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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.