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DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended
--- | --- | ---
Mar. 31, 2023 | Dec. 31, 2022
Derivative [Line Items] |  |
Notional | $ 11,968,000 | $ 10,545,000
Implied Cost Basis | 11,857,664 | 10,630,890
Implied Market Value | 12,020,810 | 10,578,676
Net Carrying Value | 163,146 | (52,214)
Purchase contracts |  |
Derivative [Line Items] |  |
Notional | 11,968,000 | 10,589,000
Implied Cost Basis | 11,857,664 | 10,675,739
Implied Market Value | 12,020,810 | 10,623,350
Net Carrying Value | $ 163,146 | (52,389)
Sale contracts |  |
Derivative [Line Items] |  |
Notional |  | (44,000)
Implied Cost Basis |  | (44,849)
Implied Market Value |  | (44,674)
Net Carrying Value |  | $ 175

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- Definition Nominal or face amount used to calculate payments on the derivative asset. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5580258-113959 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 + Details
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