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DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019
--- | --- | ---
Assets |  |  |
Interest rate swaps | $ 0 | $ 1,199 |
Derivative assets | 165,642 | 113,556 | [1]
Liabilities |  |  |
Interest rate swaps | 1,198,970 | 706,862 |
Derivative liabilities | 1,257,038 | 803,866 | [1]
Futures contracts |  |  |
Assets |  |  |
Other derivative assets | 0 | 77,889 |
Derivative assets |  | 77,889 |
Liabilities |  |  |
Other derivative liabilities | 17,579 | 84,781 |
Derivative liabilities | 17,579 | 84,781 |
Purchase commitments |  |  |
Assets |  |  |
Other derivative assets | 0 | 2,050 |
Derivative assets |  | 2,050 |
Liabilities |  |  |
Other derivative liabilities | 0 | 907 |
Derivative liabilities |  | 907 |
Interest rate swaptions |  |  |
Assets |  |  |
Other derivative assets | 41,668 | 11,580 |
Derivative assets | 41,668 | 11,580 |
TBA derivatives |  |  |
Assets |  |  |
Other derivative assets | 123,974 | 15,181 |
Derivative assets | 123,974 | 15,181 |
Liabilities |  |  |
Other derivative liabilities | 5,778 | 11,316 |
Derivative liabilities | 5,778 | 11,316 |
Credit derivatives |  |  |
Assets |  |  |
Other derivative assets | 0 | 5,657 |
Derivative assets |  | 5,657 |
Liabilities |  |  |
Other derivative liabilities | 34,711 | 0 |
Derivative liabilities | 34,711 |  |
Notional Amount | 0 | 10,000 |
Credit derivatives | Maximum |  |  |
Liabilities |  |  |
Notional Amount | $ 495,000 | $ 345,000 |
[1] | Derived from the audited consolidated financial statements at December 31, 2019.

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