Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES - Narrative (Details)

v3.5.0.2
DERIVATIVES - Narrative (Details) - TBAs [Member] - Not Designated as Hedging Instrument [Member] - USD ($)
$ in Thousands
Sep. 30, 2016
Dec. 31, 2015
Short [Member]    
Derivative [Line Items]    
Derivative liability, notional amount [1] $ 2,645,300 $ 1,450,000
Long [Member]    
Derivative [Line Items]    
Derivative liability, notional amount [1] $ 1,441,000 $ 750,000
[1] Represents the notional amount of Agency RMBS, classified as derivatives.