DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Assets
Gross amounts	$ 171,134	$ 113,556
Liabilities
Gross amounts	1,033,345	803,866
Futures Contracts
Assets
Gross amounts	506	77,889
Amounts eligible for offset, financial instruments	(506)	(10,902)
Amounts eligible for offset, cash collateral	0	0
Net amounts	0	66,987
Liabilities
Gross amounts	19,413	84,781
Amounts eligible for offset, financial instruments	(506)	(10,902)
Amounts eligible for offset, cash collateral	(18,907)	(73,879)
Net amounts	0	0
Purchase Commitments
Assets
Gross amounts	49	2,050
Amounts eligible for offset, financial instruments	0	0
Amounts eligible for offset, cash collateral	0	0
Net amounts	49	2,050
Liabilities
Gross amounts		907
Amounts eligible for offset, financial instruments		0
Amounts eligible for offset, cash collateral		0
Net amounts		907
Interest Rate Swaps
Assets
Gross amounts		1,199
Amounts eligible for offset, financial instruments		(951)
Amounts eligible for offset, cash collateral		0
Net amounts		248
Liabilities
Gross amounts	1,006,492	706,862
Amounts eligible for offset, financial instruments	0	(951)
Amounts eligible for offset, cash collateral	(108,757)	(104,205)
Net amounts	897,735	601,706
Interest Rate Swaptions
Assets
Gross amounts	74,470	11,580
Amounts eligible for offset, financial instruments	0	0
Amounts eligible for offset, cash collateral	0	0
Net amounts	74,470	11,580
TBA Derivatives
Assets
Gross amounts	96,109	15,181
Amounts eligible for offset, financial instruments	0	(5,018)
Amounts eligible for offset, cash collateral	0	0
Net amounts	96,109	10,163
Liabilities
Gross amounts		11,316
Amounts eligible for offset, financial instruments		(5,018)
Amounts eligible for offset, cash collateral		0
Net amounts		6,298
Credit Derivatives
Assets
Gross amounts		5,657
Amounts eligible for offset, financial instruments		0
Amounts eligible for offset, cash collateral		0
Net amounts		$ 5,657
Liabilities
Gross amounts	7,440
Amounts eligible for offset, financial instruments	0
Amounts eligible for offset, cash collateral	(7,440)
Net amounts	$ 0

Fair value, after the effects of master netting arrangements, of a financial asset or other contract with one or more underlyings, notional amount or payment provision or both, and the contract can be net settled by means outside the contract or delivery of an asset. Includes assets not subject to a master netting arrangement and not elected to be offset.

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