FAIR VALUE MEASUREMENT - Securities Valuation Methodology and Results (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2017 USD ($) source	Dec. 31, 2016 USD ($)
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Outstanding Face Amount	$ 14,822,986	$ 8,788,957
Amortized Cost Basis	7,704,765	4,948,327
Total Fair Value	$ 8,071,140	5,073,858
Number of broker quotation sources | source	2
Percentage of instruments with ranges of assumptions used available	82.50%
Agency
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Outstanding Face Amount	$ 1,203,629	1,486,739
Amortized Cost Basis	1,247,093	1,532,421
Treasury
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Outstanding Face Amount	862,000
Amortized Cost Basis	858,028
Non-Agency
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Outstanding Face Amount	12,757,357	7,302,218
Amortized Cost Basis	5,599,644	3,415,906
Fair Value	$ 4,928,338
Minimum | Non-Agency
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Discount Rate	2.38%
Prepayment Rate	0.25%
CDR	0.10%
Loss Severity	5.00%
Maximum | Non-Agency
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Discount Rate	32.75%
Prepayment Rate	22.40%
CDR	9.00%
Loss Severity	100.00%
Multiple Quotes
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	$ 8,059,928	4,558,392
Single Quote
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	11,212	515,466
Single Quote | Seller
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	10,500	509,600
Level 2 | Agency
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	1,243,617	1,530,298
Level 2 | Treasury
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	852,734
Level 2 | Multiple Quotes | Agency
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	1,243,617	1,530,298
Level 2 | Multiple Quotes | Treasury
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	852,734
Level 2 | Single Quote | Agency
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	0	0
Level 2 | Single Quote | Treasury
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	0
Level 3 | Non-Agency
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	5,974,789	3,543,560
Level 3 | Multiple Quotes | Non-Agency
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	5,963,577	3,028,094
Level 3 | Single Quote | Non-Agency
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]
Total Fair Value	$ 11,212	$ 515,466