Annual report pursuant to Section 13 and 15(d)

DERIVATIVES - Schedule of (gains) losses recorded in relation to derivatives (Details)

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DERIVATIVES - Schedule of (gains) losses recorded in relation to derivatives (Details) - USD ($)
$ in Thousands
 12 Months Ended
Dec. 29, 2016
Dec. 31, 2016
Dec. 31, 2015
Dec. 31, 2014
Cash Flow Hedges Derivative Instruments at Fair Value, Net [Abstract]        
Gain recognized related to non-hedge $ (100)      
Unrealized (gain) loss recognized related to TBAs   $ (1,222) $ (1,758) $ (17,565)
Hedging derivative | Cash flow hedges | Net unrealized gain (loss) on derivatives designated as cash flow hedges        
Cash Flow Hedges Derivative Instruments at Fair Value, Net [Abstract]        
Amount of unrealized loss recognized in Other Comprehensive Income on derivatives (effective portion)   0 60 177
Hedging derivative | Cash flow hedges | Realized/unrealized (gain) loss on investments | Net unrealized gain (loss) on derivatives designated as cash flow hedges        
Cash Flow Hedges Derivative Instruments at Fair Value, Net [Abstract]        
Loss immediately recognized at de-designation   0 0 34
Loss recognized on termination of derivative instruments   0 612 0
Hedging derivative | Cash flow hedges | Reclassification from AOCI into income/earnings | Interest expense | Net unrealized gain (loss) on derivatives designated as cash flow hedges        
Cash Flow Hedges Derivative Instruments at Fair Value, Net [Abstract]        
Deferred hedge gain reclassified from AOCI into earnings   (20) (78) (61)
Amount of loss reclassified from AOCI into income (effective portion)   0 1,363 4,379
Non-hedge derivatives | Realized/unrealized (gain) loss on investments | Interest rate        
Cash Flow Hedges Derivative Instruments at Fair Value, Net [Abstract]        
Unrealized gain on interest rate derivatives   (294) (284) (7,131)
Non-hedge derivatives | Realized/unrealized (gain) loss on investments | Linked transactions        
Cash Flow Hedges Derivative Instruments at Fair Value, Net [Abstract]        
Gain recognized related to non-hedge   0 0 (12,498)
Non-hedge derivatives | Realized/unrealized (gain) loss on investments | TBAs        
Cash Flow Hedges Derivative Instruments at Fair Value, Net [Abstract]        
Gain recognized related to non-hedge   (18,318) 12,907 4,151
Unrealized (gain) loss recognized related to TBAs   (928) (1,474) 2,030
Non-hedge derivatives | Interest expense | Linked transactions        
Cash Flow Hedges Derivative Instruments at Fair Value, Net [Abstract]        
Loss recognized related to linked transactions   $ 0 $ 0 $ 211