 |
Total derivative assets | 3,702 | 49 |
Liabilities |  |  |
Other derivative liabilities | 2,263 | 0 |
Total derivative liabilities | 2,263 |  |
Interest rate swaptions |  |  |
Assets |  |  |
Other derivative assets | 123,506 | 74,470 |
Total derivative assets | 123,506 | 74,470 |
TBA derivatives |  |  |
Assets |  |  |
Other derivative assets | 1,776 | 96,109 |
Total derivative assets | 1,776 | 96,109 |
Liabilities |  |  |
Other derivative liabilities | 155,515 | 0 |
Total derivative liabilities | 155,515 |  |
Credit derivatives |  |  |
Assets |  |  |
Other derivative assets | 2,683 | 0 |
Liabilities |  |  |
Other derivative liabilities | 0 | 7,440 |
Total derivative liabilities |  | 7,440 |
Credit derivatives | Maximum |  |  |
Liabilities |  |  |
Notional Amount | $ 425,000 | $ 504,000 |
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2020.

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