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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($)
$ in Thousands
Sep. 30, 2022
Dec. 31, 2021
Assets    
Gross Amounts $ 1,949,530 $ 170,370 [1]
Liabilities    
Gross Amounts 764,535 881,537 [1]
Futures contracts, at fair value    
Assets    
Gross Amounts 1,539,298 9,028
Financial Instruments (2,946) (9,028)
Cash Collateral 0 0
Net Amounts 1,536,352 0
Liabilities    
Gross Amounts 2,946 129,134
Financial Instruments (2,946) (9,028)
Cash Collateral 0 (120,106)
Net Amounts 0 0
Purchase commitments    
Assets    
Gross Amounts 1,037 1,779
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 1,037 1,779
Liabilities    
Gross Amounts 2,485 870
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 2,485 870
Interest rate swaps, at fair value    
Assets    
Gross Amounts 36,861  
Financial Instruments (26,666)  
Cash Collateral 0  
Net Amounts 10,195  
Liabilities    
Gross Amounts 108,071 747,036
Financial Instruments (26,666) 0
Cash Collateral 0 (77,607)
Net Amounts 81,405 669,429
Interest rate swaptions, at fair value    
Assets    
Gross Amounts 344,301 105,710
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 344,301 105,710
TBA derivatives, at fair value    
Assets    
Gross Amounts 28,033 52,693
Financial Instruments (9,864) (3,876)
Cash Collateral 0 0
Net Amounts 18,169 48,817
Liabilities    
Gross Amounts 635,652 3,916
Financial Instruments (9,864) (3,876)
Cash Collateral 0 (40)
Net Amounts 625,788 0
Credit derivatives    
Assets    
Gross Amounts   1,160
Financial Instruments   (516)
Cash Collateral   0
Net Amounts   644
Liabilities    
Gross Amounts 15,381 581
Financial Instruments 0 (516)
Cash Collateral (10,373) (65)
Net Amounts $ 5,008 $ 0
[1] (1)Derived from the audited consolidated financial statements at December 31, 2021.