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DERIVATIVE INSTRUMENTS - Summary of Certain Characteristics of Futures Derivatives (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended
--- | --- | ---
Sep. 30, 2022 | Dec. 31, 2021
Futures contracts |  |
Derivative [Line Items] |  |
Weighted Average Underlying Years to Maturity | 4 years 8 months 12 days | 4 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) | $ 42,271,300 | $ 22,535,100
U.S. Treasury futures - 2 year |  |
Derivative [Line Items] |  |
Maturity period | 2 years | 2 years
Weighted Average Underlying Years to Maturity | 1 year 11 months 19 days | 1 year 11 months 15 days
U.S. Treasury futures - 2 year | Notional - Long Positions |  |
Derivative [Line Items] |  |
Notional amount long (short) | $ 0 | $ 0
U.S. Treasury futures - 2 year | Notional - Short Positions |  |
Derivative [Line Items] |  |
Notional amount long (short) | $ 17,391,000 | $ 7,509,200
U.S. Treasury futures - 5 year |  |
Derivative [Line Items] |  |
Maturity period | 5 years | 5 years
Weighted Average Underlying Years to Maturity | 4 years 4 months 17 days | 4 years 4 months 17 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) | $ 6,503,400 | $ 5,644,900
U.S. Treasury futures - 10 year and greater |  |
Derivative [Line Items] |  |
Maturity period | 10 years | 10 years
Weighted Average Underlying Years to Maturity | 7 years 4 months 24 days | 6 years 10 months 2 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) | $ 18,376,900 | $ 9,381,000

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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 Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. + 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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 + Details
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- Definition Period the derivative contract is outstanding, 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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