DERIVATIVE INSTRUMENTS - Summary of Fair Value Information about Derivative Assets and Liabilities (Details) - USD ($)	Mar. 31, 2018	Dec. 31, 2017
Assets:
Interest rate swaps, at fair value	$ 69,109,000	$ 30,272,000	[1]
Other derivatives, at fair value	161,193,000	283,613,000	[1]
Derivative assets	230,302,000	313,885,000
Liabilities:
Interest rate swaps, at fair value	427,838,000	569,129,000	[1]
Other derivatives, at fair value	153,103,000	38,725,000	[1]
Derivative liabilities	580,941,000	607,854,000
Futures contracts
Assets:
Other derivatives, at fair value	0	218,361,000
Derivative assets		218,361,000
Liabilities:
Other derivatives, at fair value	122,436,000	12,285,000
Derivative liabilities	122,436,000	12,285,000
Purchase commitments
Assets:
Other derivatives, at fair value	428,000	35,000
Derivative assets	428,000	35,000
Liabilities:
Other derivatives, at fair value	262,000	157,000
Derivative liabilities	262,000	157,000
Interest rate swaptions
Assets:
Other derivatives, at fair value	113,701,000	36,150,000
Derivative assets	113,701,000	36,150,000
TBA derivatives
Assets:
Other derivatives, at fair value	47,064,000	29,067,000
Derivative assets	47,064,000	29,067,000
Liabilities:
Other derivatives, at fair value	21,855,000	21,776,000
Derivative liabilities	21,855,000	21,776,000
Notional		15,578,000,000
Credit derivatives
Liabilities:
Other derivatives, at fair value	8,550,000	4,507,000
Derivative liabilities	8,550,000	4,507,000
Notional	$ 285,000,000	$ 125,000,000

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