DERIVATIVE FINANCIAL INSTRUMENTS - Effect on the consolidated statements of operations (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2021	Jun. 30, 2020	Jun. 30, 2021	Jun. 30, 2020
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	$ (34,915)	$ (8,851)	$ 10,557	$ (91,709)
Eurodollar Future [Member] | Short [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(19)	(101)	(7)	(8,318)
Treasury Note Future [Member] | Short [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(2,191)	(385)	285	(4,724)
Swap [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(17,677)	(7,579)	9,446	(68,202)
Payer Swaption [Member] | Short [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	27,379	(889)	1,212	(889)
Payer Swaption [Member] | Long [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(36,360)	(1,612)	3,710	(4,201)
Interest Rate Floor [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(84)	0	1,300	0
TBA Contracts [Member] | Short [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(5,963)	713	3,170	(6,377)
TBA Contracts [Member] | Long [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	0	1,133	(8,559)	1,133
US Treasury Securities [Member] | Short [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	$ 0	$ (131)	$ 0	$ (131)