DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2017	Dec. 31, 2016
Notional
Notional	$ 15,578,000
Implied Cost Basis	16,127,022
Implied Market Value	16,134,313
Net Carrying Value	7,291
Purchase contracts
Notional
Purchase contracts	15,828,000	$ 11,223,000
Implied Cost Basis	16,381,826	11,495,514
Implied Market Value	16,390,251	11,437,316
Net Carrying Value	8,425	$ (58,198)
Sale contracts
Notional
Sale contracts	(250,000)
Implied Cost Basis	(254,804)
Implied Market Value	(255,938)
Net Carrying Value	$ (1,134)