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DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - Purchase contracts - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended
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Mar. 31, 2019 | Dec. 31, 2018
Notional |  |
Purchase contracts | $ 15,526,000 | $ 13,803,000
Implied Cost Basis | 15,779,271 | 13,823,109
Implied Market Value | 15,881,019 | 13,964,797
Net Carrying Value | $ 101,748 | $ 141,688

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