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DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - Purchase contracts - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended
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Sep. 30, 2019 | Dec. 31, 2018
Notional |  |
Purchase contracts | $ 10,823,000 | $ 13,803,000
Implied Cost Basis | 10,999,389 | 13,823,109
Implied Market Value | 10,986,722 | 13,964,797
Net Carrying Value | $ (12,667) | $ 141,688

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