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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022
--- | --- | ---
Assets |  |  |
Total derivative assets | $ 549,833 | $ 342,064 | [1]
Liabilities |  |  |
Interest rate swaps | 9,300 | 108,724 |
Total derivative liabilities | 97,616 | 204,172 | [1]
Futures contracts |  |  |
Assets |  |  |
Other derivative assets | 256,778 | 33,179 |
Total derivative assets | 256,778 | 33,179 |
Liabilities |  |  |
Other derivative liabilities | 38,062 | 11,919 |
Total derivative liabilities | 38,062 | 11,919 |
Futures contracts | Secured Overnight Financing Rate (SOFR) |  |  |
Liabilities |  |  |
Other derivative liabilities | 38,100 |  |
Purchase commitments |  |  |
Assets |  |  |
Other derivative assets | 4,766 | 1,832 |
Total derivative assets | 4,766 | 1,832 |
Liabilities |  |  |
Other derivative liabilities | 3,519 | 460 |
Total derivative liabilities | 3,519 | 460 |
Interest rate swaps |  |  |
Assets |  |  |
Interest rate swaps | 95,553 | 33,006 |
Total derivative assets | 95,553 | 33,006 |
Liabilities |  |  |
Total derivative liabilities | 9,300 | 108,724 |
Current notional | 57,719,554 | 52,277,300 |
Interest rate swaptions |  |  |
Assets |  |  |
Other derivative assets | 185,504 | 256,991 |
Total derivative assets | 185,504 | 256,991 |
TBA derivatives |  |  |
Assets |  |  |
Other derivative assets | 7,232 | 17,056 |
Total derivative assets | 7,232 | 17,056 |
Liabilities |  |  |
Other derivative liabilities | 46,735 | 69,270 |
Total derivative liabilities | 46,735 | 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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