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DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - Purchase contracts - USD ($)
$ in Thousands
12 Months Ended
Dec. 31, 2021
Dec. 31, 2020
Derivative [Line Items]    
Notional $ 20,133,000 $ 19,635,000
Implied Cost Basis 20,289,856 20,277,088
Implied Market Value 20,338,633 20,373,197
Net Carrying Value $ 48,777 $ 96,109