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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) | Mar. 31, 2019 | Dec. 31, 2018
--- | --- | ---
Derivatives, Fair Value [Line Items] |  |  |
Interest rate swaps, at fair value | $ 26,020,000 | $ 48,114,000 |
Derivative assets | 148,178,000 | 200,503,000 | [1]
Interest rate swaps, at fair value | 509,485,000 | 420,365,000 |
Derivative liabilities | 775,980,000 | 889,750,000 | [1]
Futures contracts |  |  |
Derivatives, Fair Value [Line Items] |  |  |
Other derivative assets, at fair value | 357,000 | 0 |
Derivative assets | 357,000 |  |
Other derivative liabilities, at fair value | 260,354,000 | 462,309,000 |
Derivative liabilities | 260,354,000 | 462,309,000 |
Purchase commitments |  |  |
Derivatives, Fair Value [Line Items] |  |  |
Other derivative assets, at fair value | 2,434,000 | 844,000 |
Derivative assets | 2,434,000 | 844,000 |
Other derivative liabilities, at fair value | 478,000 | 33,000 |
Derivative liabilities | 478,000 | 33,000 |
Interest rate swaptions |  |  |
Derivatives, Fair Value [Line Items] |  |  |
Other derivative assets, at fair value | 8,250,000 | 7,216,000 |
Derivative assets | 8,250,000 | 7,216,000 |
TBA derivatives |  |  |
Derivatives, Fair Value [Line Items] |  |  |
Other derivative assets, at fair value | 106,960,000 | 141,688,000 |
Derivative assets | 106,960,000 | 141,688,000 |
Other derivative liabilities, at fair value | 5,212,000 | 0 |
Derivative liabilities | 5,212,000 |  |
Credit derivatives |  |  |
Derivatives, Fair Value [Line Items] |  |  |
Other derivative assets, at fair value | 4,157,000 | 2,641,000 |
Derivative assets | 4,157,000 | 2,641,000 |
Other derivative liabilities, at fair value | 451,000 | 7,043,000 |
Derivative liabilities | 451,000 | 7,043,000 |
Notional amount of derivative assets | 45,000,000.0 | 30,000,000.0 |
Notional | $ 346,000,000 | $ 451,000,000 |
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018.

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