DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
Assets
Gross Amounts	$ 170,370	$ 171,134
Liabilities
Gross Amounts	881,537	1,033,345
Futures contracts
Assets
Gross Amounts	9,028	506
Financial Instruments	(9,028)	(506)
Cash Collateral	0	0
Net Amounts	0	0
Liabilities
Gross Amounts	129,134	19,413
Financial Instruments	(9,028)	(506)
Cash Collateral	(120,106)	(18,907)
Net Amounts	0	0
Purchase commitments
Assets
Gross Amounts	1,779	49
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	1,779	49
Liabilities
Gross Amounts	870
Financial Instruments	0
Cash Collateral	0
Net Amounts	870
Interest rate swaps, at fair value
Liabilities
Gross Amounts	747,036	1,006,492
Financial Instruments	0	0
Cash Collateral	(77,607)	(108,757)
Net Amounts	669,429	897,735
Interest rate swaptions, at fair value
Assets
Gross Amounts	105,710	74,470
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	105,710	74,470
TBA derivatives, at fair value
Assets
Gross Amounts	52,693	96,109
Financial Instruments	(3,876)	0
Cash Collateral	0	0
Net Amounts	48,817	96,109
Liabilities
Gross Amounts	3,916
Financial Instruments	(3,876)
Cash Collateral	(40)
Net Amounts	0
Credit derivatives
Assets
Gross Amounts	1,160
Financial Instruments	(516)
Cash Collateral	0
Net Amounts	644
Liabilities
Gross Amounts	581	7,440
Financial Instruments	(516)	0
Cash Collateral	(65)	(7,440)
Net Amounts	$ 0	$ 0

Fair value, after the effects of master netting arrangements, of a financial asset or other contract with one or more underlyings, notional amount or payment provision or both, and the contract can be net settled by means outside the contract or delivery of an asset. Includes assets not subject to a master netting arrangement and not elected to be offset.

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