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DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended
--- | --- | ---
Mar. 31, 2021 | Dec. 31, 2020
U.S. Treasury futures | 5 Year |  |
Derivative [Line Items] |  |
Maturity period | 5 years | 5 years
Weighted Average Underlying Years to Maturity | 4 years 5 months 1 day | 4 years 4 months 24 days
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) | $ 3,425,000 | $ 1,240,000
U.S. Treasury futures | 10 Year and Greater |  |
Derivative [Line Items] |  |
Minimum Maturity Period | 10 years | 10 years
Weighted Average Underlying Years to Maturity | 7 years 5 months 23 days | 6 years 10 months 24 days
U.S. Treasury futures | 10 Year and Greater | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) | $ 0 | $ 0
U.S. Treasury futures | 10 Year and Greater | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) | $ 15,213,500 | $ 9,183,800
Futures contracts |  |
Derivative [Line Items] |  |
Weighted Average Underlying Years to Maturity | 6 years 11 months 1 day | 6 years 7 months 6 days
Futures contracts | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) | $ 0 | $ 0
Futures contracts | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional Amount Long (Short) | $ 18,638,500 | $ 10,423,800

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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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