DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands	Mar. 31, 2022	Dec. 31, 2021
Assets
Gross Amounts	$ 964,075	$ 170,370	[1]
Liabilities
Gross Amounts	826,972	881,537	[1]
Futures contracts, at fair value
Assets
Gross Amounts	724,696	9,028
Financial Instruments	(5,850)	(9,028)
Cash Collateral	0	0
Net Amounts	718,846	0
Liabilities
Gross Amounts	5,850	129,134
Financial Instruments	(5,850)	(9,028)
Cash Collateral	0	(120,106)
Net Amounts	0	0
Purchase commitments
Assets
Gross Amounts	484	1,779
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	484	1,779
Liabilities
Gross Amounts	73	870
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	73	870
Credit derivatives
Assets
Gross Amounts	256
Financial Instruments	(256)
Cash Collateral	0
Net Amounts	0
Interest rate swaptions, at fair value
Assets
Gross Amounts	213,882	105,710
Financial Instruments	0	0
Cash Collateral	0	0
Net Amounts	213,882	105,710
TBA derivatives, at fair value
Assets
Gross Amounts	24,757	52,693
Financial Instruments	(22,571)	(3,876)
Cash Collateral	0	0
Net Amounts	2,186	48,817
Liabilities
Gross Amounts	336,212	3,916
Financial Instruments	(22,571)	(3,876)
Cash Collateral	(1,220)	(40)
Net Amounts	312,421	0
Credit derivatives
Assets
Gross Amounts		1,160
Financial Instruments		(516)
Cash Collateral		0
Net Amounts		644
Liabilities
Gross Amounts	3,141	581
Financial Instruments	(256)	(516)
Cash Collateral	(2,885)	(65)
Net Amounts	0	0
Interest rate swaps, at fair value
Liabilities
Gross Amounts	481,696	747,036
Financial Instruments	0	0
Cash Collateral	(35,387)	(77,607)
Net Amounts	$ 446,309	$ 669,429

[1] (1)Derived from the audited consolidated financial statements at December 31, 2021.