Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Significant Unobservable Inputs) (Details)

v3.22.1
FAIR VALUE OF FINANCIAL INSTRUMENTS (Significant Unobservable Inputs) (Details) - ABS - Non-Agency RMBS
$ in Thousands
Mar. 31, 2022
USD ($)
Dec. 31, 2021
USD ($)
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation    
Amortized Cost Basis $ 2,492 $ 2,323
ABS - Non-Agency RMBS    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation    
Amortized Cost Basis 2,492  
Fair Value $ 3,655  
ABS - Non-Agency RMBS | Discount Rate | Weighted Average Significant Input    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation    
Weighted Average Significant Input 0.110  
ABS - Non-Agency RMBS | Prepayment Speed | Weighted Average Significant Input    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation    
Weighted Average Significant Input 0.075  
ABS - Non-Agency RMBS | Cumulative Default Rate | Weighted Average Significant Input    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation    
Weighted Average Significant Input 0.026  
ABS - Non-Agency RMBS | Loss Severity | Weighted Average Significant Input    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation    
Weighted Average Significant Input 0.650