Quarterly report pursuant to Section 13 or 15(d)

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

v3.22.2.2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Significant Unobservable Inputs) (Details) - ABS - Non-Agency RMBS
$ in Thousands
Jun. 30, 2022
USD ($)
Dec. 31, 2021
USD ($)
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation    
Amortized Cost Basis $ 2,676 $ 2,323
ABS - Non-Agency RMBS    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation    
Amortized Cost Basis 2,676  
Fair Value $ 2,846  
ABS - Non-Agency RMBS | Discount Rate | Weighted Average Significant Input    
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation    
Weighted Average Significant Input 0.130  
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 0.030  
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