DERIVATIVE FINANCIAL INSTRUMENTS - Effect on the consolidated statements of operations (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2017	Sep. 30, 2016	Sep. 30, 2017	Sep. 30, 2016
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	$ (5,470)	$ 6,587	$ (29,331)	$ (32,594)
Eurodollar Future [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	607	1,194	(6,955)	(17,507)
Treasury Note Future [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(6,450)	1,688	(16,190)	(12,288)
Swap [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	1,005	4,179	(3,170)	(450)
Receiver Swaption [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	0	0	0	36
Payer Swaption [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	827	0	827	0
TBA Contracts [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	$ (1,459)	$ (474)	$ (3,843)	$ (2,385)