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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2024 | Dec. 31, 2023
--- | --- | ---
Assets |  |  |
Total derivative assets | $ 59,071 | $ 162,557 | [1]
Liabilities |  |  |
Interest rate swaps | 59,297 | 83,051 |
Total derivative liabilities | 102,628 | 302,295 | [1]
Futures contracts |  |  |
Assets |  |  |
Other derivative assets | 23,256 | 0 |
Total derivative assets | 23,256 |  |
Liabilities |  |  |
Other derivative liabilities | 32,117 | 179,835 |
Total derivative liabilities | 32,117 | 179,835 |
Purchase commitments |  |  |
Assets |  |  |
Other derivative assets | 16,784 | 9,641 |
Total derivative assets | 16,784 | 9,641 |
Liabilities |  |  |
Other derivative liabilities | 2,613 | 339 |
Total derivative liabilities | 2,613 | 339 |
Interest rate swaps |  |  |
Assets |  |  |
Interest rate swaps | 3,094 | 26,344 |
Total derivative assets | 3,094 | 26,344 |
Liabilities |  |  |
Total derivative liabilities | 59,297 | 83,051 |
Interest rate swaptions |  |  |
Assets |  |  |
Other derivative assets | 13,068 | 105,883 |
Total derivative assets | 13,068 | 105,883 |
TBA derivatives |  |  |
Assets |  |  |
Other derivative assets | 2,869 | 20,689 |
Total derivative assets | 2,869 | 20,689 |
Liabilities |  |  |
Other derivative liabilities | 8,601 | 39,070 |
Total derivative liabilities | $ 8,601 | $ 39,070 |
[1] | (1)Derived from the audited consolidated financial statements at December 31, 2023.

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