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DERIVATIVE FINANCIAL INSTRUMENTS - Schedule of Derivative Assets and Liabilties (Details) - USD ($)
$ in Thousands
Jun. 30, 2020
Dec. 31, 2019
Derivative [Line Items]    
Assets, at Fair Value $ 8,231 $ 0
Liabilities, at Fair Value 33,229 20,658
Restricted cash 60,761 84,885
Securities Borrowed 139,843 0
Other Liabilities 1,712 1,041
Not Designated as Hedging Instrument, Economic Hedge [Member] | Position [Domain]    
Derivative [Line Items]    
Assets, at Fair Value 8,231 0
Liabilities, at Fair Value 173,072 20,658
Restricted cash 24,422 19,034
Interest Rate Swap [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Position [Domain]    
Derivative [Line Items]    
Liabilities, at Fair Value 29,940 20,146
Restricted cash 23,149 17,450
TBA Contracts [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Position [Domain]    
Derivative [Line Items]    
Assets, at Fair Value 406 0
Liabilities, at Fair Value 0 512
Restricted cash 0 246
Other Liabilities (730) 0
Eurodollar Future Margin [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Position [Domain]    
Derivative [Line Items]    
Restricted cash 655 1,338
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Position [Domain]    
Derivative [Line Items]    
Restricted cash 1,348 0
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]    
Derivative [Line Items]    
Liabilities, at Fair Value 3,289 0
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Long [Member]    
Derivative [Line Items]    
Assets, at Fair Value 7,825 0
US Treasury Securities [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member]    
Derivative [Line Items]    
Securities Borrowed $ 139,843 $ 0