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DERIVATIVE INSTRUMENTS - Summary of Characteristics of TBA Derivatives (Details) - TBA derivatives - Purchase contracts - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended
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Jun. 30, 2022 | Dec. 31, 2021
Derivative [Line Items] |  |
Notional | $ 19,455,000 | $ 20,133,000
Implied Cost Basis | 19,313,442 | 20,289,856
Implied Market Value | 19,282,979 | 20,338,633
Net Carrying Value | $ (30,463) | $ 48,777

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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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 + Details
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