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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2019 | Dec. 31, 2018
--- | --- | ---
Assets |  |  |
Derivative assets | $ 75,142 | $ 200,503 | [1]
Liabilities |  |  |
Gross Amounts | 1,043,197 | 889,750 | [1]
Futures contracts |  |  |
Assets |  |  |
Derivative assets | 20,388 |  |
Amounts Eligible for Offset, Financial Instruments | (20,388) |  |
Amounts Eligible for Offset, Cash Collateral | 0 |  |
Net Amounts | 0 |  |
Liabilities |  |  |
Gross Amounts | 363,165 | 462,309 |
Amounts Eligible for Offset, Financial Instruments | (20,388) | 0 |
Amounts Eligible for Offset, Cash Collateral | (342,777) | (462,309) |
Net Amounts | 0 | 0 |
Purchase commitments |  |  |
Assets |  |  |
Derivative assets | 3,957 | 844 |
Amounts Eligible for Offset, Financial Instruments | 0 | 0 |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 3,957 | 844 |
Liabilities |  |  |
Gross Amounts | 896 | 33 |
Amounts Eligible for Offset, Financial Instruments | 0 | 0 |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 896 | 33 |
Interest rate swaps |  |  |
Assets |  |  |
Derivative assets | 5,440 | 48,114 |
Amounts Eligible for Offset, Financial Instruments | (4,884) | (29,308) |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 556 | 18,806 |
Liabilities |  |  |
Gross Amounts | 677,295 | 420,365 |
Amounts Eligible for Offset, Financial Instruments | (4,884) | (29,308) |
Amounts Eligible for Offset, Cash Collateral | (96,549) | (11,856) |
Net Amounts | 575,862 | 379,201 |
Interest rate swaptions |  |  |
Assets |  |  |
Derivative assets | 5,444 | 7,216 |
Amounts Eligible for Offset, Financial Instruments | 0 | 0 |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 5,444 | 7,216 |
TBA derivatives |  |  |
Assets |  |  |
Derivative assets | 34,889 | 141,688 |
Amounts Eligible for Offset, Financial Instruments | (1,432) | 0 |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 33,457 | 141,688 |
Liabilities |  |  |
Gross Amounts | 1,432 |  |
Amounts Eligible for Offset, Financial Instruments | (1,432) |  |
Amounts Eligible for Offset, Cash Collateral | 0 |  |
Net Amounts | 0 |  |
Credit derivatives |  |  |
Assets |  |  |
Derivative assets | 5,024 | 2,641 |
Amounts Eligible for Offset, Financial Instruments | (409) | (2,641) |
Amounts Eligible for Offset, Cash Collateral | 0 | 0 |
Net Amounts | 4,615 | 0 |
Liabilities |  |  |
Gross Amounts | 409 | 7,043 |
Amounts Eligible for Offset, Financial Instruments | (409) | (2,641) |
Amounts Eligible for Offset, Cash Collateral | 0 | (4,402) |
Net Amounts | $ 0 | $ 0 |
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018.

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