DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Assets
Interest rate swaps	$ 0	$ 1,199
Derivative assets	238,776	113,556	[1]
Liabilities
Interest rate swaps	1,244,309	706,862
Derivative liabilities	1,331,188	803,866	[1]
Futures contracts
Assets
Other derivative assets	0	77,889
Derivative assets		77,889
Liabilities
Other derivative liabilities	0	84,781
Derivative liabilities		84,781
Purchase commitments
Assets
Other derivative assets	1	2,050
Derivative assets	1	2,050
Liabilities
Other derivative liabilities	9,666	907
Derivative liabilities	9,666	907
Interest rate swaptions
Assets
Other derivative assets	58,468	11,580
Derivative assets	58,468	11,580
TBA derivatives
Assets
Other derivative assets	180,307	15,181
Derivative assets	180,307	15,181
Liabilities
Other derivative liabilities	15,747	11,316
Derivative liabilities	15,747	11,316
Credit derivatives
Assets
Other derivative assets	0	5,657
Derivative assets		5,657
Liabilities
Other derivative liabilities	61,466	0
Derivative liabilities	61,466
Notional Amount	0	10,000
Credit derivatives | Maximum
Liabilities
Notional Amount	$ 525,000	$ 345,000

[1] Derived from the audited consolidated financial statements at December 31, 2019.