DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($)	Jun. 30, 2018	Dec. 31, 2017
Assets:
Interest rate swaps	$ 82,458,000	$ 30,272,000	[1]
Other derivatives, at fair value	129,680,000	283,613,000	[1]
Derivative assets	212,138,000	313,885,000
Liabilities:
Interest rate swaps, at fair value	376,106,000	569,129,000	[1]
Other derivatives, at fair value	117,931,000	38,725,000	[1]
Derivative liabilities	494,037,000	607,854,000
Futures contracts
Assets:
Other derivatives, at fair value	4,857,000	218,361,000
Derivative assets	4,857,000	218,361,000
Liabilities:
Other derivatives, at fair value	111,610,000	12,285,000
Derivative liabilities	111,610,000	12,285,000
Purchase commitments
Assets:
Other derivatives, at fair value	258,000	35,000
Derivative assets	258,000	35,000
Liabilities:
Other derivatives, at fair value	25,000	157,000
Derivative liabilities	25,000	157,000
Interest rate swaptions
Assets:
Other derivatives, at fair value	82,034,000	36,150,000
Derivative assets	82,034,000	36,150,000
TBA derivatives
Assets:
Other derivatives, at fair value	36,394,000	29,067,000
Derivative assets	36,394,000	29,067,000
Liabilities:
Other derivatives, at fair value	63,000	21,776,000
Derivative liabilities	63,000	21,776,000
Notional		15,578,000,000
Credit derivatives
Assets:
Credit derivatives (1)	6,137,000	0
Derivative assets	6,137,000
Liabilities:
Other derivatives, at fair value	6,233,000	4,507,000
Derivative liabilities	6,233,000	4,507,000
Notional amount of derivative assets	60,000,000
Notional	$ 357,555,000	$ 125,000,000

[1] Derived from the audited consolidated financial statements at December 31, 2017.