Annual report pursuant to Section 13 and 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS - Change in Fair Value of Level 3 Investments (Details)

v3.6.0.2
FAIR VALUE OF FINANCIAL INSTRUMENTS - Change in Fair Value of Level 3 Investments (Details) - Measured on a Recurring Basis - Level 3 - USD ($)
$ in Thousands
 12 Months Ended
Dec. 31, 2016
Dec. 31, 2015
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]    
Balance, beginning $ 59,034 $ 231,754
Transfers    
Transfer into Level 3   367
CDO VI deconsolidation (43,889)  
Total gains (losses)    
Included in net income 11,127 26,497
Included in other comprehensive income (loss) (11,404) (29,955)
Amortization included in interest income 1,157 9,715
Purchases, sales and settlements    
Purchases 0 0
Proceeds from sales (11,237) (140,189)
Proceeds from repayments (2,838) (39,155)
Balance, ending 1,950 59,034
CMBS    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]    
Balance, beginning 39,684 178,763
Transfers    
Transfer into Level 3   0
CDO VI deconsolidation (37,179)  
Total gains (losses)    
Included in net income (108) 12,038
Included in other comprehensive income (loss) (658) (18,797)
Amortization included in interest income 879 6,866
Purchases, sales and settlements    
Purchases 0 0
Proceeds from sales (2) (102,607)
Proceeds from repayments (2,616) (36,579)
Balance, ending 0 39,684
ABS - Non-Agency RMBS    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]    
Balance, beginning 9,619 45,035
Transfers    
Transfer into Level 3   0
CDO VI deconsolidation (6,710)  
Total gains (losses)    
Included in net income 3 14,826
Included in other comprehensive income (loss) (1,015) (12,933)
Amortization included in interest income 278 2,849
Purchases, sales and settlements    
Purchases 0 0
Proceeds from sales (3) (37,582)
Proceeds from repayments (222) (2,576)
Balance, ending 1,950 9,619
Equity/Other Securities    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]    
Balance, beginning 9,731 7,956
Transfers    
Transfer into Level 3   367
CDO VI deconsolidation 0  
Total gains (losses)    
Included in net income 11,232 (367)
Included in other comprehensive income (loss) (9,731) 1,775
Amortization included in interest income 0 0
Purchases, sales and settlements    
Purchases 0 0
Proceeds from sales (11,232) 0
Proceeds from repayments 0 0
Balance, ending $ 0 $ 9,731