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DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) $ in Thousands | 12 Months Ended
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Dec. 31, 2019 USD ($)
U.S. Treasury futures | 2 Year |
Derivative [Line Items] |
Weighted Average Underlying Years to Maturity | 1 year 11 months 15 days
Derivative Instruments, maturity period | 2 years
U.S. Treasury futures | 2 Year | Notional - Long Positions |
Derivative [Line Items] |
Notional Amount | $ 0
U.S. Treasury futures | 2 Year | Notional - Short Positions |
Derivative [Line Items] |
Notional Amount | $ 180,000
U.S. Treasury futures | 5 Year |
Derivative [Line Items] |
Weighted Average Underlying Years to Maturity | 4 years 5 months 1 day
Derivative Instruments, maturity period | 5 years
U.S. Treasury futures | 5 Year | Notional - Long Positions |
Derivative [Line Items] |
Notional Amount | $ 0
U.S. Treasury futures | 5 Year | Notional - Short Positions |
Derivative [Line Items] |
Notional Amount | $ 2,953,300
U.S. Treasury futures | 10 Year and Greater |
Derivative [Line Items] |
Weighted Average Underlying Years to Maturity | 9 years 8 months 26 days
Derivative Instruments minimum maturity period (U.S. Treasury Futures / 10 Year and Greater) | 10 years
U.S. Treasury futures | 10 Year and Greater | Notional - Long Positions |
Derivative [Line Items] |
Notional Amount | $ 2,600,000
U.S. Treasury futures | 10 Year and Greater | Notional - Short Positions |
Derivative [Line Items] |
Notional Amount | $ 5,806,400
Futures contracts |
Derivative [Line Items] |
Weighted Average Underlying Years to Maturity | 8 years 3 months 3 days
Futures contracts | Notional - Long Positions |
Derivative [Line Items] |
Notional Amount | $ 2,600,000
Futures contracts | Notional - Short Positions |
Derivative [Line Items] |
Notional Amount | $ 8,939,700

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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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