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DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended
--- | --- | ---
Mar. 31, 2020 | Dec. 31, 2019
Long pay |  |
Derivative [Line Items] |  |
Current Notional | $ 3,675,000 | $ 4,675,000
Weighted Average Underlying Fixed Rate | 2.54% | 2.53%
Weighted Average Underlying Years to Maturity | 9 years 4 months 24 days | 9 years 2 months 19 days
Weighted Average Months to Expiration | 2 years 4 months 28 days | 4 years 7 months 28 days
Long receive |  |
Derivative [Line Items] |  |
Current Notional | $ 750,000 | $ 2,000,000
Weighted Average Underlying Fixed Rate | 1.50% | 1.49%
Weighted Average Underlying Years to Maturity | 10 years 5 months 1 day | 10 years 3 months 14 days
Weighted Average Months to Expiration | 4 years 10 months 17 days | 3 years 4 months 24 days

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- Definition Derivative, Notional Amount1 + References No definition available. + 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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- Details
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- Details
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- Details
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Balance Type: |
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