DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2017	Dec. 31, 2016
Assets:
Gross Amounts	$ 313,885	$ 239,460
Liabilities:
Gross Amounts	607,854	1,530,202
Futures contracts
Assets:
Gross Amounts	218,361	168,209
Amounts Eligible for Offset, Financial Instruments	(12,285)	(24,912)
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	206,076	143,297
Liabilities:
Gross Amounts	12,285	24,912
Amounts Eligible for Offset, Financial Instruments	(12,285)	(24,912)
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	0	0
Purchase commitments
Assets:
Gross Amounts	35	283
Amounts Eligible for Offset, Financial Instruments	0	0
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	35	283
Liabilities:
Gross Amounts	157	553
Amounts Eligible for Offset, Financial Instruments	0	0
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	157	553
Interest rate swaps
Assets:
Gross Amounts	30,272	68,194
Amounts Eligible for Offset, Financial Instruments	(27,379)	(68,194)
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	2,893	0
Liabilities:
Gross Amounts	569,129	1,443,765
Amounts Eligible for Offset, Financial Instruments	(27,379)	(68,194)
Amounts Eligible for Offset, Cash Collateral	0	(768,877)
Net Amounts	541,750	606,694
Interest rate swaptions
Assets:
Gross Amounts	36,150
Amounts Eligible for Offset, Financial Instruments	0
Amounts Eligible for Offset, Cash Collateral	0
Net Amounts	36,150
TBA derivatives
Assets:
Gross Amounts	29,067	2,774
Amounts Eligible for Offset, Financial Instruments	(12,551)	(2,172)
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	16,516	602
Liabilities:
Gross Amounts	21,776	60,972
Amounts Eligible for Offset, Financial Instruments	(12,551)	(2,172)
Amounts Eligible for Offset, Cash Collateral	0	0
Net Amounts	9,225	$ 58,800
Credit derivatives
Liabilities:
Gross Amounts	4,507
Amounts Eligible for Offset, Financial Instruments	0
Amounts Eligible for Offset, Cash Collateral	(3,520)
Net Amounts	$ 987