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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($)
$ in Thousands
Mar. 31, 2024
Dec. 31, 2023
Assets    
Gross Amounts $ 203,799 $ 162,557 [1]
Liabilities    
Gross Amounts 103,142 302,295 [1]
Futures contracts, at fair value (1)    
Assets    
Gross Amounts 8,636  
Financial Instruments (8,636)  
Cash Collateral 0  
Net Amounts 0  
Liabilities    
Gross Amounts 69,565 179,835
Financial Instruments (8,636) 0
Cash Collateral (60,929) (179,835)
Net Amounts 0 0
Other derivative assets 8,636 0
Other derivative liabilities 69,565 179,835
Futures contracts, at fair value (1) | Secured Overnight Financing Rate (SOFR)    
Liabilities    
Other derivative assets 1,300  
Other derivative liabilities 26,800  
Purchase commitments    
Assets    
Gross Amounts 4,633 9,641
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 4,633 9,641
Liabilities    
Gross Amounts 1,943 339
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 1,943 339
Other derivative assets 4,633 9,641
Other derivative liabilities 1,943 339
Interest rate swaps, at fair value    
Assets    
Gross Amounts 46,796 26,344
Financial Instruments (6,692) (21,505)
Cash Collateral (32,931) 0
Net Amounts 7,173 4,839
Liabilities    
Gross Amounts 20,931 83,051
Financial Instruments (16,950) (72,844)
Cash Collateral 0 0
Net Amounts 3,981 10,207
Interest rate swaptions, at fair value    
Assets    
Gross Amounts 136,514 105,883
Financial Instruments (58,725) (45,930)
Cash Collateral (77,140) (57,320)
Net Amounts 649 2,633
Liabilities    
Other derivative assets 136,514 105,883
TBA derivatives, at fair value    
Assets    
Gross Amounts 7,220 20,689
Financial Instruments (5,943) (13,282)
Cash Collateral 0 0
Net Amounts 1,277 7,407
Liabilities    
Gross Amounts 10,703 39,070
Financial Instruments (10,628) (34,525)
Cash Collateral 0 0
Net Amounts 75 4,545
Other derivative assets 7,220 20,689
Other derivative liabilities $ 10,703 $ 39,070
[1]
(1)Derived from the audited consolidated financial statements at December 31, 2023.