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DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended
--- | --- | ---
Sep. 30, 2022 | Dec. 31, 2021
Long pay |  |
Derivative [Line Items] |  |
Notional amount of credit derivatives | $ 3,000,000 | $ 4,050,000
Weighted Average Underlying Fixed Rate | 2.03% | 2.00%
Weighted Average Underlying Years to Maturity | 8 years 8 months 15 days | 9 years 7 months 24 days
Weighted Average Months to Expiration | 14 months 17 days | 19 months 15 days
Long receive |  |
Derivative [Line Items] |  |
Notional amount of credit derivatives | $ 750,000 | $ 2,000,000
Weighted Average Underlying Fixed Rate | 1.57% | 1.47%
Weighted Average Underlying Years to Maturity | 11 years 3 months 25 days | 10 years 11 months 12 days
Weighted Average Months to Expiration | 15 months 27 days | 11 months 12 days

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- Definition Nominal or face amount used to calculate payment on derivative. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5580258-113959 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 + Details
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