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DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 12 Months Ended
--- | ---
Dec. 31, 2019 | Dec. 31, 2018
Swap Equivalent Eurodollar Futures Contracts | 2 Year |  |
Derivative [Line Items] |  |
Derivative instruments, maturity period | 2 years | 2 years
U.S. Treasury Futures | 2 Year |  |
Derivative [Line Items] |  |
Weighted average underlying years to maturity | 1 year 11 months 15 days | 1 year 11 months 19 days
U.S. Treasury Futures | 2 Year | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional amount | $ 0 | $ 0
U.S. Treasury Futures | 2 Year | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional amount | $ (180,000) | $ (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 amount | $ 0 | $ 0
U.S. Treasury Futures | 5 Year | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional amount | $ (2,953,300) | $ (6,359,400)
U.S. Treasury Futures | 10 Year and Greater |  |
Derivative [Line Items] |  |
Weighted average underlying years to maturity | 9 years 8 months 26 days | 7 years 1 month 6 days
Derivative instruments, minimum maturity period | 10 years | 10 years
U.S. Treasury Futures | 10 Year and Greater | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional amount | $ (2,600,000) | $ 0
U.S. Treasury Futures | 10 Year and Greater | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional amount | $ (5,806,400) | $ (11,152,600)
Futures Contracts |  |
Derivative [Line Items] |  |
Weighted average underlying years to maturity | 8 years 3 months 3 days | 5 years 10 months 9 days
Futures Contracts | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional amount | $ (2,600,000) | $ 0
Futures Contracts | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional amount | $ (8,939,700) | $ (18,678,000)

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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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- Definition Period the derivative contract is outstanding, 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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