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DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended
--- | --- | ---
Sep. 30, 2023 | Dec. 31, 2022
Derivative [Line Items] |  |
Notional | $ 1,950,000 | $ 10,545,000
Implied Cost Basis | 1,965,117 | 10,630,890
Implied Market Value | 1,925,614 | 10,578,676
Net Carrying Value | (39,503) | (52,214)
Purchase contracts |  |
Derivative [Line Items] |  |
Notional | 2,804,000 | 10,589,000
Implied Cost Basis | 2,738,128 | 10,675,739
Implied Market Value | 2,693,325 | 10,623,350
Net Carrying Value | (44,803) | (52,389)
Sale contracts |  |
Derivative [Line Items] |  |
Notional | (854,000) | (44,000)
Implied Cost Basis | (773,011) | (44,849)
Implied Market Value | (767,711) | (44,674)
Net Carrying Value | $ 5,300 | $ 175

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