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DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended
--- | --- | ---
Jun. 30, 2023 | Dec. 31, 2022
Derivative [Line Items] |  |
Notional | $ 3,734,000 | $ 10,545,000
Implied Cost Basis | 3,625,443 | 10,630,890
Implied Market Value | 3,627,716 | 10,578,676
Net Carrying Value | 2,273 | (52,214)
Purchase contracts |  |
Derivative [Line Items] |  |
Notional | 5,649,000 | 10,589,000
Implied Cost Basis | 5,537,076 | 10,675,739
Implied Market Value | 5,519,589 | 10,623,350
Net Carrying Value | (17,487) | (52,389)
Sale contracts |  |
Derivative [Line Items] |  |
Notional | (1,915,000) | (44,000)
Implied Cost Basis | (1,911,633) | (44,849)
Implied Market Value | (1,891,873) | (44,674)
Net Carrying Value | $ 19,760 | $ 175

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