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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019
--- | --- | ---
Assets |  |  |
Gross Amounts | $ 238,776 | $ 113,556 | [1]
Liabilities |  |  |
Gross Amounts | 1,331,188 | 803,866 | [1]
Futures contracts, at fair value |  |  |
Assets |  |  |
Gross Amounts |  | 77,889 |
Financial Instruments |  | (10,902) |
Cash Collateral |  | 0 |
Net Amounts |  | 66,987 |
Liabilities |  |  |
Gross Amounts |  | 84,781 |
Financial Instruments |  | (10,902) |
Cash Collateral |  | (73,879) |
Net Amounts |  | 0 |
Purchase commitments |  |  |
Assets |  |  |
Gross Amounts | 1 | 2,050 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 1 | 2,050 |
Liabilities |  |  |
Gross Amounts | 9,666 | 907 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 9,666 | 907 |
Interest rate swaps, at fair value |  |  |
Assets |  |  |
Gross Amounts |  | 1,199 |
Financial Instruments |  | (951) |
Cash Collateral |  | 0 |
Net Amounts |  | 248 |
Liabilities |  |  |
Gross Amounts | 1,244,309 | 706,862 |
Financial Instruments | 0 | (951) |
Cash Collateral | (162,668) | (104,205) |
Net Amounts | 1,081,641 | 601,706 |
Interest rate swaptions, at fair value |  |  |
Assets |  |  |
Gross Amounts | 58,468 | 11,580 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 58,468 | 11,580 |
TBA derivatives, at fair value |  |  |
Assets |  |  |
Gross Amounts | 180,307 | 15,181 |
Financial Instruments | (15,747) | (5,018) |
Cash Collateral | 0 | 0 |
Net Amounts | 164,560 | 10,163 |
Liabilities |  |  |
Gross Amounts | 15,747 | 11,316 |
Financial Instruments | (15,747) | (5,018) |
Cash Collateral | 0 | 0 |
Net Amounts | 0 | 6,298 |
Credit derivatives |  |  |
Assets |  |  |
Gross Amounts |  | 5,657 |
Financial Instruments |  | 0 |
Cash Collateral |  | 0 |
Net Amounts |  | $ 5,657 |
Liabilities |  |  |
Gross Amounts | 61,466 |  |
Financial Instruments | 0 |  |
Cash Collateral | (48,845) |  |
Net Amounts | $ 12,621 |  |
[1] | Derived from the audited consolidated financial statements at December 31, 2019.

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