DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Swap Equivalent Eurodollar Futures Contract | 2 Year
Derivative Instruments:
Derivative Instruments, maturity period	2 years	2 years
Weighted Average Years to Maturity		2 years
Swap Equivalent Eurodollar Futures Contract | Long | 2 Year
Derivative Instruments:
Notional		$ 0
Swap Equivalent Eurodollar Futures Contract | Sale contracts | 2 Year
Derivative Instruments:
Notional		$ (17,161,000)
U.S. Treasury Futures | 2 Year
Derivative Instruments:
Weighted Average Years to Maturity	2 years
U.S. Treasury Futures | 5 Year
Derivative Instruments:
Derivative Instruments, maturity period	5 years	5 years
Weighted Average Years to Maturity	4 years 4 months 30 days	4 years 4 months 28 days
U.S. Treasury Futures | 10 Year and Greater
Derivative Instruments:
Derivative Instruments minimum maturity period	10 years	10 years
Weighted Average Years to Maturity	7 years 1 month 16 days	7 years 4 days
U.S. Treasury Futures | Long | 2 Year
Derivative Instruments:
Notional	$ 0
U.S. Treasury Futures | Long | 5 Year
Derivative Instruments:
Notional	0	$ 0
U.S. Treasury Futures | Long | 10 Year and Greater
Derivative Instruments:
Notional	0	0
U.S. Treasury Futures | Sale contracts | 2 Year
Derivative Instruments:
Notional	(480,000)
U.S. Treasury Futures | Sale contracts | 5 Year
Derivative Instruments:
Notional	(4,987,400)	(4,217,400)
U.S. Treasury Futures | Sale contracts | 10 Year and Greater
Derivative Instruments:
Notional	$ (10,274,500)	$ (4,914,500)
Futures contracts
Derivative Instruments:
Weighted Average Years to Maturity	6 years 1 month 14 days	3 years 3 months 26 days
Futures contracts | Long
Derivative Instruments:
Notional	$ 0	$ 0
Futures contracts | Sale contracts
Derivative Instruments:
Notional	$ (15,741,900)	$ (26,292,900)