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DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 12 Months Ended
--- | ---
Dec. 31, 2020 | Dec. 31, 2019
U.S. Treasury Futures | 2 Year |  |
Derivative [Line Items] |  |
Weighted Average Years to Maturity |  | 1 year 11 months 15 days
Maturity Period |  | 2 years
U.S. Treasury Futures | 2 Year | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) |  | $ 0
U.S. Treasury Futures | 2 Year | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) |  | $ 180,000
U.S. Treasury Futures | 5 Year |  |
Derivative [Line Items] |  |
Weighted Average Years to Maturity | 4 years 4 months 24 days | 4 years 5 months 1 day
Maturity Period | 5 years | 5 years
U.S. Treasury Futures | 5 Year | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) | $ 0 | $ 0
U.S. Treasury Futures | 5 Year | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) | $ 1,240,000 | $ 2,953,300
U.S. Treasury Futures | 10 Year and Greater |  |
Derivative [Line Items] |  |
Weighted Average Years to Maturity | 6 years 10 months 24 days | 9 years 8 months 26 days
Minimum Maturity Period | 10 years | 10 years
U.S. Treasury Futures | 10 Year and Greater | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) | $ 0 | $ 2,600,000
U.S. Treasury Futures | 10 Year and Greater | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) | $ 9,183,800 | $ 5,806,400
Futures Contracts |  |
Derivative [Line Items] |  |
Weighted Average Years to Maturity | 6 years 7 months 6 days | 8 years 3 months 3 days
Futures Contracts | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) | $ 0 | $ 2,600,000
Futures Contracts | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) | $ 10,423,800 | $ 8,939,700

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