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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022
--- | --- | ---
Assets |  |  |
Gross Amounts | $ 549,833 | $ 342,064 | [1]
Liabilities |  |  |
Gross Amounts | 97,616 | 204,172 | [1]
Futures contracts, at fair value |  |  |
Assets |  |  |
Gross Amounts | 256,778 | 33,179 |
Financial Instruments | (38,062) | (2,414) |
Cash Collateral | 0 | 0 |
Net Amounts | 218,716 | 30,765 |
Liabilities |  |  |
Gross Amounts | 38,062 | 11,919 |
Financial Instruments | (38,062) | (2,414) |
Cash Collateral | 0 | (9,505) |
Net Amounts | 0 | 0 |
Other derivative liabilities | 38,062 | 11,919 |
Futures contracts, at fair value | Secured Overnight Financing Rate (SOFR) |  |  |
Liabilities |  |  |
Other derivative liabilities | 38,100 |  |
Purchase commitments |  |  |
Assets |  |  |
Gross Amounts | 4,766 | 1,832 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 4,766 | 1,832 |
Liabilities |  |  |
Gross Amounts | 3,519 | 460 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 3,519 | 460 |
Other derivative liabilities | 3,519 | 460 |
Interest rate swaps, at fair value |  |  |
Assets |  |  |
Gross Amounts | 95,553 | 33,006 |
Financial Instruments | (20,765) | (24,625) |
Cash Collateral | (52,113) | 0 |
Net Amounts | 22,675 | 8,381 |
Liabilities |  |  |
Gross Amounts | 9,300 | 108,724 |
Financial Instruments | (9,300) | (24,625) |
Cash Collateral | 0 | (1,251) |
Net Amounts | 0 | 82,848 |
Interest rate swaptions, at fair value |  |  |
Assets |  |  |
Gross Amounts | 185,504 | 256,991 |
Financial Instruments | (67,280) | 0 |
Cash Collateral | (117,390) | 0 |
Net Amounts | 834 | 256,991 |
TBA derivatives, at fair value |  |  |
Assets |  |  |
Gross Amounts | 7,232 | 17,056 |
Financial Instruments | (687) | (16,875) |
Cash Collateral | (5,090) | 0 |
Net Amounts | 1,455 | 181 |
Liabilities |  |  |
Gross Amounts | 46,735 | 69,270 |
Financial Instruments | (45,423) | (16,875) |
Cash Collateral | 0 | 0 |
Net Amounts | 1,312 | 52,395 |
Other derivative liabilities | 46,735 | 69,270 |
Credit derivatives |  |  |
Liabilities |  |  |
Gross Amounts |  | 13,799 |
Financial Instruments |  | 0 |
Cash Collateral |  | (9,291) |
Net Amounts |  | 4,508 |
Other derivative liabilities | $ 0 | $ 13,799 |
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2022.

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