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DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands | 12 Months Ended
--- | ---
Dec. 31, 2023 | Dec. 31, 2022
Derivative [Line Items] |  |
Notional |  | $ 10,545,000
Notional | $ (503,000) |
Implied Cost Basis | (555,221) | 10,630,890
Implied Market Value | (573,602) | 10,578,676
Net Carrying Value | (18,381) | (52,214)
Purchase contracts |  |
Derivative [Line Items] |  |
Notional | 988,000 | 10,589,000
Implied Cost Basis | 920,626 | 10,675,739
Implied Market Value | 915,790 | 10,623,350
Net Carrying Value | (4,836) | (52,389)
Sale contracts |  |
Derivative [Line Items] |  |
Notional | (1,491,000) | (44,000)
Implied Cost Basis | (1,475,847) | (44,849)
Implied Market Value | (1,489,392) | (44,674)
Net Carrying Value | $ (13,545) | $ 175

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