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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2023 | Dec. 31, 2022
--- | --- | ---
Assets |  |  |
Total derivative assets | $ 457,119 | $ 342,064 | [1]
Liabilities |  |  |
Interest rate swaps | 96,618 | 108,724 |
Total derivative liabilities | 156,182 | 204,172 | [1]
Futures contracts |  |  |
Assets |  |  |
Other derivative assets | 139,108 | 33,179 |
Total derivative assets | 139,108 | 33,179 |
Liabilities |  |  |
Other derivative liabilities | 37,049 | 11,919 |
Total derivative liabilities | 37,049 | 11,919 |
Futures contracts | Secured Overnight Financing Rate (SOFR) |  |  |
Liabilities |  |  |
Other derivative liabilities | 36,400 |  |
Purchase commitments |  |  |
Assets |  |  |
Other derivative assets | 2,119 | 1,832 |
Total derivative assets | 2,119 | 1,832 |
Liabilities |  |  |
Other derivative liabilities | 3,328 | 460 |
Total derivative liabilities | 3,328 | 460 |
Interest rate swaps |  |  |
Assets |  |  |
Interest rate swaps | 30,026 | 33,006 |
Total derivative assets | 30,026 | 33,006 |
Liabilities |  |  |
Total derivative liabilities | 96,618 | 108,724 |
Current notional | 58,987,104 | 52,277,300 |
Interest rate swaptions |  |  |
Assets |  |  |
Other derivative assets | 264,406 | 256,991 |
Total derivative assets | 264,406 | 256,991 |
TBA derivatives |  |  |
Assets |  |  |
Other derivative assets | 21,460 | 17,056 |
Total derivative assets | 21,460 | 17,056 |
Liabilities |  |  |
Other derivative liabilities | 19,187 | 69,270 |
Total derivative liabilities | 19,187 | 69,270 |
Credit derivatives |  |  |
Liabilities |  |  |
Other derivative liabilities | $ 0 | 13,799 |
Total derivative liabilities |  | 13,799 |
Credit derivatives | Maximum |  |  |
Liabilities |  |  |
Current notional |  | $ 420,000 |
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2022.

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