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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2022 | Dec. 31, 2021
--- | --- | ---
Assets |  |  |
Total derivative assets | $ 748,432 | $ 170,370 | [1]
Liabilities |  |  |
Interest rate swaps | 272,055 | 747,036 |
Total derivative liabilities | 379,708 | 881,537 | [1]
Futures contracts |  |  |
Assets |  |  |
Other derivative assets | 341,430 | 9,028 |
Total derivative assets | 341,430 | 9,028 |
Liabilities |  |  |
Other derivative liabilities | 3,020 | 129,134 |
Total derivative liabilities | 3,020 | 129,134 |
Purchase commitments |  |  |
Assets |  |  |
Other derivative assets | 3,615 | 1,779 |
Total derivative assets | 3,615 | 1,779 |
Liabilities |  |  |
Other derivative liabilities | 532 | 870 |
Total derivative liabilities | 532 | 870 |
Interest rate swaps |  |  |
Assets |  |  |
Total derivative assets | 9,408 |  |
Liabilities |  |  |
Total derivative liabilities | 272,055 | 747,036 |
Current notional | 35,222,000 | 45,907,300 |
Interest rate swaps | 9,408 | 0 |
Interest rate swaptions |  |  |
Assets |  |  |
Other derivative assets | 333,318 | 105,710 |
Total derivative assets | 333,318 | 105,710 |
TBA derivatives |  |  |
Assets |  |  |
Other derivative assets | 60,661 | 52,693 |
Total derivative assets | 60,661 | 52,693 |
Liabilities |  |  |
Other derivative liabilities | 91,124 | 3,916 |
Total derivative liabilities | 91,124 | 3,916 |
Credit derivatives |  |  |
Assets |  |  |
Other derivative assets | 0 | 1,160 |
Total derivative assets |  | 1,160 |
Liabilities |  |  |
Other derivative liabilities | 12,977 | 581 |
Total derivative liabilities | 12,977 | 581 |
Credit derivatives | Maximum |  |  |
Liabilities |  |  |
Current notional | $ 410,000 | $ 400,000 |
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2021.

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