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DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) $ in Thousands | 9 Months Ended | 12 Months Ended
--- | --- | ---
Sep. 30, 2019 USD ($) | Dec. 31, 2018 USD ($)
U.S. Treasury futures | 2 Year |  |
Derivative [Line Items] |  |
Weighted Average Underlying Years to Maturity |  | 1 year 11 months 19 days
Derivative Instruments, maturity period | 2 years | 2 years
U.S. Treasury futures | 2 Year | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional |  | $ 0
U.S. Treasury futures | 2 Year | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional |  | $ (1,166,000)
U.S. Treasury futures | 5 Year |  |
Derivative [Line Items] |  |
Weighted Average Underlying Years to Maturity | 4 years 5 months 1 day | 4 years 4 months 20 days
Derivative Instruments, maturity period | 5 years | 5 years
U.S. Treasury futures | 5 Year | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional | $ 0 | $ 0
U.S. Treasury futures | 5 Year | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional | $ (5,314,900) | $ (6,359,400)
U.S. Treasury futures | 10 Year and Greater |  |
Derivative [Line Items] |  |
Weighted Average Underlying Years to Maturity | 10 years 10 days | 7 years 1 month 6 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater) | 10 years | 10 years
U.S. Treasury futures | 10 Year and Greater | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional | $ (2,600,000) | $ 0
U.S. Treasury futures | 10 Year and Greater | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional | $ (5,151,400) | $ (11,152,600)
Futures contracts |  |
Derivative [Line Items] |  |
Weighted Average Underlying Years to Maturity | 7 years 9 months | 5 years 10 months 9 days
Futures contracts | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional | $ (2,600,000) | $ 0
Futures contracts | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional | (10,466,300) | (18,678,000)
Interest rate swap |  |
Derivative [Line Items] |  |
Notional | $ (73,181,850) | $ (70,465,700)
Weighted Average Underlying Years to Maturity | 4 years 3 months 25 days | 4 years 3 months 3 days
Derivative, Nonmonetary Notional Amount, Percentage | 0.81 |
Overnight index swap |  |
Derivative [Line Items] |  |
Derivative, Nonmonetary Notional Amount, Percentage | 0.19 |

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- Definition Aggregate notional amount specified by the derivative(s). Expressed as an absolute value. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher SEC -Name Regulation S-X (SX) -Number 210 -Article 12 -Section 13 -Sentence Column B + Details
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- Definition Average remaining period until maturity of the derivative contract, in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. + References No definition available. + Details
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