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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021
--- | --- | ---
Assets |  |  |
Gross Amounts | $ 748,432 | $ 170,370 | [1]
Liabilities |  |  |
Gross Amounts | 379,708 | 881,537 | [1]
Futures contracts, at fair value |  |  |
Assets |  |  |
Gross Amounts | 341,430 | 9,028 |
Financial Instruments | (3,020) | (9,028) |
Cash Collateral | 0 | 0 |
Net Amounts | 338,410 | 0 |
Liabilities |  |  |
Gross Amounts | 3,020 | 129,134 |
Financial Instruments | (3,020) | (9,028) |
Cash Collateral | 0 | (120,106) |
Net Amounts | 0 | 0 |
Purchase commitments |  |  |
Assets |  |  |
Gross Amounts | 3,615 | 1,779 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 3,615 | 1,779 |
Liabilities |  |  |
Gross Amounts | 532 | 870 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 532 | 870 |
Interest rate swaps, at fair value |  |  |
Assets |  |  |
Gross Amounts | 9,408 |  |
Financial Instruments | (5,195) |  |
Cash Collateral | 0 |  |
Net Amounts | 4,213 |  |
Liabilities |  |  |
Gross Amounts | 272,055 | 747,036 |
Financial Instruments | (5,195) | 0 |
Cash Collateral | (13,910) | (77,607) |
Net Amounts | 252,950 | 669,429 |
Interest rate swaptions, at fair value |  |  |
Assets |  |  |
Gross Amounts | 333,318 | 105,710 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 333,318 | 105,710 |
TBA derivatives, at fair value |  |  |
Assets |  |  |
Gross Amounts | 60,661 | 52,693 |
Financial Instruments | (32,631) | (3,876) |
Cash Collateral | 0 | 0 |
Net Amounts | 28,030 | 48,817 |
Liabilities |  |  |
Gross Amounts | 91,124 | 3,916 |
Financial Instruments | (32,631) | (3,876) |
Cash Collateral | 0 | (40) |
Net Amounts | 58,493 | 0 |
Credit derivatives |  |  |
Assets |  |  |
Gross Amounts |  | 1,160 |
Financial Instruments |  | (516) |
Cash Collateral |  | 0 |
Net Amounts |  | 644 |
Liabilities |  |  |
Gross Amounts | 12,977 | 581 |
Financial Instruments | 0 | (516) |
Cash Collateral | (12,977) | (65) |
Net Amounts | $ 0 | $ 0 |
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2021.

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