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DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA Derivatives - USD ($) $ in Thousands | 12 Months Ended
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Dec. 31, 2019 | Dec. 31, 2018
Derivative [Line Items] |  |
Notional amount | $ 6,899,000 |
Implied cost basis | 6,888,405 |
Implied market value | 6,892,270 |
Net carrying value | 3,865 |
Purchase Contracts |  |
Derivative [Line Items] |  |
Notional amount | 10,043,000 | $ 13,803,000
Implied cost basis | 10,182,891 | 13,823,109
Implied market value | 10,192,038 | 13,964,797
Net carrying value | 9,147 | $ 141,688
Sale Contracts |  |
Derivative [Line Items] |  |
Notional amount | (3,144,000) |
Implied cost basis | (3,294,486) |
Implied market value | (3,299,768) |
Net carrying value | $ (5,282) |

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- Definition Nominal or face amount used to calculate payments on the derivative asset. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579245-113959 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5580258-113959 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579245-113959 + Details
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