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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018
--- | --- | ---
Assets |  |
Gross amounts | $ 113,556 | $ 200,503
Liabilities |  |
Gross amounts | 803,866 | 889,750
Futures Contracts |  |
Assets |  |
Gross amounts | 77,889 |
Amounts eligible for offset, financial instruments | (10,902) |
Amounts eligible for offset, cash collateral | 0 |
Net amounts | 66,987 |
Liabilities |  |
Gross amounts | 84,781 | 462,309
Amounts eligible for offset, financial instruments | (10,902) | 0
Amounts eligible for offset, cash collateral | (73,879) | (462,309)
Net amounts | 0 | 0
Purchase Commitments |  |
Assets |  |
Gross amounts | 2,050 | 844
Amounts eligible for offset, financial instruments | 0 | 0
Amounts eligible for offset, cash collateral | 0 | 0
Net amounts | 2,050 | 844
Liabilities |  |
Gross amounts | 907 | 33
Amounts eligible for offset, financial instruments | 0 | 0
Amounts eligible for offset, cash collateral | 0 | 0
Net amounts | 907 | 33
Interest Rate Swaps |  |
Assets |  |
Gross amounts | 1,199 | 48,114
Amounts eligible for offset, financial instruments | (951) | (29,308)
Amounts eligible for offset, cash collateral | 0 | 0
Net amounts | 248 | 18,806
Liabilities |  |
Gross amounts | 706,862 | 420,365
Amounts eligible for offset, financial instruments | (951) | (29,308)
Amounts eligible for offset, cash collateral | (104,205) | (11,856)
Net amounts | 601,706 | 379,201
Interest Rate Swaptions |  |
Assets |  |
Gross amounts | 11,580 | 7,216
Amounts eligible for offset, financial instruments | 0 | 0
Amounts eligible for offset, cash collateral | 0 | 0
Net amounts | 11,580 | 7,216
TBA Derivatives |  |
Assets |  |
Gross amounts | 15,181 | 141,688
Amounts eligible for offset, financial instruments | (5,018) | 0
Amounts eligible for offset, cash collateral | 0 | 0
Net amounts | 10,163 | 141,688
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 | 2,641
Amounts eligible for offset, financial instruments | 0 | (2,641)
Amounts eligible for offset, cash collateral | 0 | 0
Net amounts | $ 5,657 | 0
Liabilities |  |
Gross amounts |  | 7,043
Amounts eligible for offset, financial instruments |  | (2,641)
Amounts eligible for offset, cash collateral |  | (4,402)
Net amounts |  | $ 0

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