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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, 2021 | Dec. 31, 2020
Derivative [Line Items] |  |
Notional | $ 22,496,000 | $ 19,635,000
Implied Cost Basis | 23,040,011 | 20,277,088
Implied Market Value | 22,793,892 | 20,373,197
Net Carrying Value | $ (246,119) | $ 96,109

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- Definition TBA Securities fair market value. + References No definition available. + Details
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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=121590274&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=121590274&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=121590274&loc=SL5579245-113959 + Details
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