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DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended
--- | --- | ---
Jun. 30, 2020 | Dec. 31, 2019
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 (in years) |  | 2 years
U.S. Treasury futures | 2 Year | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional Amount |  | $ 0
Notional Amount |  | 0
U.S. Treasury futures | 2 Year | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional Amount |  | 180,000
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 (in years) |  | 5 years
U.S. Treasury futures | 5 Year | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional Amount |  | $ 0
Notional Amount |  | 0
U.S. Treasury futures | 5 Year | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional Amount |  | 2,953,300
Notional Amount |  | $ (2,953,300)
U.S. Treasury futures | 10 Year and Greater |  |
Derivative [Line Items] |  |
Weighted Average Underlying Years to Maturity | 6 years 10 months 13 days | 9 years 8 months 26 days
Derivative Instruments minimum maturity period (in years) | 10 years | 10 years
U.S. Treasury futures | 10 Year and Greater | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional Amount | $ 0 | $ 2,600,000
Notional Amount | 0 | (2,600,000)
U.S. Treasury futures | 10 Year and Greater | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional Amount | 1,847,800 | 5,806,400
Notional Amount | $ (1,847,800) | $ (5,806,400)
Futures contracts |  |
Derivative [Line Items] |  |
Weighted Average Underlying Years to Maturity | 6 years 10 months 13 days | 8 years 3 months 3 days
Futures contracts | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional Amount | $ 0 | $ 2,600,000
Notional Amount | 0 | (2,600,000)
Futures contracts | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional Amount | 1,847,800 | 8,939,700
Notional Amount | $ (1,847,800) | $ (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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