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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018
--- | --- | ---
Assets |  |  |
Gross Amounts | $ 168,755 | $ 200,503 | [1]
Liabilities |  |  |
Gross Amounts | 972,415 | 889,750 | [1]
Futures contracts, at fair value |  |  |
Assets |  |  |
Gross Amounts | 102,400 |  |
Financial Instruments | (37,973) |  |
Cash Collateral | 0 |  |
Net Amounts | 64,427 |  |
Liabilities |  |  |
Gross Amounts | 80,563 | 462,309 |
Financial Instruments | (37,973) | 0 |
Cash Collateral | (42,590) | (462,309) |
Net Amounts | 0 | 0 |
Purchase commitments |  |  |
Assets |  |  |
Gross Amounts | 3,787 | 844 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 3,787 | 844 |
Liabilities |  |  |
Gross Amounts | 1,074 | 33 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 1,074 | 33 |
Interest rate swaps, at fair value |  |  |
Assets |  |  |
Gross Amounts | 2,556 | 48,114 |
Financial Instruments | (2,291) | (29,308) |
Cash Collateral | 0 | 0 |
Net Amounts | 265 | 18,806 |
Liabilities |  |  |
Gross Amounts | 861,067 | 420,365 |
Financial Instruments | (2,291) | (29,308) |
Cash Collateral | (121,915) | (11,856) |
Net Amounts | 736,861 | 379,201 |
Interest rate swaptions, at fair value |  |  |
Assets |  |  |
Gross Amounts | 39,251 | 7,216 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 39,251 | 7,216 |
TBA derivatives, at fair value |  |  |
Assets |  |  |
Gross Amounts | 15,706 | 141,688 |
Financial Instruments | (7,208) | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 8,498 | 141,688 |
Liabilities |  |  |
Gross Amounts | 28,373 |  |
Financial Instruments | (7,208) |  |
Cash Collateral | 0 |  |
Net Amounts | 21,165 |  |
Credit derivatives |  |  |
Assets |  |  |
Gross Amounts | 5,055 | 2,641 |
Financial Instruments | (1,026) | (2,641) |
Cash Collateral | 0 | 0 |
Net Amounts | 4,029 | 0 |
Liabilities |  |  |
Gross Amounts | 1,338 | 7,043 |
Financial Instruments | (1,026) | (2,641) |
Cash Collateral | (312) | (4,402) |
Net Amounts | $ 0 | $ 0 |
[1] | (1) Derived from the audited consolidated financial statements at December 31, 2018.

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