DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
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	$ 16,209,160	15,828,000
Implied Cost Basis	16,304,558	16,381,826
Implied Market Value	16,253,193	16,390,251
Net Carrying Value	$ (51,365)	8,425
Sale contracts
Notional
Sale contracts		(250,000)
Implied Cost Basis		(254,804)
Implied Market Value		(255,938)
Net Carrying Value		$ (1,134)