DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Assets
Derivative assets	$ 75,142	$ 200,503	[1]
Liabilities
Gross Amounts	1,043,197	889,750	[1]
Futures contracts
Assets
Derivative assets	20,388
Amounts Eligible for Offset, Financial Instruments	(20,388)
Amounts Eligible for Offset, Cash Collateral	0
Net Amounts	0
Liabilities
Gross Amounts	363,165	462,309
Amounts Eligible for Offset, Financial Instruments	(20,388)	0
Amounts Eligible for Offset, Cash Collateral	(342,777)	(462,309)
Net Amounts	0	0
Purchase commitments
Assets
Derivative assets	3,957	844
Amounts Eligible for Offset, Financial Instruments	0	0
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	3,957	844
Liabilities
Gross Amounts	896	33
Amounts Eligible for Offset, Financial Instruments	0	0
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	896	33
Interest rate swaps
Assets
Derivative assets	5,440	48,114
Amounts Eligible for Offset, Financial Instruments	(4,884)	(29,308)
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	556	18,806
Liabilities
Gross Amounts	677,295	420,365
Amounts Eligible for Offset, Financial Instruments	(4,884)	(29,308)
Amounts Eligible for Offset, Cash Collateral	(96,549)	(11,856)
Net Amounts	575,862	379,201
Interest rate swaptions
Assets
Derivative assets	5,444	7,216
Amounts Eligible for Offset, Financial Instruments	0	0
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	5,444	7,216
TBA derivatives
Assets
Derivative assets	34,889	141,688
Amounts Eligible for Offset, Financial Instruments	(1,432)	0
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	33,457	141,688
Liabilities
Gross Amounts	1,432
Amounts Eligible for Offset, Financial Instruments	(1,432)
Amounts Eligible for Offset, Cash Collateral	0
Net Amounts	0
Credit derivatives
Assets
Derivative assets	5,024	2,641
Amounts Eligible for Offset, Financial Instruments	(409)	(2,641)
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	4,615	0
Liabilities
Gross Amounts	409	7,043
Amounts Eligible for Offset, Financial Instruments	(409)	(2,641)
Amounts Eligible for Offset, Cash Collateral	0	(4,402)
Net Amounts	$ 0	$ 0

[1] ⁽¹⁾  Derived from the audited consolidated financial statements at December 31, 2018.