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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022
--- | --- | ---
Assets |  |
Gross Amounts | $ 162,557 | $ 342,064
Liabilities |  |
Gross Amounts | 302,295 | 204,172
Future contracts |  |
Assets |  |
Gross Amounts |  | 33,179
Financial Instruments |  | (2,414)
Cash Collateral |  | 0
Net Amounts |  | 30,765
Liabilities |  |
Gross Amounts | 179,835 | 11,919
Financial Instruments | 0 | (2,414)
Cash Collateral | (179,835) | (9,505)
Net Amounts | 0 | 0
Purchase commitments |  |
Assets |  |
Gross Amounts | 9,641 | 1,832
Financial Instruments | 0 | 0
Cash Collateral | 0 | 0
Net Amounts | 9,641 | 1,832
Liabilities |  |
Gross Amounts | 339 | 460
Financial Instruments | 0 | 0
Cash Collateral | 0 | 0
Net Amounts | 339 | 460
Interest rate swaps, at fair value |  |
Assets |  |
Gross Amounts | 26,344 | 33,006
Financial Instruments | (21,505) | (24,625)
Cash Collateral | 0 | 0
Net Amounts | 4,839 | 8,381
Liabilities |  |
Gross Amounts | 83,051 | 108,724
Financial Instruments | (72,844) | (24,625)
Cash Collateral | 0 | (1,251)
Net Amounts | 10,207 | 82,848
Interest rate swaptions, at fair value |  |
Assets |  |
Gross Amounts | 105,883 | 256,991
Financial Instruments | (45,930) | 0
Cash Collateral | (57,320) | 0
Net Amounts | 2,633 | 256,991
TBA derivatives, at fair value |  |
Assets |  |
Gross Amounts | 20,689 | 17,056
Financial Instruments | (13,282) | (16,875)
Cash Collateral | 0 | 0
Net Amounts | 7,407 | 181
Liabilities |  |
Gross Amounts | 39,070 | 69,270
Financial Instruments | (34,525) | (16,875)
Cash Collateral | 0 | 0
Net Amounts | 4,545 | 52,395
Credit derivatives |  |
Liabilities |  |
Gross Amounts | $ 0 | 13,799
Financial Instruments |  | 0
Cash Collateral |  | (9,291)
Net Amounts |  | $ 4,508

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