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DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended
--- | --- | ---
Jun. 30, 2020 | Dec. 31, 2019
Derivative [Line Items] |  |
Notional | $ 18,381,000 | $ 6,899,000
Implied Cost Basis | 19,030,505 | 6,888,405
Implied Market Value | 19,148,701 | 6,892,270
Net Carrying Value | 118,196 | 3,865
Purchase contracts |  |
Derivative [Line Items] |  |
Notional | 18,381,000 | 10,043,000
Implied Cost Basis | 19,030,505 | 10,182,891
Implied Market Value | 19,148,701 | 10,192,038
Net Carrying Value | $ 118,196 | 9,147
Sale contracts |  |
Derivative [Line Items] |  |
Notional |  | (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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