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DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended
--- | --- | ---
Jun. 30, 2024 | Dec. 31, 2023
Derivative [Line Items] |  |
Notional | $ 1,662,000 | $ 503,000
Implied Cost Basis | 1,639,941 | (555,221)
Implied Market Value | 1,652,389 | (573,602)
Net Carrying Value | 12,448 | (18,381)
Purchase contracts |  |
Derivative [Line Items] |  |
Notional | 2,395,000 | 988,000
Implied Cost Basis | 2,313,203 | 920,626
Implied Market Value | 2,324,113 | 915,790
Net Carrying Value | 10,910 | (4,836)
Sale contracts |  |
Derivative [Line Items] |  |
Notional | (733,000) | (1,491,000)
Implied Cost Basis | (673,262) | (1,475,847)
Implied Market Value | (671,724) | (1,489,392)
Net Carrying Value | $ 1,538 | $ (13,545)

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