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DERIVATIVE INSTRUMENTS - Summary of Swaptions Outstanding (Details) - Notional - Long Positions - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
--- | --- | --- | ---
Mar. 31, 2021 | Jun. 30, 2020 | Dec. 31, 2020
Long pay |  |  |
Derivative [Line Items] |  |  |
Current Underlying Notional | $ 6,050,000 |  | $ 8,050,000
Weighted Average Underlying Fixed Rate | 1.27% |  | 1.27%
Weighted Average Underlying Years to Maturity | 10 years 3 months 7 days | 10 years 4 months 24 days |
Weighted Average Months to Expiration | 4 years 14 days | 5 years 5 months 1 day |
Long receive |  |  |
Derivative [Line Items] |  |  |
Current Underlying Notional | $ 1,000,000 |  | $ 250,000
Weighted Average Underlying Fixed Rate | 1.45% |  | 1.66%
Weighted Average Underlying Years to Maturity | 10 years 11 months 12 days | 10 years 7 days |
Weighted Average Months to Expiration | 11 years 5 months 4 days | 1 month 17 days |

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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 Nominal or face amount used to calculate payment on derivative. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5580258-113959 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5579245-113959 + Details
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