DERIVATIVE FINANCIAL INSTRUMENTS - Effect on the consolidated statements of operations (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	$ 5,375	$ 4,079	$ 15,932	$ (87,630)
Eurodollar Future [Member] | Short [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(7)	(6)	(14)	(8,324)
Treasury Note Future [Member] | Short [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	581	(113)	866	(4,837)
Swap [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	3,000	489	12,446	(67,713)
Payer Swaption [Member] | Short [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	2,295	(672)	3,507	(1,561)
Payer Swaption [Member] | Long [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	1,767	914	5,477	(3,287)
Interest Rate Floor [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	45	0	1,345	0
TBA Contracts [Member] | Short [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	(2,306)	95	864	(6,282)
TBA Contracts [Member] | Long [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	0	3,336	(8,559)	4,469
US Treasury Securities [Member] | Short [Member]
Derivatives, Fair Value [Line Items]
(Losses) gains on derivative instruments	$ 0	$ 36	$ 0	$ (95)