DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Assets
Gross Amounts	$ 748,432	$ 170,370	[1]
Liabilities
Gross Amounts	379,708	881,537	[1]
Futures contracts, at fair value
Assets
Gross Amounts	341,430	9,028
Financial Instruments	(3,020)	(9,028)
Cash Collateral	0	0
Net Amounts	338,410	0
Liabilities
Gross Amounts	3,020	129,134
Financial Instruments	(3,020)	(9,028)
Cash Collateral	0	(120,106)
Net Amounts	0	0
Purchase commitments
Assets
Gross Amounts	3,615	1,779
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	3,615	1,779
Liabilities
Gross Amounts	532	870
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	532	870
Interest rate swaps, at fair value
Assets
Gross Amounts	9,408
Financial Instruments	(5,195)
Cash Collateral	0
Net Amounts	4,213
Liabilities
Gross Amounts	272,055	747,036
Financial Instruments	(5,195)	0
Cash Collateral	(13,910)	(77,607)
Net Amounts	252,950	669,429
Interest rate swaptions, at fair value
Assets
Gross Amounts	333,318	105,710
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	333,318	105,710
TBA derivatives, at fair value
Assets
Gross Amounts	60,661	52,693
Financial Instruments	(32,631)	(3,876)
Cash Collateral	0	0
Net Amounts	28,030	48,817
Liabilities
Gross Amounts	91,124	3,916
Financial Instruments	(32,631)	(3,876)
Cash Collateral	0	(40)
Net Amounts	58,493	0
Credit derivatives
Assets
Gross Amounts		1,160
Financial Instruments		(516)
Cash Collateral		0
Net Amounts		644
Liabilities
Gross Amounts	12,977	581
Financial Instruments	0	(516)
Cash Collateral	(12,977)	(65)
Net Amounts	$ 0	$ 0

[1] (1)Derived from the audited consolidated financial statements at December 31, 2021.