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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($)
$ in Thousands
Sep. 30, 2023
Dec. 31, 2022
Assets    
Gross Amounts $ 549,833 $ 342,064 [1]
Liabilities    
Gross Amounts 97,616 204,172 [1]
Futures contracts, at fair value    
Assets    
Gross Amounts 256,778 33,179
Financial Instruments (38,062) (2,414)
Cash Collateral 0 0
Net Amounts 218,716 30,765
Liabilities    
Gross Amounts 38,062 11,919
Financial Instruments (38,062) (2,414)
Cash Collateral 0 (9,505)
Net Amounts 0 0
Other derivative liabilities 38,062 11,919
Futures contracts, at fair value | Secured Overnight Financing Rate (SOFR)    
Liabilities    
Other derivative liabilities 38,100  
Purchase commitments    
Assets    
Gross Amounts 4,766 1,832
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 4,766 1,832
Liabilities    
Gross Amounts 3,519 460
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 3,519 460
Other derivative liabilities 3,519 460
Interest rate swaps, at fair value    
Assets    
Gross Amounts 95,553 33,006
Financial Instruments (20,765) (24,625)
Cash Collateral (52,113) 0
Net Amounts 22,675 8,381
Liabilities    
Gross Amounts 9,300 108,724
Financial Instruments (9,300) (24,625)
Cash Collateral 0 (1,251)
Net Amounts 0 82,848
Interest rate swaptions, at fair value    
Assets    
Gross Amounts 185,504 256,991
Financial Instruments (67,280) 0
Cash Collateral (117,390) 0
Net Amounts 834 256,991
TBA derivatives, at fair value    
Assets    
Gross Amounts 7,232 17,056
Financial Instruments (687) (16,875)
Cash Collateral (5,090) 0
Net Amounts 1,455 181
Liabilities    
Gross Amounts 46,735 69,270
Financial Instruments (45,423) (16,875)
Cash Collateral 0 0
Net Amounts 1,312 52,395
Other derivative liabilities 46,735 69,270
Credit derivatives    
Liabilities    
Gross Amounts   13,799
Financial Instruments   0
Cash Collateral   (9,291)
Net Amounts   4,508
Other derivative liabilities $ 0 $ 13,799
[1] (1)Derived from the audited consolidated financial statements at December 31, 2022.