DERIVATIVE FINANCIAL INSTRUMENTS - Schedule of Derivative Assets and Liabilties (Details) - USD ($) $ in Thousands	Sep. 30, 2017	Dec. 31, 2016
Derivative [Line Items]
Assets, at Fair Value	$ 16,871	$ 10,365
Liabilities, at Fair Value	2,591	1,982
Restricted cash	19,629	20,950
Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative [Line Items]
Assets, at Fair Value	16,871	10,365
Liabilities, at Fair Value	2,591	1,982
Restricted cash	2,987	9,865
Interest Rate Swap [Member]
Derivative [Line Items]
Assets, at Fair Value	10,693	10,302
Interest Rate Swap [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative [Line Items]
Assets, at Fair Value	10,693	10,302
Liabilities, at Fair Value	2,591	802
Restricted cash	1,437	0
TBA Contracts [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative [Line Items]
Assets, at Fair Value	2,984	63
Liabilities, at Fair Value	0	1,180
Restricted cash	(1,867)	446
Eurodollar Future Margin [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative [Line Items]
Restricted cash	6,193	9,419
Payer Swaption [Member]
Derivative [Line Items]
Assets, at Fair Value	3,194
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]
Derivative [Line Items]
Assets, at Fair Value	3,194	0
Restricted cash	$ (2,776)	$ 0