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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019
--- | --- | ---
Assets |  |  |
Gross Amounts | $ 165,642 | $ 113,556 | [1]
Liabilities |  |  |
Gross Amounts | 1,257,038 | 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 | 17,579 | 84,781 |
Financial Instruments | 0 | (10,902) |
Cash Collateral | (17,579) | (73,879) |
Net Amounts | 0 | 0 |
Purchase commitments |  |  |
Assets |  |  |
Gross Amounts |  | 2,050 |
Financial Instruments |  | 0 |
Cash Collateral |  | 0 |
Net Amounts |  | 2,050 |
Liabilities |  |  |
Gross Amounts |  | 907 |
Financial Instruments |  | 0 |
Cash Collateral |  | 0 |
Net Amounts |  | 907 |
Interest rate swaps, at fair value |  |  |
Assets |  |  |
Gross Amounts |  | 1,199 |
Financial Instruments |  | (951) |
Cash Collateral |  | 0 |
Net Amounts |  | 248 |
Liabilities |  |  |
Gross Amounts | 1,198,970 | 706,862 |
Financial Instruments | 0 | (951) |
Cash Collateral | (124,301) | (104,205) |
Net Amounts | 1,074,669 | 601,706 |
Interest rate swaptions, at fair value |  |  |
Assets |  |  |
Gross Amounts | 41,668 | 11,580 |
Financial Instruments | 0 | 0 |
Cash Collateral | 0 | 0 |
Net Amounts | 41,668 | 11,580 |
TBA derivatives, at fair value |  |  |
Assets |  |  |
Gross Amounts | 123,974 | 15,181 |
Financial Instruments | (4,848) | (5,018) |
Cash Collateral | 0 | 0 |
Net Amounts | 119,126 | 10,163 |
Liabilities |  |  |
Gross Amounts | 5,778 | 11,316 |
Financial Instruments | (4,848) | (5,018) |
Cash Collateral | 0 | 0 |
Net Amounts | 930 | 6,298 |
Credit derivatives |  |  |
Assets |  |  |
Gross Amounts |  | 5,657 |
Financial Instruments |  | 0 |
Cash Collateral |  | 0 |
Net Amounts |  | $ 5,657 |
Liabilities |  |  |
Gross Amounts | 34,711 |  |
Financial Instruments | 0 |  |
Cash Collateral | (34,711) |  |
Net Amounts | $ 0 |  |
[1] | Derived from the audited consolidated financial statements at December 31, 2019.

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