DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Derivative [Line Items]
Notional	$ 16,084,000
Implied Cost Basis	(15,790,425)
Implied Market Value	(15,182,806)
Net Carrying Value	(607,619)
Purchase contracts
Derivative [Line Items]
Notional	18,064,000	$ 20,133,000
Implied Cost Basis	(17,686,372)	(20,289,856)
Implied Market Value	(17,060,584)	(20,338,633)
Net Carrying Value	(625,788)	$ 48,777
Notional - Short Positions
Derivative [Line Items]
Implied Cost Basis	(1,895,947)
Implied Market Value	(1,877,778)
Net Carrying Value	18,169
Notional	$ (1,980,000)