DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Assets:
Gross Amounts	$ 212,138	$ 313,885
Liabilities:
Gross Amounts	494,037	607,854
Futures contracts
Assets:
Gross Amounts	4,857	218,361
Financial Instruments	(4,857)	(12,285)
Cash Collateral	0	0
Net Amounts	0	206,076
Liabilities:
Gross Amounts	111,610	12,285
Financial Instruments	(4,857)	(12,285)
Cash Collateral	(106,753)	0
Net Amounts	0	0
Purchase commitments
Assets:
Gross Amounts	258	35
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	258	35
Liabilities:
Gross Amounts	25	157
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	25	157
Interest Rate Swaps
Assets:
Gross Amounts	82,458	30,272
Financial Instruments	(44,260)	(27,379)
Cash Collateral	0	0
Net Amounts	38,198	2,893
Liabilities:
Gross Amounts	376,106	569,129
Financial Instruments	(44,260)	(27,379)
Cash Collateral	0	0
Net Amounts	331,846	541,750
Interest rate swaptions
Assets:
Gross Amounts	82,034	36,150
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	82,034	36,150
TBA derivatives
Assets:
Gross Amounts	36,394	29,067
Financial Instruments	(63)	(12,551)
Cash Collateral	0	0
Net Amounts	36,331	16,516
Liabilities:
Gross Amounts	63	21,776
Financial Instruments	(63)	(12,551)
Cash Collateral	0	0
Net Amounts	0	9,225
Credit derivatives
Assets:
Gross Amounts	6,137
Financial Instruments	(5,736)
Cash Collateral	0
Net Amounts	401
Liabilities:
Gross Amounts	6,233	4,507
Financial Instruments	(5,736)	0
Cash Collateral	(497)	(3,520)
Net Amounts	$ 0	$ 987