DERIVATIVE INSTRUMENTS - Schedule of Derivatives Outstanding (Details) - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2017	Dec. 31, 2016
Derivative [Line Items]
Notional	$ 1,098,300,000	$ 947,400,000
Fair value, Asset	108,000	5,018,000
Fair value, Liability	4,207,000	3,446,000
5-year Swap
Derivative [Line Items]
Notional	482,600,000	602,200,000
Fair value, Asset	1,000	3,210,000
Fair value, Liability	$ 3,051,000	$ 2,000
Remaining Maturity	7 days	7 days
Term of derivative contract	5 years	5 years
10-year Swap
Derivative [Line Items]
Notional	$ 419,500,000	$ 226,700,000
Fair value, Asset	15,000	1,674,000
Fair value, Liability	$ 3,106,000	$ 266,000
Remaining Maturity	7 days	7 days
Term of derivative contract	10 years	10 years
5-year U.S. Treasury Note
Derivative [Line Items]
Notional	$ 21,500,000	$ 21,800,000
Fair value, Asset	0	93,000
Fair value, Liability	$ 34,000	$ 0
Remaining Maturity	7 days	7 days
Term of derivative contract	5 years	5 years
10-year U.S. Treasury Note Ultra
Derivative [Line Items]
Notional	$ 3,200,000
Fair value, Asset	0
Fair value, Liability	$ 25,000
Remaining Maturity	7 days
Term of derivative contract	10 years
10-year U.S. Treasury Note
Derivative [Line Items]
Notional		$ 3,200,000
Fair value, Asset		38,000
Fair value, Liability		$ 0
Remaining Maturity		7 days
Term of derivative contract		10 years
Variation Margin
Derivative [Line Items]
Notional	$ 0
Fair value, Asset	0
Fair value, Liability	(5,104,000)
Futures
Derivative [Line Items]
Notional	926,800,000	$ 853,900,000
Fair value, Asset	16,000	5,015,000
Fair value, Liability	1,112,000	268,000
3 Month LIBOR
Derivative [Line Items]
Notional	50,000,000	50,000,000
Fair value, Asset	0	0
Fair value, Liability	$ 2,618,000	$ 2,697,000
Remaining Maturity	3 years 5 months 19 days	3 years 8 months 19 days
CMBX
Derivative [Line Items]
Notional	$ 10,000,000	$ 10,000,000
Fair value, Asset	5,000	3,000
Fair value, Liability	$ 0	$ 0
Remaining Maturity	4 years 10 months 6 days	5 years 29 days
CDX
Derivative [Line Items]
Notional	$ 33,500,000	$ 33,500,000
Fair value, Asset	0	0
Fair value, Liability	$ 477,000	$ 481,000
Remaining Maturity	1 year 8 months 19 days	1 year 11 months 19 days
S&P 500 Put Options
Derivative [Line Items]
Notional	$ 78,000,000
Fair value, Asset	87,000
Fair value, Liability	$ 0
Remaining Maturity	6 days
Credit Derivatives
Derivative [Line Items]
Notional	$ 121,500,000	$ 43,500,000
Fair value, Asset	92,000	3,000
Fair value, Liability	$ 477,000	$ 481,000