DERIVATIVE FINANCIAL INSTRUMENTS - Effect on the consolidated statements of operations (Details) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Position [Domain]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	$ (8,851,000)	$ (34,288,000)	$ (91,709,000)	$ (53,320,000)
(Losses) gains on derivative instruments	(8,851,000)	(34,288,000)	(91,709,000)	(53,320,000)
Eurodollar Future [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(101,000)	(4,287,000)	(8,318,000)	(14,329,000)
Treasury Note Future [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(385,000)	(3,523,000)	(4,724,000)	(5,199,000)
Swap [Member] | Position [Domain]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(7,579,000)	(24,109,000)	(68,202,000)	(26,404,000)
Payer Swaption [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(889,000)	0	(889,000)	0
Payer Swaption [Member] | Long [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(1,612,000)	(685,000)	(4,201,000)	(1,063,000)
TBA Contracts [Member] | Position [Domain]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	1,846,000	(1,684,000)	(5,244,000)	(6,325,000)
US Treasury Securities [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	$ (131,000)	$ 0	$ (131,000)	$ 0