DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Assets
Interest rate swaps	$ 0	$ 1,199
Derivative assets	103,245	113,556	[1]
Liabilities
Interest rate swaps	1,126,179	706,862
Derivative liabilities	1,182,681	803,866	[1]
Futures contracts
Assets
Other derivative assets	550	77,889
Derivative assets	550	77,889
Liabilities
Other derivative liabilities	7,792	84,781
Derivative liabilities	7,792	84,781
Purchase commitments
Assets
Other derivative assets	438	2,050
Derivative assets	438	2,050
Liabilities
Other derivative liabilities	488	907
Derivative liabilities	488	907
Interest rate swaptions
Assets
Other derivative assets	63,601	11,580
Derivative assets	63,601	11,580
TBA derivatives
Assets
Other derivative assets	38,656	15,181
Derivative assets	38,656	15,181
Liabilities
Other derivative liabilities	21,140	11,316
Derivative liabilities	21,140	11,316
Credit derivatives
Assets
Other derivative assets	0	5,657
Derivative assets		5,657
Liabilities
Other derivative liabilities	27,082	0
Derivative liabilities	27,082
Notional Amount	0	10,000
Credit derivatives | Maximum
Liabilities
Notional Amount	$ 499,000	$ 345,000

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