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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)