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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) | Jun. 30, 2019 | Dec. 31, 2018
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Derivatives, Fair Value [Line Items] |  |  |
Interest rate swaps, at fair value | $ 5,440,000 | $ 48,114,000 |
Derivative assets | 75,142,000 | 200,503,000 | [1]
Interest rate swaps, at fair value | 677,295,000 | 420,365,000 |
Derivative liabilities | 1,043,197,000 | 889,750,000 | [1]
Futures contracts |  |  |
Derivatives, Fair Value [Line Items] |  |  |
Other derivative assets, at fair value | 20,388,000 | 0 |
Derivative assets | 20,388,000 |  |
Other derivative liabilities, at fair value | 363,165,000 | 462,309,000 |
Derivative liabilities | 363,165,000 | 462,309,000 |
Purchase commitments |  |  |
Derivatives, Fair Value [Line Items] |  |  |
Other derivative assets, at fair value | 3,957,000 | 844,000 |
Derivative assets | 3,957,000 | 844,000 |
Other derivative liabilities, at fair value | 896,000 | 33,000 |
Derivative liabilities | 896,000 | 33,000 |
Interest rate swaptions |  |  |
Derivatives, Fair Value [Line Items] |  |  |
Other derivative assets, at fair value | 5,444,000 | 7,216,000 |
Derivative assets | 5,444,000 | 7,216,000 |
TBA derivatives |  |  |
Derivatives, Fair Value [Line Items] |  |  |
Other derivative assets, at fair value | 34,889,000 | 141,688,000 |
Derivative assets | 34,889,000 | 141,688,000 |
Other derivative liabilities, at fair value | 1,432,000 | 0 |
Derivative liabilities | 1,432,000 |  |
Credit derivatives |  |  |
Derivatives, Fair Value [Line Items] |  |  |
Other derivative assets, at fair value | 5,024,000 | 2,641,000 |
Derivative assets | 5,024,000 | 2,641,000 |
Other derivative liabilities, at fair value | 409,000 | 7,043,000 |
Derivative liabilities | 409,000 | 7,043,000 |
Notional amount of derivative assets | 30,000,000.0 | 30,000,000 |
Notional | $ 336,000,000.0 | $ 451,000,000.0 |
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018.

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