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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018
--- | --- | ---
Derivatives, Fair Value [Line Items] |  |
Interest rate swaps | $ 1,199,000 | $ 48,114,000
Total derivative assets | 113,556,000 | 200,503,000
Interest rate swaps | 706,862,000 | 420,365,000
Total derivative liabilities | 803,866,000 | 889,750,000
Futures Contracts |  |
Derivatives, Fair Value [Line Items] |  |
Derivative assets | 77,889,000 | 0
Total derivative assets | 77,889,000 |
Derivative liabilities | 84,781,000 | 462,309,000
Total derivative liabilities | 84,781,000 | 462,309,000
Purchase Commitments |  |
Derivatives, Fair Value [Line Items] |  |
Derivative assets | 2,050,000 | 844,000
Total derivative assets | 2,050,000 | 844,000
Derivative liabilities | 907,000 | 33,000
Total derivative liabilities | 907,000 | 33,000
Interest Rate Swaptions |  |
Derivatives, Fair Value [Line Items] |  |
Derivative assets | 11,580,000 | 7,216,000
Total derivative assets | 11,580,000 | 7,216,000
TBA Derivatives |  |
Derivatives, Fair Value [Line Items] |  |
Derivative assets | 15,181,000 | 141,688,000
Total derivative assets | 15,181,000 | 141,688,000
Derivative liabilities | 11,316,000 | 0
Total derivative liabilities | 11,316,000 |
Notional amount of derivative assets | 6,899,000,000 |
Credit Derivatives |  |
Derivatives, Fair Value [Line Items] |  |
Derivative assets | 5,657,000 | 2,641,000
Total derivative assets | 5,657,000 | 2,641,000
Derivative liabilities | 0 | 7,043,000
Total derivative liabilities |  | 7,043,000
Notional amount of derivative assets | 10,000,000.0 | 30,000,000.0
Notional amount | $ 345,000,000.0 | $ 451,000,000.0

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