DERIVATIVE INSTRUMENTS - Schedule of Derivatives Outstanding (Details) - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2017	Dec. 31, 2016
Derivative [Line Items]
Notional	$ 704,900,000	$ 947,400,000
Fair value, Asset	568,000	5,018,000
Fair value, Liability	2,711,000	3,446,000
5-year Swap
Derivative [Line Items]
Notional	260,700,000	602,200,000
Fair value, Asset	2,715,000	3,210,000
Fair value, Liability	$ 0	$ 2,000
Remaining Maturity	3 months	3 months
10-year Swap
Derivative [Line Items]
Notional	$ 338,000,000	$ 226,700,000
Fair value, Asset	6,799,000	1,674,000
Fair value, Liability	$ 2,000	$ 266,000
Remaining Maturity	3 months	3 months
5-year U.S. Treasury Note
Derivative [Line Items]
Notional	$ 12,000,000	$ 21,800,000
Fair value, Asset	86,000	93,000
Fair value, Liability	$ 0	$ 0
Remaining Maturity	3 months	3 months
10-year U.S. Treasury Note Ultra
Derivative [Line Items]
Notional	$ 700,000
Fair value, Asset	9,000
Fair value, Liability	$ 0
Remaining Maturity	3 months
10-year U.S. Treasury Note
Derivative [Line Items]
Notional		$ 3,200,000
Fair value, Asset		38,000
Fair value, Liability		$ 0
Remaining Maturity		3 months
Variation Margin
Derivative [Line Items]
Notional	$ 0
Fair value, Asset	(9,110,000)
Fair value, Liability	(2,000)
Futures
Derivative [Line Items]
Notional	611,400,000	$ 853,900,000
Fair value, Asset	499,000	5,015,000
Fair value, Liability	0	268,000
3 Month LIBOR
Derivative [Line Items]
Notional	50,000,000	50,000,000
Fair value, Asset	0	0
Fair value, Liability	$ 2,343,000	$ 2,697,000
Remaining Maturity	3 years	3 years 8 months 19 days
CMBX
Derivative [Line Items]
Notional	$ 10,000,000	$ 10,000,000
Fair value, Asset	69,000	3,000
Fair value, Liability	$ 0	$ 0
Remaining Maturity	4 years 5 months 1 day	5 years 29 days
CDX
Derivative [Line Items]
Notional	$ 33,500,000	$ 33,500,000
Fair value, Asset	0	0
Fair value, Liability	$ 368,000	$ 481,000
Remaining Maturity	1 year 2 months 23 days	1 year 11 months 19 days
Credit Derivatives
Derivative [Line Items]
Notional	$ 43,500,000	$ 43,500,000
Fair value, Asset	69,000	3,000
Fair value, Liability	$ 368,000	$ 481,000