DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2017	Dec. 31, 2016
Swap equivalent Eurodollar futures contract | 2 Year
Derivative [Line Items]
Derivative Instruments, maturity period	2 years	2 years
Weighted Average Underlying Years to Maturity	2 years	2 years
Swap equivalent Eurodollar futures contract | 2 Year | Long
Derivative [Line Items]
Notional	$ 0	$ 0
Swap equivalent Eurodollar futures contract | 2 Year | Short
Derivative [Line Items]
Notional	$ (17,161,000)	$ (14,968,250)
U.S. Treasury futures | 5 Year
Derivative [Line Items]
Derivative Instruments, maturity period	5 years	5 years
Weighted Average Underlying Years to Maturity	4 years 4 months 28 days	4 years 5 months 1 day
U.S. Treasury futures | 5 Year | Long
Derivative [Line Items]
Notional	$ 0	$ 0
U.S. Treasury futures | 5 Year | Short
Derivative [Line Items]
Notional	$ (4,217,400)	$ (1,697,200)
U.S. Treasury futures | 10 Year and Greater
Derivative [Line Items]
Derivative Instruments minimum maturity period	10 years	10 years
Weighted Average Underlying Years to Maturity	7 years 4 days	8 years 4 months 20 days
U.S. Treasury futures | 10 Year and Greater | Long
Derivative [Line Items]
Notional	$ 0	$ 0
U.S. Treasury futures | 10 Year and Greater | Short
Derivative [Line Items]
Notional	$ (4,914,500)	$ (2,250,000)
Futures contracts
Derivative [Line Items]
Weighted Average Underlying Years to Maturity	3 years 3 months 26 days	2 years 11 months 23 days
Futures contracts | Long
Derivative [Line Items]
Notional	$ 0	$ 0
Futures contracts | Short
Derivative [Line Items]
Notional	$ (26,292,900)	$ (18,915,450)