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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021
--- | --- | ---
Assets |  |  |
Gross Amounts | $ 1,949,530 | $ 170,370 | [1]
Liabilities |  |  |
Gross Amounts | 764,535 | 881,537 | [1]
Futures contracts, at fair value |  |  |
Assets |  |  |
Gross Amounts | 1,539,298 | 9,028 |
Financial Instruments | (2,946) | (9,028) |
Cash Collateral | 0 | 0 |
Net Amounts | 1,536,352 | 0 |
Liabilities |  |  |
Gross Amounts | 2,946 | 129,134 |
Financial Instruments | (2,946) | (9,028) |
Cash Collateral | 0 | (120,106) |
Net Amounts | 0 | 0 |
Purchase commitments |  |  |
Assets |  |  |
Gross Amounts | 1,037 | 1,779 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 1,037 | 1,779 |
Liabilities |  |  |
Gross Amounts | 2,485 | 870 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 2,485 | 870 |
Interest rate swaps, at fair value |  |  |
Assets |  |  |
Gross Amounts | 36,861 |  |
Financial Instruments | (26,666) |  |
Cash Collateral | 0 |  |
Net Amounts | 10,195 |  |
Liabilities |  |  |
Gross Amounts | 108,071 | 747,036 |
Financial Instruments | (26,666) | 0 |
Cash Collateral | 0 | (77,607) |
Net Amounts | 81,405 | 669,429 |
Interest rate swaptions, at fair value |  |  |
Assets |  |  |
Gross Amounts | 344,301 | 105,710 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 344,301 | 105,710 |
TBA derivatives, at fair value |  |  |
Assets |  |  |
Gross Amounts | 28,033 | 52,693 |
Financial Instruments | (9,864) | (3,876) |
Cash Collateral | 0 | 0 |
Net Amounts | 18,169 | 48,817 |
Liabilities |  |  |
Gross Amounts | 635,652 | 3,916 |
Financial Instruments | (9,864) | (3,876) |
Cash Collateral | 0 | (40) |
Net Amounts | 625,788 | 0 |
Credit derivatives |  |  |
Assets |  |  |
Gross Amounts |  | 1,160 |
Financial Instruments |  | (516) |
Cash Collateral |  | 0 |
Net Amounts |  | 644 |
Liabilities |  |  |
Gross Amounts | 15,381 | 581 |
Financial Instruments | 0 | (516) |
Cash Collateral | (10,373) | (65) |
Net Amounts | $ 5,008 | $ 0 |
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2021.

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