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DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended
--- | --- | ---
Dec. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018
Long Pay |  |  |
Derivative [Line Items] |  |  |
Current notional | $ 4,675,000 | $ 4,675,000 | $ 4,075,000
Weighted average underlying pay rate | 2.53% | 2.53% | 3.30%
Weighted average underlying years to maturity | 9 years 2 months 19 days |  | 10 years 29 days
Weighted average months to expiration |  | 4 years 7 months 28 days | 3 years 21 days
Long Receive |  |  |
Derivative [Line Items] |  |  |
Current notional | $ 2,000,000 | $ 2,000,000 |
Weighted average underlying pay rate | 1.49% | 1.49% |
Weighted average underlying years to maturity | 10 years 3 months 14 days |  |
Weighted average months to expiration |  | 3 years 4 months 24 days |

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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 Derivative Portfolio Expiration Period + References No definition available. + Details
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- Definition Interest rate swaptions weighted average underlying pay rate. + References No definition available. + 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 Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. + References No definition available. + Details
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