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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