DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Mar. 31, 2023	Dec. 31, 2022
Assets
Gross Amounts	$ 400,139	$ 342,064	[1]
Liabilities
Gross Amounts	473,515	204,172	[1]
Futures contracts, at fair value
Assets
Gross Amounts	222	33,179
Financial Instruments	(222)	(2,414)
Cash Collateral	0	0
Net Amounts	0	30,765
Liabilities
Gross Amounts	293,840	11,919
Financial Instruments	(222)	(2,414)
Cash Collateral	(293,618)	(9,505)
Net Amounts	0	0
Purchase commitments
Assets
Gross Amounts	2,706	1,832
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	2,706	1,832
Liabilities
Gross Amounts	470	460
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	470	460
Interest rate swaps, at fair value
Assets
Gross Amounts	19,155	33,006
Financial Instruments	(13,593)	(24,625)
Cash Collateral	0	0
Net Amounts	5,562	8,381
Liabilities
Gross Amounts	155,801	108,724
Financial Instruments	(13,593)	(24,625)
Cash Collateral	0	(1,251)
Net Amounts	142,208	82,848
Interest rate swaptions, at fair value
Assets
Gross Amounts	210,992	256,991
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	210,992	256,991
TBA derivatives, at fair value
Assets
Gross Amounts	167,064	17,056
Financial Instruments	(3,918)	(16,875)
Cash Collateral	0	0
Net Amounts	163,146	181
Liabilities
Gross Amounts	3,918	69,270
Financial Instruments	(3,918)	(16,875)
Cash Collateral	0	0
Net Amounts	0	52,395
Credit derivatives
Liabilities
Gross Amounts	19,486	13,799
Financial Instruments	0	0
Cash Collateral	(14,046)	(9,291)
Net Amounts	$ 5,440	$ 4,508

[1] (1)Derived from the audited consolidated financial statements at December 31, 2022.